Economics at your fingertips  

Is Low-Volatility Investing Sustainable in the SME Stock Market of Korea? A Risk and Return Analysis

Jungmu Kim () and Yuen Jung Park ()
Additional contact information
Jungmu Kim: Department of Business Administration, Yeungnam University, Gyeongsan 38541, Korea
Yuen Jung Park: Department of Finance, College of Business, Hallym University, Chuncheon 24252, Korea

Sustainability, 2019, vol. 11, issue 13, 1-17

Abstract: This study examines the risks and profitability of low-volatility investing in the Korean Securities Dealers Automated Quotations (KOSDAQ) market during the 2001–2017 period. We chose the KOSDAQ market because noise trading is dominant and stocks are likely to be mispriced. We, therefore, expected that low-volatility investing could generate robust profits on the KOSDAQ market, unlike investing on the KOSPI market. Our empirical results support our prediction. Several risk metrics also indicated that this strategy can be implemented in practice. Furthermore, our findings suggest that the idiosyncratic volatility anomaly can be magnified by the mispricing effects of noise trading.

Keywords: anomaly; factor investing; idiosyncratic volatility; SME; sustainable strategy (search for similar items in EconPapers)
JEL-codes: Q Q0 Q2 Q3 Q5 Q56 O13 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Sustainability is currently edited by Prof. Dr. Marc A. Rosen

More articles in Sustainability from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2019-10-20
Handle: RePEc:gam:jsusta:v:11:y:2019:i:13:p:3654-:d:245226