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Re-examination of Fama–French Models in the Korean Stock Market

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Listed:
  • Serge Rugwiro

    (Gachon University)

  • SungSup Brian Choi

    (Gachon University)

Abstract

In this study, we separate the entire period into three different sub-periods, the periods before the crisis, during the crisis, and after the crisis. We then apply the four metrics, as well as the factor spanning tests by Fama and French (J Financ Econ 116(1):1–22, 2015; J Financ Econ 123:441–463, 2017) to the three different sub-periods, and find that the FF three-factor model performs the best. All of the FF three-factor models in the three different sub-periods pass the GRS tests. We also find that, as a result of the FF three-factor model, important factors keep changing depending on each of the three different sub-periods.

Suggested Citation

  • Serge Rugwiro & SungSup Brian Choi, 2019. "Re-examination of Fama–French Models in the Korean Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 23-45, March.
    • Handle: RePEc:kap:apfinm:v:26:y:2019:i:1:d:10.1007_s10690-018-9254-5
    DOI: 10.1007/s10690-018-9254-5
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    References listed on IDEAS

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    1. Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012. "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 198-227.
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    6. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    7. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
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    Cited by:

    1. Aysenur Tarakcioglu Altinay & Mesut Dogan & Bilge Leyli Demirel Ergun & Sevdie Alshiqi, 2023. "The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-21.

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    More about this item

    Keywords

    Fama and French three-factor model; Fama and French five-factor model; Liquidity; Cash-based operating profitability; Korean stock market;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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