earticle

영어

The momentum effect is the phenomenon that the higher the past return of the asset, the more persistent the high return. We can find the momentum effect in not only equity, but also several other asset classes and the U.S. In addition, it is found in various regions, and various kinds of momentum strategies are appearing. In particular, among other assets, recent studies have argued that momentum effects exist in the corporate bond market (Pospisil and Zhang, 2010; Jostova et al., 2013; Israel et al. 2017; Houweling and Zundert, 2017, Ho and Wang, 2018). However, empirical studies on the momentum phenomenon in Korea are mostly limited to stocks. Among other assets, although bonds have a large portion of the domestic financial market, studies on the existence of momentum in the bond market are still difficult to find in Korea. Our results are as follows. First, the higher the past return of the bond, the higher the future past return. In other words, we can verify the momentum effect. The momentum strategy with six months formation periods and six months holding periods shows an average return of 0.27% per month (3.26% per year). And the corporate bond momentum is not explained by the existing systematic risk factors for bonds and stocks (Fama and French, 1993, Carhart 1997). Thus, we cannot conclude that the observed momentum of corporate bonds is associated with compensation for systematic risk. The profitability of the momentum strategy is robust even when we control various characteristics such as duration and the age of bond. Second, the profitability of the bond momentum strategy is strong when the formation period and holding period were short. For example, the profitability of the momentum strategy was significant and high in the short-term period of 3 ~ 6 months formation and holding periods, while the profitability of the momentum strategy deteriorated in 9 ~ 12 months formation and holding periods. As such, the corporate bond momentum is mostly sustained in the short term. Third, the bond momentum strategy is profitable during the period that excluded the financial crisis and the economic expansion, while not during the financial crisis and the contraction. Fourth, the corporate bond momentum is strong in the low credit rating group. In other words, the higher the past return, the higher the future return in the group with the lower credit rating. Fifth, Low credit rating group, which show significant momentum effects, are mostly small and have low liquidity. From these results, we suggest that the momentum effect occurs at the lower credit level due to the gradual information diffusion hypothesis from Hong and Stein (1999). For example, it is found that the momentum is high in the small market capitalization, where private information is difficult to spread. Moreover, it is hard to interpret the information from the low credit rating firm. Finally, we cannot find the spillover between stock momentum and bond momentum found in previous studies (Gerbhart, Hvidkjaer, and Swaminathan, 2005). For example, no significant relationship is observed, such as a high future bond return for companies with high stock returns in the past. This study has academic and practical implications as follows. First, this study shows that there is a momentum phenomenon in other non-stock assets, especially, the Korean corporate bond. Many studies have focused on the momentum phenomenon in stock markets. Our results suggest that we need to research on the momentum phenomenon that can occur in various asset classes in Korea. Second, portfolio managers can use our findings as a bond investment strategy. In overall asset management industry in Korea, investments in corporate bonds are increasing, especially among institutional investors such as pension funds and insurance companies. Therefore, based on the results of this study, it is possible to establish and use the momentum strategy to obtain excess returns in the Korean bond market.

한국어

본 연구는 국내 회사채 시장에서 과거 수익률이 높을수록, 미래에도 높은 수익률이 지속되는 모 멘텀 현상이 존재하는지를 밝히고, 어떠한 원인으로 나타나는지를 살펴보았다. 첫 번째, 회사채의 과거 수익률이 높을수록, 향후 수익률이 높은 모멘텀 현상이 발견되는 것으로 나타났다. 그리고 회사채 모멘텀은 기존의 채권과 주식에 대한 체계적인 위험 요인들(Fama and French, 1993, Carhart 1997)로는 설명되지 않았다. 따라서 관측되는 회사채의 모멘텀 현상은 기존에 정의된 위 험에 대한 보상으로 보기는 어려웠다. 두 번째, 모멘텀 전략의 수익성은 주로 평가기간과 보유기 간이 모두 6개월 이내로 짧은 경우에 강하게 나타났다. 세 번째, 회사채 모멘텀 전략의 수익성은 금융위기를 제외한 기간과 경기확장기에서 강하게 나타났으며, 반면 금융위기와 경기 수축기에서 는 나타나지 않았다. 네 번째, 회사채 모멘텀 현상은 주로 신용등급이 낮은 그룹에서 강하게 나타 났다. 다섯 번째, 모멘텀 효과가 크게 나타나는 신용등급이 낮은 채권 그룹들은 주로 규모가 작고, 유동성이 낮았다. 이러한 결과로 볼 때, 모멘텀 효과가 신용등급이 낮은 쪽에서 발생하는 것은 정 보의 지연 반응 효과(Hong and Stein, 1999)에 의한 가능성이 있는 것으로 추측할 수 있다. 마지 막으로, 과거 연구들(Gerbhart, Hvidkjaer and Swaminathan, 2005)에서 발견되었던 주식 모멘텀과 채권 모멘텀 간의 이전효과(Spillover)는 특별하게 나타나지 않았다.