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We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other universes do but large-size companies such as the KOSPI 50 components hinder the performance of the momentum strategy. The observation is also cross-checked with size portfolios and liquidity portfolios. Transactions by investor groups, in particular, the trading patterns by foreign investors can be a source of the momentum universe shrinkage effect in the momentum returns.
We empirically test predictability on asset price by using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these altern
We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and finally ar
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for buying or selli
Shafer and Vovk introduce in their book Game-theoretic foundations for probability and finance the notion of instant enforcement. In this paper we introduce an outer measure on the space of continuous paths which assigns zero value exactly to those s
Suppose a classical electron is confined to move in the $xy$ plane under the influence of a constant magnetic field in the positive $z$ direction. It then traverses a circular orbit with a fixed positive angular momentum $L_z$ with respect to the cen