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한국파생상품학회> 선물연구> The effect of short-term return reversals on momentum profits

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The effect of short-term return reversals on momentum profits

Myounghwa Sim , Hee-eun Kim
  • : 한국파생상품학회
  • : 선물연구 29권3호
  • : 연속간행물
  • : 2021년 09월
  • : 174-189(16pages)
선물연구

DOI


목차

1. Introduction
2. Data and methodology
3. Term structure of momentum profits
4. Term structure of momentum profits and short-term return reversal
5. Conclusion
Notes
References

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초록 보기

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.

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간행물정보

  • : 사회과학분야  > 경영학
  • : KCI등재
  • :
  • : 계간
  • : 1229-988x
  • : 2713-6647
  • : 학술지
  • : 연속간행물
  • : 1993-2021
  • : 374


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The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow news. The literature has determined the monetary policy (MP) effects on these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the above-mentioned news components under a structural vector autoregression (SVAR) setup. Under this approach, one can apply an MP indicator in the SVAR, which helps forecast equity excess returns along with its external instruments for identification. Further, this study uses the various recently proposed measures of exogenousMP shocks and Fed information shocks as external instruments, and shows the different patterns of the news components' responses depending on the information in the applied instruments.

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초록보기

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to two months but is substantially weakened when past performance over the last two months is not taken into account for portfolio formation. Their evidence suggests that the term structure of momentum profitability arises primarily from a carryover of the return reversal from the previous two months.

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