Potential pricing factors in the Korean market

Jeongseok Bang, Yeonchan Kang and Doojin Ryu

Finance Research Letters, 2024, vol. 67, issue PB

Abstract: We examine whether new factors have explanatory power for the cross-section of expected returns compared to existing factors. Machine-learning-based double-selection LASSO determines pricing factors explaining the cross-section in the Korean stock market. Among the recently proposed factors in the factor zoo, gross profitability exhibits significant SDF loadings, as confirmed by robustness checks. We suggest that significant factors can vary across markets.

Keywords: Asset pricing; Korean market; LASSO; Machine-learning; Stochastic discount factor (search for similar items in EconPapers)
JEL-codes: C55 G11 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009760

DOI: 10.1016/j.frl.2024.105946

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