Individual Investor Sentiment and Stock Returns: Evidence from the Korean Stock Market

被引：16
|
作者：
Kim, Minhyuk [1 ]
Park, Jinwoo [2 ]
机构：
[1] Hankuk Univ Foreign Studies, Finance, Seoul 130791, South Korea
[2] Hankuk Univ Foreign Studies, Coll Business Adm, Seoul 130791, South Korea
来源：
EMERGING MARKETS FINANCE AND TRADE | 2015年 / 51卷
关键词：
individual investors; investor sentiment; return predictability; stock returns; CROSS-SECTION; FOREIGN INVESTORS; PERFORMANCE; BEHAVIOR; TRADES; EXPERIENCE; LIQUIDITY; RISK;
D O I：
10.1080/1540496X.2015.1062305
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We investigate the dynamic relationship between individual investor sentiment and stock returns in the Korean stock market. The evidence indicates that individual investor sentiment has no significant explanatory power for cross-sectional stock returns. However, individual investors' trades can move stock prices in certain stocks by their contrarian behavior, which leads them to implicitly provide liquidity to other market participants. In addition, individual investors earn a small market-adjusted excess return in the short-horizon future as compensation for liquidity provision. Our findings show that short-horizon return predictability of individual investors does not come from their private information.
引用
收藏
页码：S1 / S20
页数：20
相关论文
共 50 条
  • [1] Individual Investor Sentiment and IPO Stock Returns: Evidence from the Korean Stock Market
    Chung, Chune Young
    Kim, Joohwan
    Park, Jinwoo
    [J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2017, 46 (06) : 876 - 902
  • [2] Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market
    Yang, Heejin
    Ryu, Doojin
    Ryu, Doowon
    [J]. INVESTMENT ANALYSTS JOURNAL, 2017, 46 (02) : 132 - 147
  • [3] DOES INVESTOR SENTIMENT PREDICT STOCK RETURNS? THE EVIDENCE FROM CHINESE STOCK MARKET
    BU Hui
    PI Li
    [J]. 系统科学与复杂性学报(英文版), 2014, (01) : 130 - 143
  • [4] DOES INVESTOR SENTIMENT PREDICT STOCK RETURNS? THE EVIDENCE FROM CHINESE STOCK MARKET
    Bu Hui
    Pi Li
    [J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2014, 27 (01) : 130 - 143
  • [5] Does investor sentiment predict stock returns? The evidence from Chinese stock market
    Hui Bu
    Li Pi
    [J]. Journal of Systems Science and Complexity, 2014, 27 : 130 - 143
  • [6] Does online investor sentiment impact stock returns? Evidence from the Chinese stock market
    Lv, Yanzhao
    Piao, Jingzhe
    Li, Boning
    Yang, Meijuan
    [J]. APPLIED ECONOMICS LETTERS, 2022, 29 (15) : 1434 - 1438
  • [7] Investor Sentiment and Stock Returns: Evidence from Turkey
    Canbas, Serpil
    Kandir, Serkan Yilmaz
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2009, 45 (04) : 36 - 52
  • [8] Overnight returns and investor sentiment: Further evidence from the Taiwan stock market
    Zhang, Hang
    Tsai, Wei-Che
    Weng, Pei-Shih
    Tsai, Pin-Chieh
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2023, 80
  • [9] Individual stock crowded trades, individual stock investor sentiment and excess returns
    Yang, Chunpeng
    Zhou, Liyun
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2016, 38 : 39 - 53
  • [10] Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market
    Ryu, Doowon
    Ryu, Doojin
    Yang, Heejin
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2020, 56 (08) : 1804 - 1816
12345