Equity Fund Performance Persistence with Investment Style: Evidence from Korea

Jangkoo Kang, Changjun Lee and Doowon Lee

Emerging Markets Finance and Trade, 2011, vol. 47, issue 3, 111-135

Abstract: Using a comprehensive database on equity funds in Korea, we investigate the performance and performance persistence with investment style employing the Fama and French three-factor model and the Carhart four-factor model. The paper finds that most investment styles in Korea noticeably outperform the passive benchmarks. In addition, positive performance persistence is observed among funds investing in large-cap stocks and stocks of high past performance. Finally, outperformance and positive performance persistence of equity funds are still present in various ranking and postranking horizons. These empirical findings are in sharp contrast with results from earlier studies on markets in developed countries, such as the United States.

Keywords: asset allocation; equity fund performance; investment style (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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