Korean stock market revolutionized by Fama and French five-factor model
The article evaluates different models for predicting stock prices in Korea. They tested various models using different portfolios and individual stocks. The Fama and French five-factor model was found to be the most effective in explaining stock returns in Korea, followed by the three-factor models by Fama and French, Chen et al., and Campbell. The study also showed that bond portfolios, specifically term spread and default spread, are important factors in understanding stock returns in Korea.