Korea Fama-French Factors: An Open Monthly Library with a Verified Construction Pipeline
Quality and profitability factors in equities over 2001–2026, studied by Woo in 2026 with a linear factor model. The abstract mentions profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Over 2001-2026, Korea exhibits a significantly positive value premium (HML +0.98%/month, t = 4.07) and profitability premium (RMW +0.86%, t = 3.55), a negative size premium (SMB-0.25%, insignificant), an insignificant investment factor, and a momentum premium (+1.04%, t = 4.12) that emerged only after 2000.”
AssetEquities
StrategyQuality factorsmomentum
TechniqueLinear factor model
GeographyGlobalUS
Also stated: Monthly, 2001–2026, Profit, Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodQuality and profitability factors by year
FamilyQuality and profitability factors25Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 977
AssetEquities18
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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