Evaluating asset pricing models in the Korean stock market

Kim, Soonho; Kim, Dongcheol; Shin, Hyun-Soo

doi:10.1016/j.pacfin.2011.09.001

Cited by 38 publications

(23 citation statements)

References 52 publications

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“…However, this conclusion is slightly different with the previous observation [37] that reports a simple negative correlation between return and market capitalization. The composition of the KOSPI 200 is one of the reasons for the discrepancy.…”

Section: Market Capitalization and Size Portfoliocontrasting

confidence: 99%

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Momentum Universe Shrinkage Effect in Price Momentum

Choi

Choi²,

Kang³

2012

SSRN Journal

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We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other universes do but large-size companies such as the KOSPI 50 components hinder the performance of the momentum strategy. The observation is also cross-checked with size portfolios and liquidity portfolios. Transactions by investor groups, in particular, the trading patterns by foreign investors can be a source of the momentum universe shrinkage effect in the momentum returns.

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Section: Market Capitalization and Size Portfoliocontrasting

confidence: 99%

“…When the expected return is positive, the large companies outperform the small companies. If it is negative, the small firms are preferred for generating revenues and it is well-matched to the prior observation in Kim et al [37].…”

Section: Market Capitalization and Size Portfoliosupporting

confidence: 81%

Momentum Universe Shrinkage Effect in Price Momentum

Choi

Choi²,

Kang³

2012

SSRN Journal

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“…However, when size and book-to-market factors are included in the CAPM, the empirical findings sound better. Kim, Kim and Shin (2012) compare the CAPM; APT motivated model (FF5 is constructed by adding liquidity factor and long-term reversal factors to Fama-French three factor model); the Consumption based CAPM; Intertemporal CAPM and Conditional CAPM. The findings support FF5 as most satisfactorily among the models considered in the study.…”

Section: Literature Reviewmentioning

confidence: 99%

Comparisons of Asset Pricing Models in the Egyptian Stock Market

Shaker

Elgiziry

2014

AFR

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This paper employs GRS test to empirically compare the applicability of five alternatives of asset pricing models for 55 shares listed on the EGX100 for the Egyptian stock market: 1) the CAPM, 2) the Fama-French three factor model, 3) the Cahart four factor model, 4) liquidity-augmented four factor model, 5) and the five factor model (liquidity and momentum-augmented Fama-French three factor model. The sample is split into six portfolios sorted on size and book-to market ratio and 45 shares are excluded due to data unavailability. Our results based on GRS (1989) show evidence that Fama-French model is the best and reject the other models.

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“…Consequently, stocks price did not reflect the intrinsic value of a company; conventional valuation models failed to estimate the stocks' price. Besides, although stocks price as well as equity value resulting from company valuation models have been popular in international academics and practice (Pereiro 2006, Kim 2012, Vietnamese companies and practitioners have remained in the first stage of company valuation understandings. For example, most of the Vietnamese research papers studied the traditional Capital Asset Pricing Model (Sharpe 1964, Lintner 1965, Black 1972) while its basic assumptions could not be held in emerging securities markets.…”

Section: Introductionmentioning

confidence: 99%

“…Pereiro (2005) showed that different CAPM-based versions including G-CAPM, L-CAPM, AH-CAPM were used in calculating the cost of equity in Argentina with benchmark being US securities market. Other research used CAPM methods to estimate the cost of equity based on local factors: Bruner and Chan (2002) used four CAPM-related models to estimate the cost of equity of large firms in Brazil, South Africa, Thailand, Malaysia and Poland; Kim (2012) considered and compared between CAPM methods to price assets in Korean stock market.…”

Section: Introductionmentioning

confidence: 99%

Equity valuation model of Vietnamese companies in a foreign securities market — A simulation approach

Minh

Dzung

Huệ

et al. 2012

Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)

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Listed companies in Vietnamese securities market have not employed any consistent equity valuation models; some models based on the traditional Capital Asset Pricing Model (CAPM) produced unpersuasive results because the CAPM's assumptions do not hold in an emerging market like Vietnam. The problem has been considered as one possible reason for the unpredictable stock prices in the Vietnamese securities market. The purpose of this paper is to propose a suitable equity valuation model of Vietnamese companies under the concern of international investors. In particular, the paper studied the Hybrid Adjusted CAPM (AH-CAPM) model with an international securities market in the region being used as a benchmark. The proposed model was also tested with a typical Vietnamese company to check the feasibility of the model and the ease of capital mobilization from foreign securities markets.

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Evaluating asset pricing models in the Korean stock market

Cited by 38 publications

References 52 publications

Momentum Universe Shrinkage Effect in Price Momentum

Momentum Universe Shrinkage Effect in Price Momentum

Comparisons of Asset Pricing Models in the Egyptian Stock Market

Equity valuation model of Vietnamese companies in a foreign securities market — A simulation approach

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Evaluating asset pricing models in the Korean stock market

Cited by 38 publications

References 52 publications

Momentum Universe Shrinkage Effect in Price Momentum

Momentum Universe Shrinkage Effect in Price Momentum

Comparisons of Asset Pricing Models in the Egyptian Stock Market

Equity valuation model of Vietnamese companies in a foreign securities market &#x2014; A simulation approach

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Equity valuation model of Vietnamese companies in a foreign securities market — A simulation approach