Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market

Yang, Heejin; Ryu, Doojin; Ryu, Dongseok

doi:10.1080/10293523.2016.1277850

Cited by 69 publications

(40 citation statements)

References 63 publications

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“…Previous studies in the field of behavioral finance examine the association between investor sentiments and stock market returns (Baker and Wurgler, 2006;Baker et al, 2012;Kim et al, 2014;Yang et al, 2017b). They find that individuals tend to make trading decisions based on noise rather than information (Black, 1986;Kahneman and Riepe, 1998), which is contrary to the assumption of the rational asset pricing framework and the efficient markets hypothesis (Fama, 1970;Kyle, 1985).…”

Section: Introductioncontrasting

confidence: 42%

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Shim¹,

Kim²,

Ryu³

2017

Zb.rad.Ekon.fak.Rij.

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Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices.We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

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Section: Introductioncontrasting

confidence: 42%

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Shim¹,

Kim²,

Ryu³

2017

Zb.rad.Ekon.fak.Rij.

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“…Prombutr and Phengpis (2019) study the behavioural-related variables within the firms as determinants of stock return in Pakistan and find that more than covariance risks associated with investment, growth and size, behavioural characteristics determine stock returns of firms. Yang, Ryu and Ryu (2017), while studying investors' sentiments and assets return in Korea, analyze a dataset of firms listed on the Korean stock exchange, find that when investor sentiment is high, stock returns are most likely to increase.…”

Section: Empirical Literaturementioning

confidence: 99%

Firm Characteristics and Stock Returns of Nigerian Quoted Firms: A Two-Sector Comparative Analysis

Peter¹,

Ojo²,

Adewoye³

2020

jeb

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“…Also, researchers used various proxies for sentiments, such as market liquidity, IPO data, trading volumes, and news or Twitter data (Baker and Stein, 2004 [45]; Dorn, 2009 [46]; Da, Engelberg, and Gao, 2015 [47]; Liao, Huang and Wu, 2011 [48]). Using these proxies, previous studies estimated the effect of sentiment on subsequent stock returns (Baker and Wurgler, 2006 [11]; Bathia and Bredin, 2013 [49]; Corredor, Ferrer, and Santamaria, 2013 [50]; Gao and Yang, 2017 [51]; Mangee, 2017 [52]; Ryu, Kim, and Yang, 2017 [20]; Schmeling, 2009 [43]; Yang, Ryu, and Ryu, 2017 [21]). In particular, Baker and Wurgler (2006) [11] measured market-wide investor sentiment using a principal component analysis of sentiment proxies (i.e., closed-end fund discounts, the turnover ratio, the number of initial public offerings (IPOs), the first-day returns of IPOs, dividend premiums, and the share of total equity and debt issues that are equity issues).…”

Section: Literature Reviewmentioning

confidence: 99%

Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?

et al. 2019

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This study analyzes the effect of overnight returns on subsequent stock market returns and investigates whether they do capture investor sentiment in the Korean stock market. Recent study showed that overnight returns are similar to existing sentiment measures, and, thus, are suitable for measuring firm-specific investor sentiment in the U.S. market. Similarly, we found that, for firms in the Korean market, high overnight returns are followed by higher stock returns in the short term (i.e., two or three trading days) but lower stock returns in the long term. However, these effects do not differ for different types of firms (i.e., hard-to-value firms), whereas classical firm-specific sentiment indicators capture these differences. Overall, we found that overnight returns do not truly measure firm-specific investor sentiment in the Korean stock market even though they are partially related to investor sentiment.

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Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market

Cited by 69 publications

References 63 publications

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Firm Characteristics and Stock Returns of Nigerian Quoted Firms: A Two-Sector Comparative Analysis

Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?

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