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Characteristic Factors and Fund Evaluation in Korea

Author

Listed:
  • Chulwoo Han
  • Inhyung Lee
  • Chae Woo Nam

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.

Suggested Citation

  • Chulwoo Han & Inhyung Lee & Chae Woo Nam, 2013. "Characteristic Factors and Fund Evaluation in Korea," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 70-80, September.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:70-80
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