ABSTRACT

This study compares momentum strategies based on traditional, idiosyncratic, rank, and sign momentum measures in the Korean stock market. We find that the traditional momentum strategy underperforms and suffers long-term return reversals, while other strategies (idiosyncratic, rank, and sign) exhibit stable profits. We employ a direct measure of salience and suggest that the unprofitability of the traditional momentum strategy in the Korean market can be explained by the salience effect. We further show that the traditional momentum strategy can be profitable after excluding stocks with salient payoffs in the formation period.

中文翻译：

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动量策略和显着性：来自韩国股市的证据

摘要

本研究比较了韩国股市中基于传统、特殊、等级和符号动量测量的动量策略。我们发现传统的动量策略表现不佳并遭受长期回报逆转，而其他策略（异质、等级和符号）表现出稳定的利润。我们采用了显着性的直接衡量方法，并建议传统动量策略在韩国市场的无利可图可以用显着性效应来解释。我们进一步表明，传统的动量策略在排除形成期收益显着的股票后可以盈利。