An Empirical Study on the Accrual and Investment Anomalies and Return Dispersion in the Korean Stock Market

Lee, Kyung-Joon; Kim, Hyunsik; Cho, Hoon

doi:2017.46.5.1121

Korean J Financ Stud > Volume 46(5); 2017 > Article

Korean Journal of Financial Studies 2017;46(5):1121-1155.
DOI: https://doi.org/10.26845/KJFS.2017.12.46.5.112 Published online December 31, 2017.

An Empirical Study on the Accrual and Investment Anomalies and Return Dispersion in the Korean Stock Market

Kyung-Joon Lee, Hyunsik Kim, Hoon Cho

국내 주식시장에서 발생액 및 투자 이상현상과 수익률 횡단면변동성에 대한 실증 연구

이경준, 김현식, 조훈

한국과학기술원

Abstract

This paper investigates the relation between Return Dispersion (RD) and accrual or investment anomalies, focusing on the risk associated with growth of accruals or investments. This study conducts asset-pricing tests, to assess whether RD works as a potential risk factor using both cross-sectional and time-series regressions. We collect the monthly return data of non-financial firms in the Korean stock market for 24 years, from April 1992 to October 2016. The major empirical findings are as follows: First, low-accrual and lowinvestment firms have significantly higher exposure to RD risk and have higher return as compensation for it. Second, the excess return from accrual and investment strategies depends heavily on the states classified by RD. The main contribution of this paper is to reveal that RD explains the accrual and investment anomalies in the Korean stock market based on the risk factor framework.

Key Words: 발생액,투자,이상현상,수익률 횡단면변동성,한국 주식시장,Accruals,Anomaly,Investments,Korean Stock Market,Return Dispersion