Earticle

초록

영어

Our study introduces a measure of Short-Term Overreaction (STO) based on weighted daily signed volume as a predictor of stock returns. We find that STO predicts subsequent stock returns independently of the well-known short-term return reversal and even subsumes the predictive power of the short-term return reversal. It is also a significant negative predictor of abnormal returns around subsequent earnings announcements, suggesting that investors are overly optimistic (pessimistic) about high (low) STO stocks. The return predictability of STO tends to be stronger when investor sentiment is high. Contrary to most anomaly strategies, the strategy of buying low STO stocks and selling high STO stocks is more profitable when returns are value-weighted than equal-weighted. The outperformance of value-weighted portfolios is largely driven by the stronger performance of the short leg among stocks with high institutional ownership, suggesting that institutional investors may exacerbate overvaluation.

목차

Abstract
1. Introduction
2. Data and methodology
2.1. Short-term overreaction measure
2.2. Data and Variables
3. Empirical analysis
3.1. Portfolio sort analysis
3.2. Short-term return reversal and short-term overreaction
3.3. Fama and MacBeth (1973) cross-sectional regressions
3.4. Stock price reactions to subsequent earnings announcements
3.5. Return predictability of STO in earnings announcement months
4. Additional analysis
4.1. Subsample analysis
4.2. Short side and long side of STO
4.3. Robustness Tests
5. Conclusion
References
Appendix
Figure
Table

키워드

저자

• Jihoon Goh [ 고지훈 | Pusan National University ]
• Donghoon Kim [ 김동훈 | College of Business, KAIST ] Corresponding Author
• Sonya S. Lim [ 임성연 | Driehaus College of Business, DePaul University, 1 E. Jackson Blvd, Chicago, IL 60604, USA ]

참고문헌

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간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330