Earticle

초록

영어

This study introduces a new sentiment-based variable called Relief (REL) to examine the impact of investor psychology—particularly emotions such as relief and regret—on asset pricing and decision-making in financialmarkets. Rooted in behavioral finance, the REL variable aims to capture a specific dimension of psychological stability that investors experience when their chosen asset performs better than the worst-performing peer in the same industry group. The REL variable is constructed by comparing the return of an individual asset with the lowest return among its industry peers. This comparison reflects an investor’s emotional comfort—or relief—from having avoided the worst-case scenario, even if the absolute return is modest or negative. Essentially, the REL variable quantifies a positive psychological payoff derived from relative outperformance, even when that outperformance is not impressive in absolute terms. Empirical analysis reveals a consistent pattern: investors tend to accept lower expected returns for assets with high REL values, indicating a stronger sense of emotional relief. In contrast, when an asset has a low REL value—meaning it did not outperform even the worst peer—investors demand a higher risk premium. This behavior highlights how emotional states influence investment decisions beyond traditional risk-return trade-offs. Importantly, the effects of the REL variable remain statistically significant even after controlling for the regret variable and firm-specific characteristics such as size, volatility, and the book-to-market ratio. This suggests that REL captures a unique behavioral dimension not fully explained by existing psychological or financial models. Moreover, the impact of REL is especially pronounced in small-cap stocks and assets with high idiosyncratic volatility—markets that are inherently more uncertain and thus more susceptible to emotionally driven behavior. The study also explores how psychological price anchors—such as recent highs—can amplify emotional reactions associated with REL. Investors become more sensitive to relative performance comparisons when asset prices move away from the psychological price barrier. In such contexts, feelings of regret or relief are intensified, causing greater deviations from rational investment behavior. These findings demonstrate that emotional biases are not isolated anomalies but are systematically embedded in market dynamics. One of the study’s key theoretical contributions lies in its challenge to traditional financial models that assume stable preferences and rational utility maximization. Instead, the REL variable supports a dynamic model of investor utility, where emotional responses like regret and relief actively reshape decision-making preferences. Regret reflects the emotional cost of missing a better opportunity, while relief provides a positive emotional benefit from avoiding the worst outcome. These emotions function as psychological forces that alter how investors evaluate gains and losses. Incorporating REL into behavioral finance expands the framework by accounting not only for negative emotions such as regret but also for positive emotions like relief. This dual-emotion perspective helps explain why investors may favor certain assets—not necessarily due to their fundamentals—but because of how those assets make them feel in relative terms. Investors may feel reassured knowing that their asset did not perform the worst, even if the overall return was subpar. From a practical perspective, the findings offer valuable insights for investment strategy, portfolio management, and risk assessment. Investment professionals who consider sentiment-based variables such as REL may be better positioned to understand market dynamics shaped by investor psychology. By identifying assets that generate strong feelings of relief, investors can anticipate lower return expectations, while also recognizing the increased return demands associated with assets that trigger regret or emotional discomfort. Additionally, understanding the emotional reinforcement embedded in relative performance may lead to more psychologically resilient portfolios. Rather than relying solely on traditional metrics like beta, volatility, or book-to-market ratios, integrating psychological measures like REL enables investors to develop strategies that reflect real-world investor behavior—where emotions often have a stronger influence than pure analysis. In conclusion, this study contributes to a more comprehensive understanding of investor behavior by introducing the REL variable as a meaningful tool for capturing emotional responses to relative performance. The REL framework enhances traditional regret-based models by including the often-overlooked role of positive emotional feedback. This research demonstrates that asset pricing is shaped not only by fundamentals or rational expectations, but also by how investors feel about their performance in relation to the worst possible outcomes. By identifying and quantifying this emotional comfort, the REL variable illuminates the complex ways in which sentiment influences market outcomes. It offers both theoretical insight and practical guidance for building emotionally aware investment models, reinforcing the view that both positive and negative emotions play a central role in financial decision-making.

한국어

본 연구는 투자자 심리가 주식 수익률에 미치는 영향을 탐구하기 위해 새로운 안도감 변수(REL)를 제시하고, 이를 후회 변수와 비교하여 분석한다. REL 변수는 동일 산업 군 내 최저 수익률과 개별 자산의 수익률을 비교하여 투자자가 느끼는 심리적 안정성 을 반영한다. 연구 결과, 투자자는 안도감이 높은 자산에 대해 낮은 기대 수익률을 수용하며, 반대로 안도감이 낮은 자산에는 더 높은 위험 프리미엄을 요구하는 경향이 있다. 이러한 효과는 후회 변수와 기업 특성 요인을 통제한 후에도 지속되며, 특히 소규모 기업이나 고유 변동성이 큰 자산에서 더욱 두드러진다. 행동 재무학의 관점에 서 본 연구는 투자자의 효용함수가 심리적 요인에 의해 어떻게 조정되며, 이것이 투자 행동과 자산 가격 형성에 미치는 영향을 분석한다. 특히, 후회와 안도감이 투자자의 효용을 변화시키며 자산 가격 결정 과정에 미치는 상호작용을 설명한다. 또한, 심리적 가격 장벽이 투자자의 감정을 증폭시켜 REL 변수의 영향을 강화한다는 점도 밝혀냈 다. 본 연구는 투자 전략 수립과 리스크 관리에서 심리적 요인을 반영한 새로운 접근을 제안하며, 개인 투자자가 보다 합리적이고 감정적으로 균형 잡힌 의사결정을 내릴 수 있도록 돕는 방향성을 제시한다.

목차

요약
Abstract
Ⅰ. 서론
Ⅱ. 선행연구
Ⅲ. 자료 및 변수
1. 자료
2. 변수
Ⅳ. 안도감 변수와 주식수익률에 대한 실증분석
1. 안도감 변수의 포트폴리오 분석
2. 통제변수를 고려한 이중분류 포트폴리오 분석
3. Fama and Macbeth 횡단면 회귀분석
Ⅴ. 행동재무학적 요인을 고려한 추가적인 분석
1. 기업규모, 고유변동성과 REL의 이중분류 포트폴리오 분석
2. NH52와 REL의 이중분류 포트폴리오 분석
3. 개인투자자 거래비중에 따른 REL의 영향력
Ⅵ. 강건성 검정
1. ILLIQ에 따른 REL와 주식 수익률 간 관계
2. 금융 스트레스 수준에 따른 REL 변수와 주식 수익률 간의 관계
3. 소형주 배제를 통한 분석 결과
4. FICS 분류를 활용한 검증
Ⅶ. 결론
References
<부록>

키워드

저자

• 김소명 [ Somyung Kim | 부산대학교 전임연구원 ]
• 옥기율 [ Kiyool Ohk | 부산대학교 경영학과 교수 ] 교신저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330