Market Anomalies in the Korean Stock Market

초록

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.

키워드