Investor Sentiment, Cross-sectional Stock Returns, and Short-Sales: Evidence From Korea

• 영문명: Investor Sentiment, Cross-sectional Stock Returns, and Short-Sales: Evidence From Korea
• 발행기관: People & Global Business Association
• 저자명: Hyo-jeong Lee
• 간행물 정보: 『Global Business and Finance Review』Vol.28 No.3, 117~135쪽, 전체 19쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2023.06.30

영문 초록

Purpose: This study investigates the return co-movements associated with investor sentiment shifts in the cross-sections under a setting where market-wide sentiment interacts with short-sale impediments. Design/methodology/approach: This study estimates the return sensitivity to market sentiment changes (sentiment beta) for each characteristic's portfolio by regressing the return of each quintile portfolio and various high-minus-low portfolios on the sentiment changes index. It examines whether these cross-sectionally different return co-movement patterns is more prevalent during good- than bad-sentiment periods by performing the same regression separately for the good- and bad-sentiment periods. Findings: The result shows that the returns of speculative stocks tend to co-move more strongly with sentiment changes than those of stable stocks, in the sense that speculative stocks have higher sentiment betas than stable stocks. The cross-sectional pattern in return co-movements becomes more pronounced during the good-sentiment period but disappears during the bad-sentiment periods. Research limitations/implications: This study elucidates the return co-movement behavior associated with investor sentiment changes under a setting where market-wide sentiment interacts with short-sale impediments. However, analyzing the relationship between the investment sentiment index and the short-selling activities is reserved for future research. Originality/value: The results provide important implications for investment strategies using investor sentiment in practice, and several suggestions for establishing investor protection policies in the highly individual-crowded market. This study will contribute to enhancing the stock market efficiency and price discovery.

목차

I. Introduction

II. Literature Review

III. Research Methods

IV. Results and Discussion

V. Conclusion

References

키워드

Investor sentiment Sentiment beta Return co-movement Cross-sectional analysis Short-sales impediments