Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/337212 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Derivatives and Quantitative Studies: Seonmul yeon'gu (JDQS) [ISSN:] 2713-6647 [Volume:] 28 [Issue:] 2 [Year:] 2020 [Pages:] 3-50
Publisher: 
Emerald, Leeds
Abstract: 
This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value-weighted or equal-weighted portfolios are used. The results suggest that data mining explains large portion of abnormal returns. Any tactical asset allocation strategies based on market anomalies should be applied very cautiously.
Subjects: 
Data mining
Anomaly
Factor
Microcap stocks
Tactical asset allocation
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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