Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market

[Display omitted] This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio...

Full description

Saved in:
Bibliographic Details
Published in:Research in international business and finance 2021-10, Vol.57, p.101404, Article 101404
Main Authors: Eom, Cheoljun, Park, Jong Won
Format: Article
Language:English
Subjects:
Arbitrage portfolio
Investor attention
Momentum profits
Overconfidence
Random matrix theory
Singular value decomposition
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by cdi_FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3
cites cdi_FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3
container_end_page
container_issue
container_start_page 101404
container_title Research in international business and finance
container_volume 57
creator Eom, Cheoljun
Park, Jong Won
description [Display omitted] This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.
doi_str_mv 10.1016/j.ribaf.2021.101404
format article
fullrecord <record><control><sourceid>elsevier_cross</sourceid><recordid>TN_cdi_crossref_primary_10_1016_j_ribaf_2021_101404</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0275531921000258</els_id><sourcerecordid>S0275531921000258</sourcerecordid><originalsourceid>FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3</originalsourceid><addsrcrecordid>eNp9kM1KAzEUhYMoWKtP4CYP0Kn5mUlmBBel-FMsuOk-ZG5uaFpnpiSx4Ns7ta5dXTjc73D4CLnnbM4ZVw-7eQyt9XPBBD8lJSsvyITXui6krMtLMmFCV0UleXNNblLaMSYaxsWE2FV_xJSHSG3O2Ocw9DPqQ-yKdEAIPgCFrY0WMsaQcoAZtb2j3dCNz1_dI11QsAnp4GneIn0fItqejoWwp52Ne8y35Mrbz4R3f3dKNi_Pm-Vbsf54XS0X6wKkVLlQwMqmUR6kqAE0eI2lq9CBZ4orh7Zxbam05KrVqmFO69ZLIXRdKnAC5ZTIcy3EIaWI3hxiGBd8G87MSZLZmV9J5iTJnCWN1NOZwnHZMWA0CQL2gC5EhGzcEP7lfwB71nIU</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market</title><source>ScienceDirect Journals</source><creator>Eom, Cheoljun ; Park, Jong Won</creator><creatorcontrib>Eom, Cheoljun ; Park, Jong Won</creatorcontrib><description>[Display omitted] This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.</description><identifier>ISSN: 0275-5319</identifier><identifier>EISSN: 1878-3384</identifier><identifier>DOI: 10.1016/j.ribaf.2021.101404</identifier><language>eng</language><publisher>Elsevier B.V</publisher><subject>Arbitrage portfolio ; Investor attention ; Momentum profits ; Overconfidence ; Random matrix theory ; Singular value decomposition</subject><ispartof>Research in international business and finance, 2021-10, Vol.57, p.101404, Article 101404</ispartof><rights>2021 Elsevier B.V.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3</citedby><cites>FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27924,27925</link.rule.ids></links><search><creatorcontrib>Eom, Cheoljun</creatorcontrib><creatorcontrib>Park, Jong Won</creatorcontrib><title>Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market</title><title>Research in international business and finance</title><description>[Display omitted] This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.</description><subject>Arbitrage portfolio</subject><subject>Investor attention</subject><subject>Momentum profits</subject><subject>Overconfidence</subject><subject>Random matrix theory</subject><subject>Singular value decomposition</subject><issn>0275-5319</issn><issn>1878-3384</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><recordid>eNp9kM1KAzEUhYMoWKtP4CYP0Kn5mUlmBBel-FMsuOk-ZG5uaFpnpiSx4Ns7ta5dXTjc73D4CLnnbM4ZVw-7eQyt9XPBBD8lJSsvyITXui6krMtLMmFCV0UleXNNblLaMSYaxsWE2FV_xJSHSG3O2Ocw9DPqQ-yKdEAIPgCFrY0WMsaQcoAZtb2j3dCNz1_dI11QsAnp4GneIn0fItqejoWwp52Ne8y35Mrbz4R3f3dKNi_Pm-Vbsf54XS0X6wKkVLlQwMqmUR6kqAE0eI2lq9CBZ4orh7Zxbam05KrVqmFO69ZLIXRdKnAC5ZTIcy3EIaWI3hxiGBd8G87MSZLZmV9J5iTJnCWN1NOZwnHZMWA0CQL2gC5EhGzcEP7lfwB71nIU</recordid><startdate>202110</startdate><enddate>202110</enddate><creator>Eom, Cheoljun</creator><creator>Park, Jong Won</creator><general>Elsevier B.V</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>202110</creationdate><title>Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market</title><author>Eom, Cheoljun ; Park, Jong Won</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Arbitrage portfolio</topic><topic>Investor attention</topic><topic>Momentum profits</topic><topic>Overconfidence</topic><topic>Random matrix theory</topic><topic>Singular value decomposition</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Eom, Cheoljun</creatorcontrib><creatorcontrib>Park, Jong Won</creatorcontrib><collection>CrossRef</collection><jtitle>Research in international business and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Eom, Cheoljun</au><au>Park, Jong Won</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market</atitle><jtitle>Research in international business and finance</jtitle><date>2021-10</date><risdate>2021</risdate><volume>57</volume><spage>101404</spage><pages>101404-</pages><artnum>101404</artnum><issn>0275-5319</issn><eissn>1878-3384</eissn><abstract>[Display omitted] This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.</abstract><pub>Elsevier B.V</pub><doi>10.1016/j.ribaf.2021.101404</doi></addata></record>
fulltext fulltext
identifier ISSN: 0275-5319
ispartof Research in international business and finance, 2021-10, Vol.57, p.101404, Article 101404
issn 0275-5319
1878-3384
language eng
recordid cdi_crossref_primary_10_1016_j_ribaf_2021_101404
source ScienceDirect Journals
subjects Arbitrage portfolio
Investor attention
Momentum profits
Overconfidence
Random matrix theory
Singular value decomposition
title Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-08T03%3A16%3A25IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-elsevier_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Investor%20attention,%20firm-specific%20characteristic,%20and%20momentum:%20A%20case%20of%20the%20Korean%20stock%20market&rft.jtitle=Research%20in%20international%20business%20and%20finance&rft.au=Eom,%20Cheoljun&rft.date=2021-10&rft.volume=57&rft.spage=101404&rft.pages=101404-&rft.artnum=101404&rft.issn=0275-5319&rft.eissn=1878-3384&rft_id=info:doi/10.1016/j.ribaf.2021.101404&rft_dat=%3Celsevier_cross%3ES0275531921000258%3C/elsevier_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c336t-6c04996fc328cc7cf7e4d5edcf0616dea9db467316b7690d77bf3227846cd2e3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true