TY - JOUR
T1 - Market efficiency anomalies in Korea
T2 - Mispricing vs. omitted risk factors
AU - CHUNG, Hay Y.
AU - KIM, Jeong-Bon
AU - LEE, Brian
PY - 1999/12
Y1 - 1999/12
N2 - 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.
AB - 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.
KW - Abnormal returns to trading strategies
KW - Korean evidence
KW - Mispricing
KW - Omitted risk factors
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UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-52549109439&origin=recordpage
U2 - 10.1023/A:1010060611391
DO - 10.1023/A:1010060611391
M3 - RGC 21 - Publication in refereed journal
SN - 1387-2834
VL - 6
SP - 311
EP - 340
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
IS - 4
ER -