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Asia-Pacific Financial Markets

Erschienen in:

08.11.2018

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

verfasst von: Serge Rugwiro, SungSup Brian Choi

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 1/2019

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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.

Vorheriger Artikel Stock Futures of a Flawed Market Index

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The FF three-factor model turns out to be the second best out of numerous models considered.

The choice of the period of global credit crisis is based on several facts that include: (1) the volatility of financial markets, (2) the implementation of the Korean Asset Consolidation Law, (3) major financial events such as the trouble of Bear Sterns, delisting of US home loan giants Fannie Mae and Freddie Mac, and so on.

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Titel: Re-examination of Fama–French Models in the Korean Stock Market
verfasst von: Serge Rugwiro
SungSup Brian Choi
Publikationsdatum: 08.11.2018
Verlag: Springer Japan
Erschienen in: Asia-Pacific Financial Markets / Ausgabe 1/2019
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-018-9254-5

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