Enhanced factor investing in the Korean stock market
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DOI: 10.1016/j.pacfin.2021.101558
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Cited by:
- Hyuksoo Kim & Saejoon Kim, 2024. "Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors," Mathematics, MDPI, vol. 12(21), pages 1-21, November.
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More about this item
Keywords
Factor investing; Factor risk premia; Factor exposure; Multifactor portfolio; Korean stock market;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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