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주가 모멘텀 이상현상의 재검토

  • 장지원 조선대학교 경영학부 조교수
본 연구는 과거 성과의 수익률 횡단면 예측력, 즉 주가 모멘텀 이상현상이 과거의 어느 시점에 측정된 성과의 예측력으로부터 발생하는지 살펴본다. 외환위기 이후 1999년부터 2015년까지 한국 주식시장 자료를 이용한 포트폴리오 분석과 개별 주식의 횡단면 회귀분석 결과, 과거 12개월의 성과가 좋은 주식이 나쁜 주식보다 평균적으로 높은 수익률을 실현하는 모멘텀 현상의 존재를 확인한다. 과거 12개월의 기간을 최근 과거 6개월과 과거 12개월에서 7개월 전의 중기 과거 6개월로 나누어 볼 때, 최근 6개월의 성과는 수익률에 대한 예측력을 가지지 않으나 중기 과거 6개월의 승자를 매수하고 패자를 매도하는 모멘텀 전략은 월평균 1.51%의 비정상 수익률을 나타낸다. 중기 과거 성과의 수익률 예측력은 위험요인뿐 아니라 다양한 특성변수들을 통제한 후에도 여전히 유의하며, 과거 12개월 성과에 의한 모멘텀 현상은 중기 과거 성과를 통제하면 완전히 사라진다. 또한 중기 과거 성과의 수익률 예측력은 기업규모가 작고 유동성이 높으며 개인투자자 거래비중이 높고 투자분석가 수가 많은 주식에서 더욱 강하게 나타나고, 주식시장 유동성이 높거나 상승장인 시기에 주로 관찰된다. 본 연구의 결과는 모멘텀 이상현상이 수익률의 단기 자기상관 관계에 의해 나타나는 것이 아님을 시사한다.
모멘텀, 중기 과거 수익률, 이상현상, 수익률 횡단면, 한국 주식시장

Price Momentum Anomaly Revisited : Evidence in the Korean Stock Market

  • Jeewon Jang
This study examines whether price momentum is driven by firms’ recent past performance or intermediate horizon past performance in the Korean stock market. Price momentum, a tendency of rising and falling stocks to keep rising and falling, is one of the most well-known stock market anomalies, and an extensive body of literature has shown that momentum is widely observed across a variety of countries and asset classes. However, previous studies provide the particularly interesting result that momentum is not strongly observed in the Korean stock market, and this is seen as exceptional. Several recent studies suggest that momentum strategies based on ranking or holding periods longer than six months were profitable in Korea in the period after the 1997 Asian financial crisis. Given these results and motivated by the recent empirical finding of Novy-Marx (2012, Is momentum really momentum? Journal of Financial Economics 103, 429-453) that momentum is primarily driven by intermediate past performance rather than by recent past performance, in this study, I examine whether the period over which past performance is measured plays an important role in determining the profitability of momentum strategies in the Korean stock market. I use monthly data for ordinary common stocks listed on the Korean Stock Exchange over the period February 1999 to December 2015. The main empirical findings are summarized as follows. First, momentum strategies based on performance during the period from 12 to seven months prior to portfolio formation earn positive and significant abnormal returns, while momentum strategies based on performance during the recent six months do not yield significant profits. The zero-cost portfolio buying the top 10% and selling the bottom 10% stocks based on intermediate past performance yields a Fama-French (1993) three-factor alpha of 1.51% per month, with a t-statistic of 2.06. The intermediate past performance can predict stock returns in the cross-section even after controlling for various firm characteristics, including firm size, the book-to-market ratio, idiosyncratic volatility, illiquidity, and turnover. Second, the abnormal profits of momentum strategies based on performance during the past 12 months are entirely driven by intermediate past performance, not by recent past performance. The past 12-month return loses its predictive power for the cross-section of stock returns after controlling for past returns during the period from prior 12 to seven months. At the same time, the predictive power of intermediate past returns is not affected by recent past returns. Stocks that are recent six-month winners but past 12-to-seven-month losers earn abnormally low returns on average. Third, the momentum anomaly based on intermediate past performance is more pronounced for stocks with a smaller size, higher liquidity, higher proportion of individual trading, and higher analyst coverage. The roles of liquidity and analyst coverage are not easily explained if momentum based on intermediate past performance was due to mispricing, because arbitrage is more likely to be limited for stocks with lower liquidity and lower analyst coverage. Finally, the abnormal profits of momentum strategies based on intermediate past performance are positive and significant only following periods of high aggregate liquidity and high stock market returns, but they are insignificant after periods of low aggregate liquidity and low stock market returns. This result suggests that momentum based on intermediate past performance could be at least partially due to a change in economic states. This study contributes to the literature on the cross-section of returns in the Korean stock market in the following ways. First, it is the first to investigate whether intermediate horizon past performance can predict the cross-section of returns in Korea. Previous studies on price momentum in the Korean stock market have focused on the predictive power of recent past performance and found only weak evidence that momentum profits are partially significant for stocks with particular characteristics or during particular periods. This study provides strong evidence that momentum strategies based on intermediate past performance yield significant and positive abnormal profits during the post-crisis period. Second, the empirical findings of this study help to reconcile conflicting results in the literature. It has been widely believed that momentum is relatively weak in Korea because momentum strategies based on past performance measured over no longer than six months are not profitable, which stands in contrast to the strong profitability of momentum strategies in the U.S. market. This study finds evidence that based on intermediate past performance, momentum strategies also become as profitable in the Korean stock market as in the U.S market. Although the profitability of momentum strategies based on recent past performance differs, intermediate past performance can significantly predict the cross-section of stock returns in both markets. These results suggest that price momentum cannot be simply interpreted as a short-run autocorrelation in returns and emphasize the importance of information in intermediate-horizon past performance.
Momentum, Intermediate Horizon Past Returns, Anomaly, Cross-Section Of Stock Returns, Korean Stock Market