Market efficiency anomalies in Korea : Mispricing vs. omitted risk factors

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)311-340
Journal / PublicationAsia-Pacific Financial Markets
Volume6
Issue number4
Publication statusPublished - 1999
Externally publishedYes

Abstract

Using a sample of Korean firms, this paper examines whether abnormal returns to various trading strategies based on publicly available information are consistent with mispricing (market inefficiency) or with the fundamental variables proxying for omitted risk factors. Results of various tests indicate that significant abnormal trading profits observed from DeBondt and Thaler's (1985) contrarian strategy and Ou and Penman's (1989) and Holthausen and Larcker's (1992) Pr-strategies are likely to be a result of market mispricing, while those from trading strategies based on firm size, earnings-to-price ratios, and book-to-price ratios are likely to be a result of omitted risk factors. © 1999 Kluwer Academic Publishers.

Research Area(s)

  • Abnormal returns to trading strategies, Korean evidence, Mispricing, Omitted risk factors

Citation Format(s)

Market efficiency anomalies in Korea : Mispricing vs. omitted risk factors. / Chung, Hay Y.; Kim, Jeong-Bon; Lee, Brian.

In: Asia-Pacific Financial Markets, Vol. 6, No. 4, 1999, p. 311-340.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review