Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market

Cheoljun Eom and Jong Won Park

Research in International Business and Finance, 2021, vol. 57, issue C

Abstract: This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.

Keywords: Investor attention; Overconfidence; Momentum profits; Arbitrage portfolio; Random matrix theory; Singular value decomposition (search for similar items in EconPapers)
JEL-codes: G11 G12 G40 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:57:y:2021:i:c:s0275531921000258

DOI: 10.1016/j.ribaf.2021.101404

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