A Fundamental Analysis of Korean Stock Returns

On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market

“…Mukherji et al (1997) find that annual returns on the Korean stocks are significantly related to size and B/M. Ho et al (2000) and Lam (2002) show that significant size and B/M effects are observed in Hong Kong.…”

Relations between portfolio returns and market multiples

“…Chan, Hamao and Lakonishok (1993) found risk-adjusted excess returns for Japanese stocks with high B/M and CF/P. Capaul, Rowley and Sharpe (1993) showed that high B/M stocks earned abnormal returns in France, Germany, Japan, Switzerland, U.K., and the U.S. Mukherji, Dhatt and Kim (1997) observed higher returns for Korean stocks with high B/M and S/P. Bauman, Conover and Miller (1998) studied 21 international markets and indicated that stocks with low-P/E, P/B, price/cash flow, and price/dividend ratios outperformed stocks with high values of these variables.…”

Functioning of Fama-French Three-Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh

“…In the Asian markets, Wong and Lye (1990) and Lau et al (2002) observe significant size effect in the Singaporean stock market. Mukherji et al (1997) notice that annual returns on the Korean stocks are highly related to size and B/M. Ho et al (2000) and Lam (2002) find significant size and B/M effects in Hong Kong stock market.…”