{"title":"The Echo Effect of Momentum and Investor Trading Behavior","authors":"Cheoljun Eom, Jong Won Park","doi":"10.1111/irfi.70072","DOIUrl":null,"url":null,"abstract":"<p>This study examines the momentum echo effect using cross-sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM-based portfolios, while IMOM-based portfolios exhibit contrasting evidence. Specifically, as the momentum formation period shifts from distant-past to near-past months, CMOM performance changes from positive to negative, while IMOM changes from negative to positive. These differences arise from contrasting trading behaviors of institutional and foreign (InsFOR) investors toward winner portfolios. For winner portfolios, InsFOR investors exhibit net buying of CMOM winners but net selling of IMOM winners. Their behavior reflects the delayed incorporation of public market information for CMOM and the underrecognition of firm-specific information for IMOM.</p>","PeriodicalId":46664,"journal":{"name":"International Review of Finance","volume":"26 2","pages":""},"PeriodicalIF":2.3000,"publicationDate":"2026-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/irfi.70072","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/irfi.70072","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
This study examines the momentum echo effect using cross-sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM-based portfolios, while IMOM-based portfolios exhibit contrasting evidence. Specifically, as the momentum formation period shifts from distant-past to near-past months, CMOM performance changes from positive to negative, while IMOM changes from negative to positive. These differences arise from contrasting trading behaviors of institutional and foreign (InsFOR) investors toward winner portfolios. For winner portfolios, InsFOR investors exhibit net buying of CMOM winners but net selling of IMOM winners. Their behavior reflects the delayed incorporation of public market information for CMOM and the underrecognition of firm-specific information for IMOM.
期刊介绍：
The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.
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