모멘텀 현상과 투자자 유형별주식거래 행태의 관련성 분석

Recent papers document that price momentum appears in the Korean stock market after the Asian financial crisis, while earlier papers find only return reversal before the crisis. This paper, however, presents that price momentum in Korea is limited because past winners do not outperform other stocks except past losers in the Korean stock market. Momentum strategies, based on past six-month compounded returns, tend to have positive returns which are only attributed to low returns of past losers. Thus, the positive returns of the momentum strategy in Korea may not be classified as price momentum since past winners are not future winners. This paper presents that foreign investors play a critical role in generating price momentum in the Korean stock market after the Asian financial crisis by showing the following empirical results. First, when stocks are sorted based on the turnover ratio of foreign investors, past winners (losers) become future winners (losers) in the KOSPI market for stocks with high turnover ratios of foreign investors. Second, the winner portfolio that foreign investors intensively buy achieves the highest B/M and size adjusted returns, while the loser portfolio that they intensively short has the lowest B/M and size adjusted abnormal returns. Third, the trade imbalance of foreign investors has positive impact on stock returns in the Fama and MacBeth’ cross-sectional regression analysis, but that of domestic institutional investors do not. Fourth, past six-month returns have positive effects on future returns for stocks with top 20% highest turnover ratios of foreign investors. However, for KOSPI stocks excluding those stocks, past six-month returns have negative effects on future returns. This result suggests that return reversal appears among stocks even after the financial crisis that foreign investors do not actively participate in. In addition, foreign investors are momentum traders before and after portfolio formation in case of the winner (loser) portfolio that they actively buy (short), while individual investors are contrarian traders. However, domestic institutional investors are not momentum traders even in case of the winner (loser) portfolio that they actively buy (short). Thus, the trade interaction of foreign investors and individual investors is essentially important in generating price momentum. Specially, since price momentum is not found among stocks that foreign investors do not actively trade, momentum trading of foreign investors is essential in generating price momentum in Korea after the Asian financial crisis. This result is not consistent with the risk-premium hypothesis that attempts to explain price momentum. If price momentum is due to rewards for high risk of winner stocks, it is difficult to find any reason why this risk premium depends on the trading activities of foreign investors. On the other hand, two possible hypotheses in behavioral finance can account for the dependence of price momentum on the trade imbalance of foreign investors. According to Chui, Titman, and Wei (2010) and Daniel et al. (1998), foreign investors pursue momentum trading in the process of overreaction caused by their overconfidence and biased self attribution. On the other hand, foreign investors may pursue momentum trading in the process of correcting underreaction as Hvidkjaer (2006) suggests. In this scenario, the contrarian trading of individual investors delay reflection of foreign investors’ private information on the prices of winners and losers. Thus, the contrarian trading of individual investors is regarded as irrational behavior, while the momentum trading of foreign investors is as rational one.