야간수익률과 고유변동성이 기대수익률에 미치는 영향

• 영문명: Overnight Returns, Idiosyncratic Volatility, and the Expected Stock Returns
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 전용호
• 간행물 정보: 『아태비즈니스연구』제14권 제3호, 45~66쪽, 전체 22쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2023.09.30

영문 초록

Purpose - This paper examines whether overnight returns and idiosyncratic volatility (IVOL) jointly affects the cross-section of expected stock returns in the Korean stock market. Design/methodology/approach - Constructing 5x5 bivariate monthly portfolios independently sorted on overnight returns and IVOL, this paper tests whether overpricing of stocks with high overnight returns is more pronounced for the stocks that also have high IVOL. In addition, we also investigate whether time-variation in the degree of overpricing for those stocks can be explained by market volatility. Findings - Our results show that stocks having both high overnight returns and high IVOL exhibit strong negative returns in the future. In contrast, we are unable to observe such negative returns for the stocks that have high overnight returns and low IVOL. This suggests that overpricing of stocks with high overnight returns is concentrated for the stocks having high IVOL. Moreover, we also find that the degree to which such stocks are overpriced is negatively related to market volatility. Research implications or Originality - his paper is the first attempt to explore whether degree of overpricing of stocks having high overnight returns is related to IVOL. We also discover time-varying property of overpricing is jointly driven by overnight returns and IVOL. Our results indicate that IVOL might help explain other previously documented stock return anomalies, suggesting interesting topics for future research.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 자료

Ⅳ. 분석결과

Ⅴ. 결론

References

키워드

Overnight Return Idiosyncratic Volatility Expected Stock Return