Using a comprehensive database on equity funds in Korea, we investigate the performance and performance persistence with investment style employing the Fama and French three-factor model and the Carhart four-factor model. The paper finds that most investment styles in Korea noticeably outperform...

In the fields of behavioural economics and finance, several researchers show that the time preference of an investor is related to his/her attitude towards risky assets. This article investigates whether the equity premium puzzle laid out in Mehra and Prescott (1985) can be accounted for when...

As a summarization of previously suggested production-based approaches, Chen et al. (2010) propose two production-based factors. We examine whether the proposed factors explain the time-varying patterns in stock returns, captured by the common conditioning variables. With a variety of test...