Han, Minyeon; Lee, Dong-Hyun; Kang, Hyoung Goo - In: Journal of derivatives and quantitative studies 28 (2020) 2, pp. 3-50
This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have...
