Earticle

초록

영어

Recently, many market anomalies such as the size effect, the P/E effect and the January effect have been reported in the stock market. The January effect represents a strong evidence against the efficient market hypothesis. If investors are rational and the market is efficient, there can be no reason that returns in some specific months are higher than returns in other months. Nevertheless, many empirical evidences on stock return anomalies have been found in major stock markets in the world. Using Korean stock market data, Kim(1990), Jang(1991), Koh and Rho(1993) reported the January effect However, these reports have certain limitations due to the lack of both time periods and data used for the research. To get more persuasive and comprehensive evidence, this work attempts; 1. to test the existence of stock return data using monthly stock return series from January 1980 to December 1995. Both of parametric test and non-parametric test are applied. 2. to test the weekly stock return data. Therefore the number of observations has been increased. 3. to test the relationship between the stock price index by the sizes; small, middle, large and overall. The test results in this work are summarized as follows; 1. Using monthly data, the monthly effect was found in middle sized firms, while, no January effect was found. 2. Using weekly data, the monthly effect was found in middle and small sized firms and the January effect was found in small sized firms. 3. The turn-of-the year effect was not found.

목차

I. 서론
  1. 연구의 목적
  2. 연구의 방법
 II. 1월효과에 관한 선행연구
  1. 세금손실매각가설( tax-loss-selling hypothesis)
  2. 거래비용가설 (transaction cost hypothesis)
  3. 기업정보와 관련된 연구
  4. 과잉반응가설 (overreaction hypothesis)
  5. 포트폴리오 제조정가설 (portfolio rebalancing hypothesis)
  6. 우리나라의 기존 연구
 III. 연구방법
  1. 분석자료
  2. 가설의 설정 및 검증방법
 lV. 실증분석 결과
  1. 월별수익률의 특성 분석
  2. 월별효과
  3. 연말연시효과
 V. 결론
 참고문헌
 Abstract

저자

• 안성연 [ Sung Youn An | 그랜드 하얏트 서울 상무이사 ]
• 조정원 [ Jung Weon Cho | 부은경영정보연구소 책임연구위원 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  기업경영연구 [Korean Corporation Management Review]

• 간기

  격월간

• pISSN

  1229-957X

• 수록기간

  1994~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 658