Earticle

초록

영어

This study investigates the trading behavior of institutional investors in Korea. For this purpose, 562,560 daily trading records from 348 funds are analyzed during the period from 2006 to 2011. The findings of this study are as follows. First, the disposition effect exists in Korean stock market. Second, a stronger disposition effect is associated with the lower risk. Third, there is no disposition effect if the current price is used as the reference point. However, for bond type fund, disposition effect recurs as the reference point gets closer to the current price. Fourth, degree of the disposition effect increases as the length of the holding period increases. Fifth, a stronger disposition effect is associated with lower returns. Finally, the disposition effect disappears after the global financial crisis, suggesting that Korean investors trade more rationally since the crisis.

목차

Abstract
 1. Introduction
 2. Literature review
 3. Sample and research model
  3.1 Research sample
  3.2 Model
 4. Empirical Results
  4.1 Analysis of the disposition effect
  4.2 Regression analysis for the effect of fund performance on the disposition effect
  4.3 Financial crisis and the disposition effect
 5. Summary and Conclusions
 References

키워드

저자

• Jinho Jeong [ Professor, School of Business Administration, Korea University ] Corresponding author
• Hyunnam Song [ Ph.D. student, School of Business Administration, Korea University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330