주식수익률의 모멘텀과 반전현상에 대한 검토: 과잉반응가설과 자본이득고정화가설

This paper investigates the short-term momentum and long-term reversals of stock return in Korea capital market when the factors known to have effects on stock return are controlled. For the period from January 2001 to December 2012, monthly data of stock price, return, and firm size of 582 firms listed in KRX are used to test the overreaction hypothesis and the capital gain lock-in hypothesis. The major findings of this paper are as follows:First, short-term momentum of stock return is clear in Korea capital market. The performance of momentum strategy that take long position in short-term winner and short position in short-term loser is 1.329% per month, which is significant positive excess return. Second, the long-term reversals is not clear. The performance of contrarian strategy that take long position in past return loser and short position in past return winner is 0.206% per month, but which is mainly due to the significant negative return of winner portfolio. Third, the overreaction hypothesis can explain the reversals of loser portfolio, but fail to explain the reversals of winner portfolio. The capital gain lock-in hypothesis can explain momentum of loser portfolio, but fail to explain the momentum of winner portfolio