한국 주식시장에서의 역행 프리미엄

In this study, contrarian premiums measured by buy-and-hold abnormal returns over 1-to 36-month holding periods were verified to exist significantly in the Korean stock market during the past 15 years. Contrarian strategies constructed by buying past losers and selling past winners were found to be effective in every possible portfolio formation period from the past 1 to 12 months and their abnormal returns were maximized around 15-month holding period. All the more, these results lasted consistently through robustness checks conducted by bootstrapping tests to reduce the data snooping biases. The magnitude of contrarian premiums increased proportionately to the length of formation period, which can be represented as the hypothesis of behavioral finance that overreaction increases with the length of investors’ time horizon. Additionally, the sources of contrarian premiums were analyzed in the two sub-sample periods, up- and down-market. Contrarian premiums in the down-market were three times as high as those in the up-market, which can be further explained either by asset pricing model including coskewness premium as one of the systematic risk factors or by the prospect theory which postulates investors’ asymmetric utility function which is different to the traditional expected utility theory through introducing the concepts of loss aversion which can be similarly understood as investors’ aversion to negative skewness.