Stock Market Sentiment and Stock Returns

• 발행기관: 한국자료분석학회
• 저자명: Taehyuk Kim Hoyoung Ryu
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.20 No.6, 2759~2769쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2018.12.31

영문 초록

The behavioral finance view on the existence of asset pricing anomalies is based on two factors: investors sentiment and limits to arbitrage. This paper tries to examine the effect of investors sentiment on the stock price in the Korean stock market. In order to measure investors sentiment, we constructed the sentiment index using principal component of five sentiment variables. By using sentiment index as an additional independent variable to three risk factors, impacts of the sentiment index on individual stocks and 25 portfolios sorted by BM-size are examined. Main results found are as follows: 1) not only all three risk factors show positive impacts on the return of individual stock, but also the sentiment index has a positive impact. SI alone explains 15% of individual return variation. 2) among four independent variables, the most important factor turned out to be the market risk factor and investors sentiment has better explanatory power on stock price than the size effect. 3) after controlling the market risk factor, the coefficient of the sentiment index for the smallest size and highest book/market value portfolios is significantly positive. 4) all the coefficients of the sentiment index for 25 portfolios sorted by BM-size have significant positive value after controlling size or (and) value.

목차

1. Introduction

2. Investors sentiment and data

3. Empirical results

4. Conclusion

References

키워드

investors’ sentiment sentiment index market anomalies sentiment index and stock return