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.

这项研究通过结合投资者的注意力以及共同因素和公司特定因素的性质来检验负动量利润的来源。我们选择韩国股票市场为一个很好的案例，来描述在亚洲发现的负动量利润。在投资组合和股票分析中，都设计了一种方法，可以通过投资者的关注来生成涉及股票组中每个常见因素和公司特定因素的属性的收益数据。这项研究发现，在股票组中，受到投资者高度关注的是巨大的负动量利润。这种动量效应在很大程度上取决于过去失败者投资组合的反转表现，而不是过去胜利者投资组合的持续表现，这种反转很大程度上归因于公司特定因素的属性，而不是共同因素的属性。