Browse > Article
http://dx.doi.org/10.15207/JKCS.2015.6.4.127

Convergent Momentum Strategy in the Korean Stock Market  

Koh, Seunghee (Department of Business Administration, Sookmyung Women's University)
Publication Information
Journal of the Korea Convergence Society / v.6, no.4, 2015 , pp. 127-132 More about this Journal
Abstract
This study attempts to empirically investigate if relative momentum strategy is effective in the Korean stock market. The sample of the study is comprised of companies which are traded in both Kospi and Kosdaq stock markets in Korea for the period between 2001~2014. The study observes that the momentum strategy buying past winner stocks and selling past loser stocks is negatively correlated with the value strategy buying value stocks with high book to market ratio and selling glamour stocks with low book to market ratio. And each strategy is alternatively effective from period to period. The study demonstrates that the momentum strategy is effective when both strategies which are negatively correlated are treated as one system by estimating Fama and French's[1] 3 factor regression model.
Keywords
stock price return; book value; momentum strategy; value strategy; 3 factor model;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Fama, Eugene, and Kenneth French, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance, Vol. 51, No.2, pp. 55-84, 1996.   DOI
2 Jegadeesh, Narasimhan, and Sheridan Titman, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", Journal of Finance, Vol. 48, No. 1, pp. 65-91, 1993.   DOI
3 Jegadeesh, Narasimhan, and Sheridan Titman, "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations", Journal of Finance, Vol. 56, No. 2, pp. 699-721, 2001.   DOI
4 Asness, Clifford, Tobias Moskowits, and Lasse Heje Pedersen, "Value and Momentum Everywhere", Journal of Finance, Vol. 58, No. 3, pp. 929-985, 2013.
5 Sang Whan Kim, "Performance Analysis of Transaction Strategy by Using Past Stock Returns", Finance Studies, Vol. 25, No. 2, pp 203-246, 2012.
6 Kyou-Yung Kim, and Jae-Ouk Ahn, "Does the Momentum Effect in the Korean Stock Market Exist?", Industry and Economy Studies, Vol. 26, No. 4, pp. 1505-1531, 2013.
7 Asness, Clifford, "Momentum in Japan: The Exception that Proves the Rule", Journal of Portfolio Management, Vol. 37, No.4, pp. 67-75, 2011.   DOI
8 Fama, Eugene, and Kenneth French, "Size, Value, and Momentum in International Stock Returns", Journal of Financial Economics, Vol. 105, No. 3, pp. 457-472, 2012.   DOI
9 Fama, Eugene, and Kenneth French, "The Cross-Section of Expected Stock Returns", Journal of Finance, Vol. 47, No. 2, pp. 427-465, 1992.   DOI
10 Rosenberg, B., K. Reid, and R. Lanstein, "Persuasive Evidence of Market Inefficiency", Journal of Portfolio Management, Vol. 11, No. 3, pp. 9-17, 1985.   DOI
11 Banz, R., "The Relationship Between Return and Market Value of Common Stocks", Journal of Financial Economics, Vol. 9, No. 1, pp. 3-18, 1981.   DOI
12 Fama, Eugene, and Kenneth French, "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56, 1993.   DOI
13 Lakonishok, J., A. Shleifer, and R. Vishny, "Contrarian Investment, Extrapolation, and Risk", Journal of Finance, Vol. 49, No. 5, pp. 1541-1578, 1994.   DOI
14 Asness, Clifford, "The Interaction of Value and Momentum Strategies", Financial Analysts Journal, Vol. 53, No. 2, pp. 929-985, 1997.
15 Fama, Eugene, and Kenneth French, "Dissecting Anomalies", Journal of Finance, Vol. 63, No. 4, pp. 1653-1678, 2008.   DOI
16 Rouwenhorst, G., "International Momentum Strategies", Journal of Finance, Vol. 53, No. 1, pp. 267-284, 1998.   DOI