The Momentum Strategies and Salience: Evidence from the Korean Stock Market

Myounghwa Sim, Jangkoo Kang, Hee-Eun Kim and Eunmee Lee

Emerging Markets Finance and Trade, 2022, vol. 58, issue 11, 3177-3190

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.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:58:y:2022:i:11:p:3177-3190

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DOI: 10.1080/1540496X.2022.2034615

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