Earticle

초록

영어

We propose a new measure of investor sentiment, using weekly Internet search volume data of words in Korea from NAVER DataLab—Financial and Economic Attitudes Revealed by Search (FEARS) index, which reflect households’ economic concerns. We find that the FEARS index: (1) relates to a negative contemporary return and reverses after three weeks; (2) coincides with a temporary increase in volatility; (3) simultaneously induces a shift in trading behavior from risky to safe assets, which reverses after three weeks; and (4) is mostly affected by individual investors. Overall, these results are consistent with behavioral finance, which suggests that investor sentiment leads to mispricing that is subsequently corrected.

목차

Abstract
 1. Introduction
 2. Literature Review
 3. Data and Methodology
  3.1 FEARS index
  3.2 Control variables
 4. Empirical Results
  4.1 Stock Returns
  4.2 Volatility
  4.3 Fund flows
  4.4 Trading behavior
  4.5 Robustness checks
 5. Conclusions
 References

키워드

저자

• Joon Chae [ Seoul National University, Seoul, Korea ]
• Hyungjoo Kim [ Bank of Korea, Seoul, Korea ]
• Bonha Koo [ Seoul National University, Seoul, Korea ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330