산업 내 단기 수익률 반전 현상의 실증적 분석

This study empirically investigates the profitability and robustness of the intra-industry short-term return reversal strategy in the Korean stock markets, based on the analytical framework of Hameed and Mian (2015). Unlike unconditional reversal strategies, this strategy involves buying stocks that have underperformed and selling those that have outperformed relative to their industry peers. The analysis reveals that the intra-industry reversal strategy yields higher returns and stronger explanatory power than the unconditional reversal strategy, and its performance remains statistically significant across various robustness checks. In particular, the reversal effect is more pronounced among small-cap and illiquid stocks, suggesting that price distortions driven by liquidity shocks may occur structurally within industries. Furthermore, the strategy proves to be more effective in down markets, during periods of high financial stress, and when economic sentiment is weak, indicating that market uncertainty and liquidity constraints play a key role in amplifying reversal effects. This study contributes to the literature by extending prior research—primarily focused on developed markets—into the context of Korea, and provides empirical evidence that industry-based reversal strategies are also effective in emerging markets. Moreover, the findings highlight that this strategy delivers consistent profitability across various asset characteristics, suggesting its potential as a universal and structurally sound investment approach with practical implications for portfolio construction.