Earticle

초록

영어

Contrarian strategy using firm-specific component on stock returns can be more powerful than general strategy using total return, based on the literatures that argue that the contrarian profits are caused from investors’ irrational behavior about information. We find that the weekly contrarian profits of firm-specific component on stock returns is higher, more significant and steadier than those of total returns. This result is neither due to size or idiosyncratic volatility effect nor due to very high profits in special periods. Furthermore, all stocks in contrarian portfolios based on past firm-specific component generate significantly and continuously positive profits regardless of whether they belong to total-return-based contrarian portfolios, while stocks both in total-return-based and not in firm-specific-component-based contrarian portfolios cannot earn significant positive profits. Also, we decompose the contrarian profits based on firm-specific component, applying Lo and MacKinlay (1990). As a result, the profits are attributed to negative autocovariances in individual stocks’ firm-specific components rather than positive cross-serial covariances across securities’. Further decomposing Lo and MacKinlay’s decomposition into each winners and losers and into between them to calculate their own and mutual relation in auto- and cross-serial covariances, we reveal that winners are strongly negatively autocorrelated although losers are positively autocorrelated and cross-serial correlated. Therefore, when we consider that size of winners is bigger than that of losers, it is one of the sources of contrarian profits based on firm-specific component that investors overreact to good firm-specific news of large stocks.

목차

Abstract
 I. Introduction
 II. Data and Methodology
  A. Data
  B. Estimation of Firm-specific Component on Stock Returns
  C. Formation of Contrarian Strategy Portfolio
 III. The Characteristics of Contrarian Strategy Portfolio
 IV. The Performance of Contrarian Strategy
  A. Contrarian Profits based on the Total Returns and the Expected Returns
  B. Contrarian Profits based on the Firm-specific Component
  C. Contrarian Profits in Subperiod
  D. Size and Idiosyncratic Volatility Effect
  E. Subsets of Firm-specific Component and Total Returns
 V. The Decomposition of Contrarian Profits
  A. Decomposition
  B. Lo and MacKinlay Type Contrarian Profits
  C. Sources of the Contrarian Profits
  D. Decomposition of Decomposition
  E. Robust Check of Decomposition with Liquidity Factor
 VI. Conclusion
 Appendix
 REFERENCES

키워드

저자

• Ryumi Kim [ Seoul National University, Business School ]
• Joon Chae [ Seoul National University, Business School ]

참고문헌

발행기관

간행물

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• 간행물명

  한국재무학회 학술대회

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  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330