한국주식시장의 규모효과 특성과 투자자 거래행태 = Investor Behaviour and Size Effect in Korean Stock Markets

다국어 초록 (Multilingual Abstract)

This study revisits the size effect in the Korean stock market and analyzes the impact of investors' trading behavior on the size effect. The main findings are as follows: First, the size effect is significant in the Korean stock market regardless of the seasonality of stock returns or the dynamic nature of market conditions. Second, this result is independent of the effects of firm characteristics. Third, the high net buying activity of individual investors, concentrated in small-cap stocks, is an important factor driving the size effect. Fourth, the more polarized the size portfolio classification is, the larger and significantly positive the size factor premium is. The results of this study show that the strong venture support policy of the Korean government during the sample period triggered high buying activity of individual investors in small-cap and venture stocks, which is an important factor driving the size effect in the Korean stock market.