Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this … explanatory power of the foreign/institutional illiquidity factor on the momentum profits disappears. In sum, our empirical …