, 40 3 4 (2006 12 ) * 1) *** *** 1995 2005,.. (i). (ii).. (iii) (effective spread).,.. I. Debondt and Thaler(1985) (-), (loser) (winner) *.. ** ( ) ***
62, 40 3 4.. Jegadeesh(1990), 2.5%, ehmann(1990) 1.7%. Ball, Kothari, and asley(1995) Conrad, Gultekin, and Kaul(1997) (bid-ask spread)., (2002),, (2003) (+). (Debondt and Thaler, 1985), 1 (Zarowin, 1990), - (o and Mankinlay, 1990), (Conrad and Kaul, 1998),,. Campbell, Grossman, and ang(1993: CG ),... Conrad, ameed, and Niden(1994) NASDAQ, Cooper(1999) NYSE-AMEX., (1997)
63., (-)., (1998),. (2003) 1980 2000 12 15,.,.. Amihud and Mendelson(1986) (+), Chalmers and Kadlec(1998) (amortized effective spread) (+). Brennan and Subrahmanyam(1996) (signed order flow) (price impact) (+). CG. ( ),.
64, 40 3 4.,. Avramov, Chordia, and Goyal(2005) CG. 1, 1 (-)., CG. 1995 2005, ehmann (1990) Jegadeesh(1990) CG Avramov, Chordia, and Goyal(2005).,,.. (effective spread),., Jensen(1978) Rubinstein(2001),.. II, III,
65. IV, V. II. 1995 1 2005 10 (KSE: Korea Stock Exchange) 974 1,000.,. 1,000. (survivorship bias).,, FnGuide DataGuidePro 974,,,,,, /. 1980 / 1995 1995 1 2005 10 525, 129., (Korea Exchange) KSE Database 2002 1 2005 6.
66, 40 3 4 (turnover).. 거래주식수( Number of Shares Traded ) 거래회전율 ( Turnover) = (1) 총발행주식수( Number of Shares Outstanding) ( ). Turnover it = 1 D it D it å d = 1 Number of Number of Shares Traded itd Shares Outstanding itd (2) D it : (t) i Number of Shares Traded itd : d i Number of Shares Outstanding itd : d i (liquidity). Amihud and Mendelson(1980) (order flow), (market order). Kraus and Stoll(1972) Keim and Madhavan(1996) (bid-ask spread)
67. Easley, vidkjaer, and O ara(1999),.,. (illiquidity) Amihud(2002). IIQ it 1 = D D it å it d = 1 R itd DVO itd * 10 6 (3) D it : (t) i R itd : d i DVO itd : d i Kyle(1985). arris and Raviv(1993).., 10. 1,000
68, 40 3 4. (3), -0.08. (3). CG,. CG,.,,..,. CG,.,,. (t-1) - (+) (-). ( -8.88%), ( -2.50%), ( 2.32%), ( 9.79%) 4. 4 Return 1, Return 2, Return 3, Return 4
69. - - ehmann(1990) Jagadeesh(1990) (bid-ask bounce) (-). 4. 8 64. (+) (-), 4. 4. 64. 1995 2005,.
70, 40 3 4 III. 2., ( ) ( ) (t - 1)., ( ) ( )., ( 4) ( 1) (-),. (+).,. CG. t-1 t., 1 2 Panel B. 1 t-1,, t. (Return 1) 16,.
71 Panel A: (t - 1) Panel B: (t) (Return), (Turnover), (Illiqudity) 1. ( 4) ( 1) 0.27% 0.80%. (Turnover 4) (Turnover 1) 0.10% 0.60%. 0.20%
72, 40 3 4,, 1. 90%, 95%, 99%. Turnover 1 2 3 4 4-1 Turnover 1 2 3 4 4-1 Return Portfolio 1 Return Portfolio 2 1 2 3 4 4-1 1 2 3 4 4-1 0.04 8.30 0.06 6.97 0.24 6.40 0.20 6.84 0.10 7.74 0.07* 8.67* 0.11* 7.23* 0.30* 6.90* 0.36* 7.39* 0.24* 6.99* 0.22 9.54 0.76*** 6.91 0.63** 6.73 0.42** 6.15 0.19 7.62 0.41 14.12 0.58** 8.27 0.85*** 6.71 0.94*** 5.33 0.63* 11.12 0.27 12.09 0.47** 6.82 0.60*** 5.64 0.80*** 5.67 0.90*** 6.37-0.75*** 7.46 0.00 6.44 0.18 5.73 0.25* 5.45 0.95*** 6.92-0.59** 7.74 0.09 6.36 0.14 5.83-0.17 5.30 0.41* 6.37 0.17 8.49 0.26 6.52 0.41** 6.00 0.16 4.82 0.00 6.80 Return Portfolio 3 Return Portfolio 4-0.30 9.48 0.63** 8.26 0.48** 6.08 0.41** 4.76 0.57** 7.18 0.57** 8.24 0.55** 7.52 0.30* 5.03 0.19* 4.47 1.14*** 1 2 3 4 4-1 1 2 3 4 4-1 0.01 4.57 0.30* 6.19 0.85*** 7.65 0.13 10.10 0.07 7.25 0.22* 4.84 0.03 5.97 0.26 6.31-0.11 9.62-0.31 8.46-0.03 5.12 0.41** 5.63 0.08 6.17-0.87*** -1.02*** -1.09*** 7.35-0.83*** -1.00*** -1.02*** 6.14-0.02 5.27-0.16 5.37-0.29* 6.04 7.15 6.55-0.02 4.98-0.45** 5.83-1.03*** 6.61 8.51 5.84-0.27* 5.55 0.55** 7.33-0.13 8.56-0.45 13.51-0.15 12.18 0.15 6.97 0.23 6.60-0.39* 7.33-0.73** 8.54-0.84** 8.67-0.45* 7.16-0.31* 6.48-0.36* 6.23 6.09-0.79*** -1.63*** -1.21*** 7.46-0.44* 7.93-0.25 7.24-0.20 5.81-0.51** 6.17 6.89-1.47*** -1.36*** 7.27 0.11 6.84-0.70*** 7.07-0.37* 7.92 11.93 6.44 0.94%, 0.74%. (Return 4) 2 Panel B 16 13,,
73.,.,,.,. 1 2 t-1 t.. t-1 ( ) t ( ).,. Jegadeesh(1990)., : R it = a + b R -1 + e (4) t t it it,, ( : b). 2. Panel A
74, 40 3 4 R a + b R + e (b), t it = t t it-1 it. Panel A, Panel B, Panel C, Panel D. Panel A: All -0.055 (-8.34) Panel B: Turnover Panel C: 1 2 3 4 0.010 (0.91) -0.050 (-5.30) -0.077 (-9.32) -0.086 (-8.88) 1 2 3 4-0.024 (-2.24) -0.042 (-4.79) -0.072 (-8.80) -0.101 (-10.26) Panel D: Turnover and Turnover 1 2 3 4 1 2 3 4 0.020 (1.33) -0.055 (-3.39) -0.080 (-4.12) -0.090 (-1.35) 0.013 (0.85) -0.030 (-2.23) -0.081 (-5.82) -0.076 (-4.67) -0.027 (-1.27) -0.072 (-4.65) -0.081 (-7.08) -0.081 (-6.27) 0.307 (1.46) -0.081 (-4.22) -0.094 (-7.28) -0.127 (-11.37) -0.055 t-1 ( ) t ( ). Panel B, Panel C..
75. Panel D. -0.090-0.127. 0.307-0.127. t-1 t,. (-),. ehman(1990), o and MacKinlay(1990) Conrad, ameed, and Niden(1994).,, Conrad, ameed, and Niden(1994).,, 3 i t 8. w pit = R T it-1 it-1 it-1 N å p i = Rit- Tit- 1 1 1 it-1 (4) p =,,,,,,, T it-1 : t-1 i
76, 40 3 4 it-1 : t - 1 i N p :. 3 t.,., () 0.73% 1.68% () -1.21% -2.18%. () () -0.24-0.30%. 3 (zero-investment portfolio).,, (,, -) t 1.40%(,, - 1.35%), (, -, ) 2.32%(, -, 2.27%).
77,, (4). 90%, 95%, 99%. Sorting Criterion Return Turnover Return - - - - - - - - - - - - -1.21*** 6.62-1.25*** 8.33-0.41*** 4.96-0.24*** 5.44 0.04 5.92-0.17*** 4.38-0.80*** 4.88-1.00*** 6.66 0.73 5.49 0.32 5.77 0.17 7.95-0.63*** 6.77 0.41 3.59 0.81 5.83 0.56 5.54 0.95*** 4.20 1.93*** 5.00 1.56*** 7.38 0.58 6.71-0.39*** 5.59 Return Turnover -1.96*** 9.31-1.82*** 11.15-0.37*** 4.85-0.30*** 5.20-0.15*** 10.14-0.06*** 4.47-1.59*** 8.47-1.51*** 10.02 0.72*** 5.21 0.25*** 5.72-0.47*** 10.77-1.95*** 8.35 0.48*** 3.70 1.48*** 10.05 1.19*** 9.19 2.20*** 6.72 2.69*** 8.23 2.06*** 10.39-0.10*** 9.91-1.65*** 7.47 eighting Criterion Return -1.35** 6.57-0.94 11.91-0.42 4.88-0.27 8.54-0.41 10.38-0.15 8.48-0.93 4.76-0.67 12.61 1.62*** 6.60 0.34*** 5.76 0.01* 9.60-0.67 6.76 1.29*** 6.37 0.68*** 8.31 1.62*** 9.31 1.00*** 4.44 2.97*** 7.15 1.27*** 11.59 0.43*** 8.84-0.40 9.45 Return Turnover -2.18 9.19-1.53* 14.10-0.37*** 4.80-0.30*** 8.52-0.66*** 13.13-0.07*** 8.50-1.81** 8.30-1.22** 14.66 1.68*** 6.57 0.28*** 5.66-0.63*** 12.06-1.99* 8.61 1.40*** 6.49 1.35*** 12.08 2.32*** 12.02 2.27*** 7.24 3.86*** 9.50 1.80*** 13.80-0.26*** 11.48-1.68** 10.85 Equal eight -0.86*** 5.92-0.26 6.67-0.10 4.56 0.08 4.56-0.60*** 3.39-0.18 2.92-0.76*** 3.30-0.34 3.88 0.59*** 5.03 0.23 5.18 0.38 6.89-0.34 6.26 0.36*** 2.59 0.72*** 3.98 0.21* 3.74 0.57*** 3.11 1.44*** 3.31 0.49** 5.02 0.48** 5.15-0.42** 3.71
78, 40 3 4 3.,, (4) 3.86%. 3 : (i). (ii). (iii).,,,.. (,, -,, -), (,, -,, -), (, -,, -, ), (, -,, -, ).,.. (zero-investment portfolio).
79,, (4). 90%, 95%, 99%. Sorting Criterion Return Turnover Return - - - - - - - - - - - - -2.56** 16.03-3.34*** 13.56-0.38 10.17-0.18 11.62 0.77 11.97-0.20 7.56-2.18** 12.41-3.16*** 10.21 1.44 16.52-1.04 14.59 1.93* 10.96 0.74 11.36 2.47** 10.05 1.18 7.23-0.49 10.22-1.78*** 8.62 4.00*** 13.36 2.30** 11.33 2.31** 8.72 0.92 9.18 Return Turnover -4.34 22.53-5.82 17.25-0.23*** 9.63 0.39*** 11.27 1.47*** 20.79-0.62*** 8.29-4.11 20.98-6.20 14.90-0.42*** 21.31-2.73** 17.93 1.78*** 10.61 0.58*** 10.61 2.31*** 16.53 1.20*** 7.62-2.20** 17.72-3.31** 13.63 3.92*** 24.45 3.08*** 17.08 2.01*** 8.60 0.19*** 9.67 eighting Criterion Return -2.78*** 20.88-3.23*** 13.23-1.32*** 15.41 0.16*** 11.19 0.45 17.73-1.48*** 16.18-1.46** 23.24-3.39*** 10.24 1.87 19.42-1.40*** 14.62 4.77 15.49 0.77** 11.12 3.27 15.76 4.00 14.56-2.90*** 18.88-2.17*** 8.94 4.65 21.91 1.83 10.87 6.09* 20.37 0.61*** 9.22 Return Turnover -4.12*** 25.68-5.75*** 16.83-1.05*** 15.14 0.69*** 10.79 1.63*** 24.30-1.74*** 16.62-3.07*** 27.96-6.44*** 14.76 0.07*** 24.01-3.52*** 17.85 4.52*** 15.34 0.51*** 10.29 3.59*** 20.85 4.00*** 14.98-4.44*** 23.26-4.03*** 13.78 4.19* 30.04 2.23*** 15.87 5.56** 20.41-0.18*** 9.65 Equal eight -0.19 13.47-1.93** 12.02 0.83 9.17 0.09 10.71 1.74** 7.55 0.74 5.58-1.01* 8.27-2.02*** 6.42 1.51 14.16-0.80 13.69 1.75 10.26 0.64 11.01 2.31*** 7.95 1.11 6.16-0.24 7.49-1.45*** 7.35 1.69** 7.16 1.13 6.52 0.92 5.16 0.55 6.69
80, 40 3 4 (, -, ) -1.46% -4.11%. (,, -). (,, ) (,, ).. (,, -) 2.31% 3.27%. (, -,, -, ). IV. 1. 0.94%,.,.,. (effective spread)
81, 1). 5 Panel A 1. 638.637, 47.981. 0.00003, 0.00101 30.., 3.84, 1.29.. 5 Panel B 2002 2005., (proportional effective spread) 0.858% 1.886% 1 0.94%.. 6 (4). < 5>,,,.. < 3>, 3.86%, 5.14%. 1) (1996), (2000).
82, 40 3 4 Panel A 1.. Sz Rank ( 1, 5), (volume). Panel B 2002 2005, (PQSPR: proportional quoted spread) (PESPR: proportional effective spread). Panel A: KSE Sample for 1995 to 2005 1 2 3 4 Turnover Sz Rank Turnover Volume Sz Rank Turnover Volume Sz Rank Turnover Volume Sz Rank Turnover Volume Return Portfolio 1 Return Portfolio 4 1 2 3 4 1 2 3 4 4.99 0.0033 507.009 0.00002 4.92 0.0064 598.708 0.00002 4.62 0.0119 422.847 0.00003 3.69 0.0570 522.747 0.00003 4.64 0.0033 52.212 0.00009 3.95 0.0069 48.982 0.00007 3.27 0.0130 52.914 0.00012 2.23 0.0413 67.944 0.00010 Panel B: KSE Sample for 2002 to 2005 1 2 3 4 Turnover PQSPR PESPR PQSPR PESPR PQSPR PESPR PQSPR PESPR 3.76 0.0030 16.728 0.00033 2.74 0.0068 17.567 0.00026 1.98 0.0124 19.616 0.00029 1.36 0.0321 28.799 0.00031 2.33 0.0027 5.679 0.00558 1.56 0.0072 8.197 0.00190 1.21 0.0122 9.373 0.00142 1.19 0.0435 54.371 0.00175 4.99 0.0033 947.851 0.00002 4.94 0.0061 822.370 0.00002 4.70 0.0121 523.462 0.00003 3.84 0.0593 638.637 0.00003 4.70 0.0034 68.577 0.00010 4.14 0.0067 62.921 0.00009 3.49 0.0139 69.312 0.00016 2.48 0.0532 116.124 0.00007 3.85 0.0033 24.092 0.00042 2.99 0.0075 24.522 0.00023 2.28 0.0139 28.802 0.00033 1.65 0.0499 62.635 0.00017 Return Portfolio 1 Return Portfolio 4 2.48 0.0035 9.985 0.00761 1.77 0.0084 11.995 0.00186 1.42 0.0169 17.356 0.00273 1.29 0.0520 47.981 0.00101 1 2 3 4 1 2 3 4 0.208 1.215 0.233 1.250 0.239 1.291 0.858 1.879 0.615 1.268 0.590 1.217 0.556 1.277 0.962 1.822 0.600 1.026 0.609 1.126 0.788 1.345 1.131 1.755 1.056 1.225 1.007 1.274 1.215 1.420 1.886 1.987 0.199 1.284 0.282 1.225 0.247 1.280 0.832 1.822 0.921 1.270 0.597 1.255 0.532 1.296 0.974 1.907 0.726 1.032 0.721 1.125 0.797 1.400 1.262 2.018 1.254 1.264 1.138 1.392 1.367 1.604 1.842 2.106
83 Panel A (4).. Sz Rank ( 1, 5), (volume). Panel B 2002 2005, (PQSPR: proportional quoted spread) (PESPR: proportional effective spread). Panel A : KSE Sample for 1995 to 2005 Sorting Criterion Descriptives Return Turnover Sz Rank Turnover Volume - - - - Panel B: KSE Sample for 2002 to 2005 Sorting Criterion 1.49 2.49 1.74 4.19 1.39 2.33 1.62 4.06 1.63 3.44 2.03 4.34 0.0769 0.1114 0.0073 0.0063 0.0596 0.0808 0.0056 0.0065 0.1426 0.2089 0.0140 0.0216 Descriptives 86.531 252.419 10.528 100.173 87.843 146.184 7.515 69.784 206.673 536.772 24.237 195.114 Return Turnover PQSPR PESPR - - - - 2.102 1.491 1.478 0.552 1.721 1.416 1.242 0.529 6.010 4.170 1.993 0.779 2.464 2.406 1.543 1.189 1.975 2.276 1.421 1.176 5.141 3.743 1.869 1.412 0.00233 0.00009 0.01369 0.00011 0.00162 0.00009 0.01374 0.00010 0.00435 0.00017 0.03670 0.00023 5 6, Jesen(1978) Rubinstein(2001).
84, 40 3 4 V.. CG. CG,,. CG,. CG. : 1, 1. (-).., (-),..,.
85, (-),.. (2003),, 14, 63-81., (2000),, 18 2, 215-244., (1997),, 3 2, 1-34., (1998),, 22, 73-109.,, (2003),, 2003 4, 419-445., (2002),, 19 2, 49-75. (1996), -, 2 1, 29-46. Amihud, Y. and Mendelson,. (1986), Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249. Amihud, Y. (2002), and stock returns: cross-section and time series effects, Journal of Financial Markets 5, 31-56. Avramov, D., Chordia, T, and Goyal, A. (2005), iquidity and Autocorrelations in Individual Stock Returns, forthcoming in Journal of Finance
86, 40 3 4 Ball, R.B. and C. asley (1995), Can e Implement Research on Stock Trading Rules, Journal of Portfolio Management, 54-63. Brennan, M.J. and Subrahmanyam, A. (1996), Market microstructure and asset pricing: on the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464. Campbell, J.Y., S.J. Grossman, and J. ang (1993), Trading volume and serial correlation in stock return, Quarterly Journal of economics 108. Chalmers, J.M.R. and G.B. Kadlec (1998), An empirical examination of the amortized spread, Journal of Financial Economics 48, 159-188. Conrad, J.S., A. ameed, and C. Niden (1994), Volume and auto-covariances in short-horizon individual security returns, Journal of Finance 49, 1305-1329. Conrad, J.S., M. Gultekin, and G. Kaul (1997), Profitability of short-term contrarian strategies: Implications for market efficiency, Journal of Business and Economic Statistics 15, 379-386. Cooper, M. (1999), Filter rules based on price and volume in individual security overreaction, Review of Financial Studies 12, 901-935. Debondt, F.M. and R.. Thaler (1985), Does the stock market overreact? Journal of Finance 40, 793-805. Easley, D., S. vidkjaer, and M. O ara (1999), Is information risk a determinant of asset returns? orking Paper, Cornell University. Fama, E.F. and J.D. Macbeth (1973), Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636. arris, M. and Raviv, A. (1993), Differences of opinion make a horse race, Review of Financial Studies 6, 473-506. Jegadeesh, N. (1990), Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898. Jensen, M. (1978), Some anomalous evidence regarding market efficiency, Journal of Financial Economics 6, 95-101. Keim, D.B. and A. Madhavan (1996), The upstairs market for large-block
87 transactions: analysis and measurement of price effects, Review of Financial Studies 9, 1-36. Kraus, A. and.r. Stoll (1972), Price impacts of block trading on the New York Stock Exchange, Journal of Finance 27, 569-588. Kyle, A. (1985), Continuous auctions and insider trading, Econometrica 53, 1315-1335. ehmann, B. (1990), Fads, martingales, and market efficiency, Quarterly Journal of Economics 105, 1-28. o, A.. and A.C. MacKinlay (1990), hen Are Contrarian Profits Due to Stock Market Overreaction, Review of Financial Studies, 175-205. Roll, R. (1984), A Simple Implicit Measure of the Bid Ask Spread in an Efficient Market, Journal of Fiance 39, 1127-1159. Rubinstein, M. (2001), Rational markets: Yes or no? The affirmative case, Financial Analysts Journal 57, 15-28. Zarowin, P. (1989), Short-run Market Overreaction: Size and Seasonality Effects, Journal of Portfolio Management, 26-29.
88, 40 3 4, Transaction Costs, and Abnormal Returns on Contrarian Strategies using Short-term Reversals in the Korean Stock Market 2)o-Joong Yun** Jaeho Cho** Using stocks listed in Korea Stock Exchange from 1995 to 2005, we examine whether short-term reversals exist in the Korean stock market, and explore the relationship between short-term reversals and stock illiquidity after controlling volume of trades. e find that stocks with higher turnover and higher illiquidity show stronger reversals, and that contrarian strategies using stronger reversals generate larger abnormal returns. These abnormal returns can be interpreted as compensations paid to liquidity-providers for accommodating liquidity pressures caused by non-informational demands for immediacy. e also find that abnormal profits disappear when transaction costs incurred in implementing contrarian strategies, measured by effective spreads, are taken into account. This result implies that the short-term reversal phenomenon cannot be considered as an evidence against market efficiency in the sense of Jensen (1978) and Rubinstein (2001). Keywords: Reversal, Contrarian Strategy, Turnover,, Effective Spread *Samsung Electronics **College of Business Administration, Seoul National University