Characteristic Factors and Fund Evaluation in Korea

Chulwoo Han, Inhyung Lee and Chae Woo Nam

Emerging Markets Finance and Trade, 2013, vol. 49, issue S4, 70-80

Abstract: Factors that govern common variations in equity returns in Korea are identified and the authors examine whether they are priced. Size and the ratio of book value to price turn out to be the determinants of common variations, and these variations appear to be priced. The momentum factor shows mixed results depending on the samples, while macroeconomic factors consistently fail to group stocks in any meaningful manner. These factors are utilized to assess the performance of the retail equity funds. Characteristic-based performance analysis reveals that high risk-adjusted excess returns are accompanied by high selection and timing abilities of fund managers. Risk-adjusted returns are more persistent than unadjusted returns.

Keywords: attribution analysis; characteristic factors; Korean retail equity fund; performance evaluation (search for similar items in EconPapers)
Date: 2013
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