Equity fund style and performance persistence in an emerging market: evidence from Korea

We investigate the investment styles and performance persistence of equity funds in Korea employing the Fama and French three-factor model (1993) as well as the Carhart four-factor model (1997). Unlike the evidence from the US, our study of performance and performance persistence reveals that most equity funds in Korea perform better than the overall stock market and positive performance that did exist does persist. Our style analysis shows that while investment styles of equity funds generally stay around the overall stock market index, equity funds have a tilt toward large stocks and growth stocks.