| Momentum Profits and Firm Size |
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Yun Sung Eom |
| 모멘텀과 기업규모의 관계 |
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엄윤성 |
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| Abstract |
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This paper examines whether momentum strategies, i.e., buying past winners and selling past losers, generate positive profits in the Korean stock market. We also investigate how momentum profits vary with firm size and foreigner ownership. There are three main findings. First, there is no momentum in the KSE and KOSDAQ stocks over 1980 to 2009 sample period. Second, momentum profitability is large and significant among small firms or firms with high foreigner ownership in the sample period after the 1997 crisis. However, firm size plays more important role in momentum than foreigner ownership. Finally, the profitability of momentum strategies decreases sharply with firm size. If firm size is a useful measure of the rate of information diffusion, it suggests that stock prices do underreact to firm-specific information. This finding is consistent with the gradual-informationdiffusion model of Hong and Stein (1999). |
| Key Words:
기업고유 정보,기업규모,모멘텀,외국인 지분율,정보지연반응,Firm-Specific Information,Foreigner Ownership,Gradual-Information-Diffusion Model,Momentum,Size |
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