Investor sentiment, trading behavior and stock returns

被引：68
作者：
Ryu, Doojin [1 ]
Kim, Hyeyoen [2 ]
Yang, Heejin [1 ]
机构：
[1] Sungkyunkwan Univ, Coll Econ, Seoul, South Korea
[2] Chung Ang Univ, Coll Business & Econ, Seoul, South Korea
来源：
APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 12期
基金：
新加坡国家研究基金会;
关键词：
Investor sentiment; investor trading behaviour; information asymmetry; trading volume; Korean stock market; CROSS-SECTION;
D O I：
10.1080/13504851.2016.1231890
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.
引用
收藏
页码：826 / 830
页数：5
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