v型处置效应、股价和收益公告后漂移:来自韩国的证据

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE

Journal of Behavioral Finance Pub Date : 2021-09-09 DOI:10.1080/15427560.2021.1975715

Minki Kim, Toyoung Kim, T. Kim

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引用次数: 0

摘要

摘要本研究探讨了散户投资者比例较高的韩国股票市场的v型配置效应对资产价格的影响。通过使用包含不同类型投资者交易活动的股票级别信息的特定数据集，我们找到了支持韩国股票市场存在v型净卖出倾向的证据。此外，我们发现净卖出压力对后续股票收益横截面有正向影响，这种关系仅在考虑个人交易时才会出现。此外，散户投资者的这种净卖出倾向推迟了好消息在股价中的体现，同时有助于股价反映坏消息。我们表明，在投资者呈现v型倾向的情况下，利好(坏)消息会导致收益公告后股价的正面(负面)波动。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea

Abstract This study investigates the impact of the V-shaped disposition effect on asset prices in the Korean stock market, which is characterized by a high proportion of retail investors. By utilizing a specified dataset containing stock-level information on the trading activities of different types of investors, we find evidence to support the presence of V-shaped net selling propensity in the Korean stock market. In addition, we find that net selling pressure has a positive effect on the cross-section of subsequent stock returns, and this relationship appears only when accounting for individual trading. Furthermore, this net selling propensity of retail investors delays the incorporation of good news into stock price, while helps stock price reflect its bad news. We show that good (bad) news lead to positive (negative) drifts in stock prices following earnings announcements in the presence (paucity) of investors exhibiting the V-shaped disposition.

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.