Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 강형구 | - |
dc.date.accessioned | 2022-02-08T07:41:58Z | - |
dc.date.available | 2022-02-08T07:41:58Z | - |
dc.date.issued | 2020-06 | - |
dc.identifier.citation | 선물연구, v. 28, no. 2, page. 159-228 | en_US |
dc.identifier.issn | 1229-988x | - |
dc.identifier.issn | 2713-6647 | - |
dc.identifier.uri | https://kiss.kstudy.com/thesis/thesis-view.asp?key=3800251 | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/167239 | - |
dc.description.abstract | We replicate 148 anomalies to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, we 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 we 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. Our results vary significantly depending on whether the sample included stocks in the KOSDAQ or not and whether value-weighted or equal-weighted portfolios are used. Our 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. | en_US |
dc.description.sponsorship | This research was conducted with the support of the 2019 Korean Derivatives Association (sponsored by Mirae Asset Global Investments). | en_US |
dc.language.iso | en | en_US |
dc.publisher | 한국파생상품학회 | en_US |
dc.subject | Data Mining | en_US |
dc.subject | Anomaly | en_US |
dc.subject | Factors | en_US |
dc.subject | Microcap Stocks | en_US |
dc.subject | Tactical Asset Allocation | en_US |
dc.title | Market Anomalies in the Korean Stock Market | en_US |
dc.type | Article | en_US |
dc.relation.no | 2 | - |
dc.relation.volume | 28 | - |
dc.identifier.doi | 10.1108/JDQS-03-2020-0004 | - |
dc.relation.page | 159-228 | - |
dc.relation.journal | 선물연구 | - |
dc.contributor.googleauthor | Han, Minyeon | - |
dc.contributor.googleauthor | Lee, Dong-Hyun | - |
dc.contributor.googleauthor | Kang, Hyoung-Goo | - |
dc.relation.code | 2020039871 | - |
dc.sector.campus | S | - |
dc.sector.daehak | SCHOOL OF BUSINESS[S] | - |
dc.sector.department | DEPARTMENT OF FINANCE | - |
dc.identifier.pid | hyoungkang | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.