횡단면 모멘텀 투자성과의 분포적 위험 특성
Characteristics of Distributional Risks on Cross-sectional Momentum Performance
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초록
본 연구는 한국주식시장에서 횡단면 모멘텀 투자성과에 대한 분포적 위험속성을 실증조사했다. 실증설계에서 횡단면 모멘텀은 전통적 모멘텀 투자전략과 모멘텀 에코효과의 투자전략을 함께 채택했고, 투자성과의 분포적 위험속성은 총변동성과 고유변동성, 그리고 분포의 꼬리위험 측정치를 함께 활용했다. 검증결과는 한국주식시장의 횡단면 모멘텀은 높은 위험을 감당해야 하는 투자전략이라는 증거를 견고히 보였다. 과거기간의 투자성과에서 승자 포트폴리오와 패자 포트폴리오는 나머지 다른 포트폴리오에 비해 높은 위험을 갖고, 더욱이 미래 양(+)의 투자성과를 이끄는 승자 포트폴리오는 패자 포트폴리오보다도 높은 위험을 가졌다. 이는 분포의 꼬리위험 속성에서도 확인되었다. 즉, 승자 포트폴리오의 두꺼운 오른쪽 꼬리부분(극단적 이익)의 투자성과 빈도는 이론분포(표준정규분포)의 기대수준을 벗어나지만, 패자 포트폴리오는 그렇지 못했다. 한편, 미래 보유기간의 투자성과에 대한 꼬리위험 속성에서 승자 포트폴리오는 두꺼운 왼쪽 꼬리 특성을 보이는 반면에 패자 포트폴리오는 두꺼운 오른쪽 꼬리 특성을 보였다. 이는 투자성과 반전 경향으로, 과거 극단적 이익(오른쪽 꼬리)을 실현한 승자 포트폴리오가 미래 손실(왼쪽 꼬리) 실현 경향을, 과거 극단적 손실(왼쪽 꼬리)을 실현한 패자 포트폴리오가 미래 이익(오른쪽 꼬리) 실현 경향을 나타낸다. 검증결과는 모멘텀 투자전략 선택, 꼬리위험 측정치 선택 등의 실증설계 변경과 관계없이 강건했다. 이상에서, 본 연구는 횡단면 모멘텀이 높은 위험수준을 감당해야 하는 투자전략임을 확인했고, 횡단면 모멘텀의 투자전략에 대한 실무적 위험관리에 관한 향후 연구를 기대한다.
Abstract
This study empirically investigates the distributional risk properties of cross-sectional momentum investment performance in the Korean stock market. In the design, both traditional cross-sectional momentum and momentum's echo effect are employed, and the distributional risk properties of investment performance are assessed using risk measures of tail risk as well as volatility. The results suggest that the cross-sectional momentum in the Korean stock market is an investment strategy that entails high risk. In the past period, the winner portfolio and loser portfolio have shown higher investment performance risk compared to the other momentum portfolios. Additionally, the winner portfolio, which is expected to have positive future investment performance, carries higher risk than the loser portfolio. This is also confirmed in the tail risk properties of the investment performance distribution. In the distribution of investment performance, the right tail fatness (extreme profits) of the winner portfolio exceeds the expected level of the theoretical distribution (standard normal distribution), but the loser portfolio does not. Meanwhile, in terms of tail risk characteristics for investment performance in the future holding period, the winner portfolio displays a fat left-tail, while the loser portfolio exhibits a fat right-tail characteristic. This is a reversal tendency in momentum investment performance, where winner portfolios with past extreme profits (right tail) tend to realize future losses (left tail), and loser portfolios with past extreme losses (left tail) tend to realize future profits (right tail) in reverse. The results remain robust regardless of changes in the empirical design, such as the selection of momentum investment strategy and tail risk measure. Consequently, the cross-sectional momentum investment strategy must entail higher risk than we had expected. Therefore, future research on practical risk management for cross-sectional momentum investment strategies is expected.
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