포트폴리오 성과와 모멘텀 현상에 대한 실증연구

Abstract

This paper studies the performance of the one week return strategy by using book-to market ratios, firm size, stock returns in the Korean Stock Market. Prior research finds reversal in the monthly returns of individual stocks. This study focuses on the weekly returns. We begin by evaluating the performance of stocks with extreme weekly returns over a longer horizon than just a few weeks. We examine the one week return momentum by using weekly cross-sectional regressions. Each week, we regress the cross-section of returns over various time horizon on the returns, the returns over the week, the size, and the book-to-market ratios. The empirical results of this paper can be summarized as follows : First, the momentum is confirmed to the long-minus-short portfolio are positive the first 1-3weeks following an extreme return. Second, we find the extreme momentum only in a less than 3 weeks period. The Momentum effect in the first week is strong, then reversal remains for a long time.