거래량이 복권특성 종목의 기대수익률에 미치는 영향

• 영문명: Trading Volume and Overpricing of Lottery-type Stocks
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 전용호
• 간행물 정보: 『아태비즈니스연구』제14권 제1호, 113~129쪽, 전체 17쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2023.03.30

영문 초록

Purpose - The purpose of this study is to examine whether trading volume amplifies the extent to which lottery-type stocks are overpriced, and whether economic sentiment index explains time-variation in the magnitude of the volume amplification effect. Design/methodology/approach - We examine monthly returns on 5x5 monthly bivariate portfolios formed by lottery characteristics (measured by maximum daily return) and trading volume. In addition, we perform time-series regression tests to examine how the volume amplification effect changes in high and low economic sentiment periods, after controlling for Fama-French three factors. Findings - Our bivariate portfolio analysis shows that the overpricing of lottery-type stocks are mostly pronounced among high trading volume stocks. In contrast, for low trading volume stocks, overpricing of lottery-type stocks appears to vanish. Furthermore, the amplification effect of trading volume on overpricing of lottery-type stock is concentrated in high economic sentiment periods. Research implications or Originality - This study is the first attempt to examine whether trading volume drives lottery-type stocks’ overpricing in the Korean stock market. Furthermore, our analysis unveils the time-varying nature of volume amplification effect. The results suggest that trading volume might play a important hidden role in asset pricing, opening a new line of researches in the future.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 자료

Ⅳ. 분석결과

Ⅴ. 결론

References

키워드

Trading Volume Lottery-type Stocks Maximum Daily Return Economic Sentiment Index Volume Amplification