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

Serge Rugwiro () and SungSup Brian Choi ()
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Serge Rugwiro: Gachon University
SungSup Brian Choi: Gachon University

Asia-Pacific Financial Markets, 2019, vol. 26, issue 1, No 2, 23-45

Abstract: 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.

Keywords: Fama and French three-factor model; Fama and French five-factor model; Liquidity; Cash-based operating profitability; Korean stock market (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10690-018-9254-5

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