가격제한폭의 가격발견지연효과 및 이를 고려한 투자패턴 분석

Price limit system is used to increase stability of stock markets. But, this system causes side effects of restricting the efficiency and liquidity of the market as pricediscovery process is delayed. Especially, when closing prices are at the limits, price limits cause positive serial correlation in the daily stock return series, and hence efficient market hypothesis(EMH) is not accepted partially. Using a comprehensive dataset of Korea Exchange(KRX), this study investigates the performance of the momentum strategy around closing based upon events of limit prices. We devide events into limited day and no-limited day, and examine the momentum strategy. The empirical results show that only the market adjusted returns at the limited day are positive and statistically significant. We also examine Sharpe-ratio to evaluate risk-adjusted performance of the strategy, and observe that the performance of upper-limited events meaningfully dominate that of lower-limited events. This informs that this momentum strategy can provide positive-return which is independent with average market return, because price limits are affected by not only market common factors but also industry or individual firm-specific factors. Our empirical results support the delayed-price discovery hypothesis, which imply that the persistent excessive returns could exist through applying the strategy based on the predictability from the delayed price discovery by price limits.