The Momentum Strategies and Salience: Evidence from the Korean Stock Market. Issue 11 (2nd September 2022)

• Record Type: Journal Article
• Authors: Sim, Myounghwa; Kang, Jangkoo; Kim, Hee-Eun; Lee, Eunmee
• Is Part Of: Emerging markets finance & trade. Volume 58:Issue 11(2022)
• Page Start: 3177
• Page End: 3190
• Publication Date: 2022-09-02
• Subjects: Momentum profit -- idiosyncratic momentum -- rank momentum -- sign momentum -- salience theory; G11 -- G12 -- G14; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2022.2034615
• Languages: English
• ISSNs: 1540-496X

Abstract

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.