Market anomalies in the Korean stock market

This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t -stati...

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Bibliographic Details
Published in:Seonmul yeongu (Online) 2020, 28(2), , pp.159-228
Main Authors: Han, Minyeon, Lee, Dong-Hyun, Kang, Hyoung-Goo
Format: Article
Language:English
Subjects:
anomaly
Asset allocation
Data mining
Derivatives
factor
Friction
Institutional investments
Investors
microcap stocks
Performance evaluation
Portfolio management
Statistics
tactical asset allocation
경영학
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Summary:This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t -statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t -statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously.
ISSN:2713-6647
1229-988X
2713-6647
DOI:10.1108/JDQS-03-2020-0004