Enhanced factor investing in the Korean stock market

Saejoon Kim

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: A comprehensive examination of long-only factor investment strategies for the Korean stock market is presented. Negative exposures to unintended factors that detract from the expected factor risk premium are identified. These constituents with large negative exposures are then removed from the factor portfolio that establishes substantial performance improvement in factor-based investing. Results show that risk premia exist for the size, value, momentum, profitability and low risk factors in the Korean market with the size factor producing the largest return.

Keywords: Factor investing; Factor risk premia; Factor exposure; Multifactor portfolio; Korean stock market (search for similar items in EconPapers)
JEL-codes: C18 G11 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X21000652
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000652

DOI: 10.1016/j.pacfin.2021.101558

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().