Earticle

초록

영어

This paper examines the dynamics between overnight noise traders and daytime arbitrageurs, measured by AB_NR from Akbas et al. (2022), which significantly differ in the predictability of future stock returns with the degree of nearness to 52-week high prices. We show that if stock prices are far from the 52-week highs, there is a perception of greater potential for price increases, leading to tremendous upward pressure on prices by overnight noise traders. As a result, daytime arbitrageurs overcorrect, leading to high AB_NR stocks being undervalued and offering the potential for increased future returns. On the other hand, for stocks near the 52-week highs, overnight noise traders perceive less room for growth and exert less pressure on prices. This results in less overcorrection by daytime arbitrageurs, leading to high AB_NR stocks being less undervalued and offering weaker return predictability. Our findings provide a fresh perspective on the psychological barrier of investors during intense tug-of-war.

목차

Abstract
1. Introduction
2. Data and Variables
3. Empirical Results
3.1. Intense tug-of-war and the nearness to the 52-week high
3.2. Fama and Macbeth (1973) cross-sectional regression
3.3. Time-varying of intense tug-of-war and the nearness to the 52-week high
4. Conclusion
References
Table
Appendix

키워드

저자

• Donghoon Kim [ College of Business, Korea Advanced Institute of Science and Technology ]
• Jihoon Goh [ Pusan National University ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330