V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea

被引：0

作者：

Kim, Minki ^{[1
]}

Kim, Toyoung ^{[2
]}

Kim, Tong Suk ^{[3
]}

机构：

[1] Korea Capital Market Inst, 143 Uisadang Daero, Seoul 07332, South Korea

[2] Hana Inst Technol, Seoul, South Korea

[3] KAIST Coll Business, Daejeon, South Korea

来源：

JOURNAL OF BEHAVIORAL FINANCE | 2023年 / 24卷 / 03期

关键词：

V-shaped net selling propensity; Disposition effect; Individual investor; Post-earnings announcement drift; Korean stock market; CROSS-SECTION; INVESTORS; RETURNS; RISK; UNDERREACTION; LIQUIDITY; RELUCTANT; REALIZE; LONG;

D O I：

10.1080/15427560.2021.1975715

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the impact of the V-shaped disposition effect on asset prices in the Korean stock market, which is characterized by a high proportion of retail investors. By utilizing a specified dataset containing stock-level information on the trading activities of different types of investors, we find evidence to support the presence of V-shaped net selling propensity in the Korean stock market. In addition, we find that net selling pressure has a positive effect on the cross-section of subsequent stock returns, and this relationship appears only when accounting for individual trading. Furthermore, this net selling propensity of retail investors delays the incorporation of good news into stock price, while helps stock price reflect its bad news. We show that good (bad) news lead to positive (negative) drifts in stock prices following earnings announcements in the presence (paucity) of investors exhibiting the V-shaped disposition.

引用

页码：345 / 364

页数：20

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