Abstract
A comprehensive examination of long-only factor investment strategies for the Korean stock market is presented. Negative exposures to unintended factors that detract from the expected factor risk premium are identified. These constituents with large negative exposures are then removed from the factor portfolio that establishes substantial performance improvement in factor-based investing. Results show that risk premia exist for the size, value, momentum, profitability and low risk factors in the Korean market with the size factor producing the largest return.Multifactor portfolios based on the two prevalent approaches are also investigated. One is based on mixing portfolios and the other is based on combining signals with the latter often perceived as the more effective approach. Our results indicate that if negative exposures are shaved off in the portfolios, then simply mixing these portfolios can provide superior return performance than the combining signals approach.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
