You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Article
Title:
Illiquidity, duration and momentum profits: evidence from the Korean stock market
Contributor:
Bae, Jaewan;
Lee, Changjun
Published:
Emerald, 2021
Published in:
Journal of Derivatives and Quantitative Studies: 선물연구, 29 (2021) 1, Seite 49-72
Language:
English
DOI:
10.1108/jdqs-11-2020-0028
ISSN:
1229-988X;
2713-6647
Origination:
Footnote:
Description:
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor defined as the difference in returns of short-duration and long-duration stocks captures well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than competing asset pricing models in explaining the momentum effect. Finally, when controlling for the duration factor, the explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical finding indicates that the duration factor is the most important ingredient in understanding the momentum effect in the Korean stock market.