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
12345