Earticle

초록

영어

We decompose the response of stock return to the sign of past stock return into the quantitative anchoring and disposition effects, where the quantitative anchoring is that the past positive stock return induces a positive stock return in the subsequent period (plus anchoring) and vice versa for the past negative stock return (minus anchoring) and disposition effect is that the tendency of investors to hold losing investments too long and sell winning investments too soon. To test these effects, we divide the stock returns into two groups by their signs and checked the subsequent responses of stock returns at the next periods. From the daily stock return data of 47 countries’, we found (i) both the plus anchoring and minus anchoring exist. (ii) plus anchoring is bigger than minus anchoring if the disposition effect exists. (iii) if we assume the plus anchoring is equal to the minus anchoring, then the disposition effect is rejected in most countries.

목차

Abstract
 1 Introduction
 2 Anchoring and Choice Under Risk
  2.1 Quantitative Anchor Effect
  2.2 Disposition Effect
 3 Estimation and Inference
  3.1 Threshold Model
  3.2 Test Results
 4 Concluding Remark
 References
 Appendix

키워드

저자

• Yun-Yeong Kim [ Institute for Monetary and Economic Research, Bank of Korea ] Corresponding author
• Jin Soo Lee [ KDI School of Public Policy and Management, P.O. Box 184, Cheong-Nyang, Seoul, 130-650, Korea ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330