Do the Factor-Based Strategies Deliver in Korean Stock Market

Factor;Volatility;Value;Size;Liquidity;Quality;658

경영대학 경영학과 ;

University:서울대학교 대학원

关键词: Factor;    Volatility;    Value;    Size;    Liquidity;    Quality;    658;   

Others  :  http://s-space.snu.ac.kr/bitstream/10371/137284/1/000000145261.pdf

美国|英语

来源: Seoul National University Open Repository

【 摘 要 】

This paper measures the significance of returns from factor-based strategies in Korean Stock market. The assessment of the significance employs the differences in the returns of long-short portfolios constructed upon five main factors introduced in many finance papers: volatility, value, size, liquidity, and quality, and that in Sharpe ratios of those portfolios. Although most of the factor-based strategies show no significant result, some factor-based strategies show positive average return with improved volatility. The reason for lack of statistical results possibly attributes to the shortage of data since the stock data after 2000 in Korean market is reliable.