Investor attention, firm-specific characteristic, and momentum: A case of the Korean stock market

Abstract

This study examines the sources of negative momentum profits by combining investor attention and the properties of common and firm-specific factors. We choose the Korean stock market as a good case to characterize the negative momentum profits identified in Asia. In both portfolio and stock analyses, a method is devised to generate return data involving the property of each common and firm-specific factor within stock groups by investor attention. This study found significant negative momentum profits within the stock group with high investor attention. This momentum effect is highly dependent on the reversed performance of the past loser portfolio, not the continued performance of the past winner portfolio, and this reversal is strongly attributable to the properties of firm-specific factors, and not those of common factors. These results are robustly consistent regardless of changes in empirical design and the consideration of influence factors, market dynamics, and other stock markets.