Anomaly Tests in Size Groups in Korean Stock Market

Son, Sam Ho; Yoon, Bo Hyun

Korean Journal of Financial Studies 2011;40(2):315-345.
Published online April 30, 2011.

Sam Ho Son, Bo Hyun Yoon

현금흐름 관련 이상현상들에 대한 기업 규모그룹별 분석

손삼호, 윤보현

Abstract

It is well known that the small stocks can be very influential in the equally weighted hedge portfolio returns of an anomaly. This is due to a strong size effect of these stocks. If one use value weighted returns instead of equally weighted returns, a few large stocks will be influential in the hedge portfolio returns this time. To solve these problems, we divide all the stocks that are listed on the KOSPI and KOSDAQ markets into three size groups such as microcaps, small stocks, and large stocks. Following the Fama and French (2008), we try to identify anomalies of each size group by using both the method of sorts of returns on anomaly variables and Fama-Macbeth crosssectional regressions. The anomaly variables examined in this paper are momentum, net stock issues, accruals, total asset growth, earnings yield. These anomaly variables are related to the expected net cash flows in the valuation equation. We find that there is no robust or pervasive anomaly that shows up in all size groups in Korean stock market. Net stock issues, accruals and earning yields have relatively more influence in the marketwide anomaly tests, but their influence in the size group appear differently. While earning yields have relatively more explanatory power for the expected net cash flows of microcaps, net stock issues have relatively more explanatory power for that of small stocks, and accruals have relatively more for that of large stocks.

Key Words: 모멘텀,발생액,순예상현금흐름,순주식발행,총자산증가율,Accruals,Expected Net Cash Flows,Momentum,Net Stock Issue,Total Asset Growth