• The Journal of Asian Finance, Economics and Business
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• 제8권4호
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• pp.1079-1090
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• 2021

This study examines the influence of individual investors' sentiment on Japanese IPO aftermarket performance (measured by return and trading volume on the first trading day and return on the first trading year). This study proposes that IPOs will be, on average overpriced on the listing day when individual investors' sentiment is highly optimistic. Higher initial return and trading volume are expected in IPOs with higher investors' optimism. Further, the positive initial return will occur in the short term as individual investors usually are uninformed investors who demand shares based on their personal preferences, which will last only in a short period. Following the overvaluation hypothesis, price reversals should be predicted once the effect of individual investors' optimism has disappeared, causing the IPOs to underperform in the long term. Using 520 Japanese IPOs issued from January 2010 to December 2019, this study reveals that individual investors' sentiment is positively and significantly related to returns and trading volume on the first trading day. Return reversals are found on the first trading year despite the insignificant influence of individual investors' sentiment on IPO return on the first trading year.

• 유통과학연구
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• 제21권5호
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• pp.101-111
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• 2023

Purpose: The purpose of this paper is to examine the effect of the VKOSPI index on short-term stock returns after a large-scale stock price shock of individual stocks of firms in the distribution industry in Korea. Research design, data, and methodology: This study investigates the effect of the change of the VKOSPI index or investor mood on abnormal returns after the event date from January 2004 to July 2022. The significance of the abnormal return, which is obtained by subtracting the rate of return estimated by the market model from the rate of actual return on each trading day after the event date, is determined based on T-test and multifactor regression analysis. Results: In Korea's distribution industry, the simultaneous occurrence of a bad investor mood and a large stock price decline, leads to stock price reversals. Conversely, the simultaneous occurrence of a good investor mood and a large-scale stock price rise leads to stock price drifts. We found that the VKOSPI index has strong explanatory power for these reversals and drifts even after considering both company-specific and event-specific factors. Conclusions: In Korea's distribution industry-related stock market, investors show an asymmetrical behavioral characteristic of overreacting to negative moods and underreacting to positive moods.

• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.45-56
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• 2018

The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends' Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.

• 경영과정보연구
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• 제30권4호
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• pp.147-173
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• 2011

본 논문은 효율적 시장가설의 이례현상(anomalies)의 하나인 주가의 시계열 상관성과 관련하여 과거의 주식수익률(price change)과 함께 주가수준(price level)을 이용한 투자전략들의 성과에 초점을 맞추어 어떤 투자전략이 지속적으로 유의하며 경제적 유용성을 지니고 있는가를 검증하고 정성적으로나마 그 원인이 무엇인지를 도출하고자 한 것이다. 전체 표본기간을 대상으로 한 연구에서는 수익률 이용 반대투자전략(이후 JT반대투자전략)과 연중최고가 이용 반대투자전략(이후 GH반대투자전략)은 12개월 보유기간에서 각각 월평균 0.49%와 0.28%의 통계적으로 유의적 성과를 보였으며 나머지 보유기간에서는 비유의적인 양(+)의 값을 나타내었다. 쌍대비교 검증으로 두 투자전략의 우수성을 검증한 결과는 GH승자포트폴리오에서 JT반대투자전략이 월평균 0.50%를 시현하여 모든 JT포트폴리오들에 대하여 유의적인 설명력을 갖지 못한 GH반대투자전략보다 우수한 것으로 확인되었다. 이러한 결과들만 두고 본다면 1988년부터 2000년까지를 표본으로 한 안재욱, 김영빈(2004)의 선행 연구결과와 다소 상반되는 것이다. 그러나 체계적 위험을 고려한 위험조정수익률로 성과를 산출하면 6개월 보유 JT반대투자전략과 GH반대투자전략의 성과는 0.09%와 042%로 서로 엇갈리나 통계적으로 유의성을 갖지 못하고 반대투자전략이 유의적으로 나타난 12개월 보유기간 두 반대투자전략의 성과 역시 0.22%와 -0.06%로 유의적이지 못한 결과를 실현하여 두 방식 모두 반대투자전략이 유효한 투자전략이 될 수 없다는 사실을 확인하였다. 이를 명확히 하기 위하여 베타를 통제한 후 반대투자전략을 실행하여 검증한 결과 JT반대투자전략의 성과 검증결과는 베타의 크고 작음에 상관없이 유의적인 양(+)의 성과가 확인됨으로써 사후적인 역사적 베타에 의한 위험조정수익률의 산정과 활용에는 한계점이 있음을 알 수 있다.