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Negative Momentum Profit in Korea and its Sources
채준,엄윤성 한국증권학회 2009 Asia-Pacific Journal of Financial Studies Vol.38 No.2
To analyze the negative momentum profit in Korea, we further divide the decomposition of Lo and MacKinlay (1990) into winners’ and losers’ auto- and cross-serial covariances. We find that the negative autocovariance and the positive cross-serial covariance in Lo and MacKinlay’s decomposition are asymmetric between winners and losers. The negative autocovariance is mainly from losers and the positive cross-serial covariance mainly between past winners and current losers. By investigating time-series characteristics of auto- (cross-serial) covariances, we cannot observe any systematic change of auto- (cross-serial) covariances in the momentum period. Based upon the evidence in this paper, we argue that positive cross-serial covariance between past winners and current losers seems to be an important driving force behind the negative momentum profit in Korea. Therefore, investors’ underreaction to market-wide information would be plausible explanation of the negative momentum profit.