{"title":"韩国股票市场的综合资产定价测试","authors":"Jaewan Bae, Jangkoo Kang, Jun Park","doi":"10.1111/ajfs.12475","DOIUrl":null,"url":null,"abstract":"<p>We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel <i>et al</i>. (2020) three-factor model, Barillas-Shanken (2018) six-factor model and the Hou <i>et al</i>. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama–French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.</p>","PeriodicalId":8570,"journal":{"name":"Asia-Pacific Journal of Financial Studies","volume":"53 4","pages":"436-466"},"PeriodicalIF":1.8000,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/ajfs.12475","citationCount":"0","resultStr":"{\"title\":\"Comprehensive Asset Pricing Tests in the Korean Stock Market\",\"authors\":\"Jaewan Bae, Jangkoo Kang, Jun Park\",\"doi\":\"10.1111/ajfs.12475\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel <i>et al</i>. (2020) three-factor model, Barillas-Shanken (2018) six-factor model and the Hou <i>et al</i>. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama–French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.</p>\",\"PeriodicalId\":8570,\"journal\":{\"name\":\"Asia-Pacific Journal of Financial Studies\",\"volume\":\"53 4\",\"pages\":\"436-466\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2024-05-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/ajfs.12475\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Journal of Financial Studies\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12475\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Journal of Financial Studies","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/ajfs.12475","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Comprehensive Asset Pricing Tests in the Korean Stock Market
We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, Barillas-Shanken (2018) six-factor model and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama–French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
