Earticle

초록

영어

This study examines the relationship between the regret premium, investor composition, and investor-specific trading responses in the Korean stock market. Behavioral finance suggests that asset prices may reflect psychological biases. Regret is relevant because investors may compare the performance of the assets they hold with that of alternatives they could have selected. Recent studies define regret (REG) as the difference between the highest return within an industry and the realized return of an individual stock and show that stocks with higher REG subsequently earn higher returns. Although prior research has established this premium, relatively little is known about the investor base in which it is more pronounced or how different investor groups subsequently trade high-REG stocks. The Korean market provides a useful setting because individual investors account for a substantial share of trading, and transaction data permit separate analyses by investor type. If regret-related price effects are associated with behavioral biases, their strength may vary with investor composition. Individual investors may exhibit limited information-processing capacity, attention-based trading, and contrarian behavior, whereas institutional and foreign investors may engage relatively more in information-based trading or arbitrage. This study first confirms the baseline relationship between REG and future returns. It then examines whether the magnitude of the REG premium differs according to investor trading shares. The analysis employs portfolio sorts and Fama–MacBeth cross-sectional regressions that include interactions between REG and the trading shares of individual, institutional, and foreign investors. It also examines subsequent investor-specific responses using net buying ratios and trading shares, investigates the persistence of the REG premium, and compares its strength between the KOSPI and KOSDAQ markets. The empirical results are as follows. First, REG positively and significantly predicts future stock returns. Portfolios with high REG earn higher subsequent returns than those with low REG, and the return spread remains significant after risk adjustment using the CAPM and the Fama–French three-factor model. Fama–MacBeth regressions likewise confirm that REG has positive predictive power for future returns. Second, the magnitude of the REG premium varies systematically with investor trading shares. The premium is larger among stocks with high individual-investor trading shares, whereas it is weaker among stocks with high institutional- or foreign-investor trading shares. Interaction regressions provide consistent evidence: the interaction between REG and the individual-investor trading share is significantly positive, whereas the interaction between REG and the institutional-investor trading share is significantly negative. The interaction between REG and the foreign-investor trading share is also negative, although its significance weakens after control variables are included. Third, subsequent net buying responses differ across investor types. In regressions using investor-specific net buying ratios as dependent variables, individual investors tend to be net buyers of high-REG stocks, whereas institutional investors exhibit significant net selling. Foreign investors exhibit a negative net buying response in univariate analysis, but the result is not robust after controlling for other stock characteristics. The trading-share analysis reveals a related pattern: REG is positively associated with the subsequent trading share of individual investors and negatively associated with the corresponding shares of institutional and foreign investors. Taken together, high-REG stocks are followed by net buying and higher relative trading participation by individual investors, whereas institutional investors exhibit net selling and lower relative participation. Fourth, the REG premium is not limited to the immediately subsequent month. Although it gradually weakens, it remains evident for several subsequent months. Among stocks with low individual-investor trading shares, the premium weakens relatively quickly, whereas among stocks with high individual-investor trading shares, it tends to persist longer. Investor composition is therefore associated with both the magnitude and persistence of the premium. Fifth, the KOSPI–KOSDAQ comparison provides supplementary evidence consistent with the main results. Individual investors account for a significantly higher share of trading in the KOSDAQ market, whereas institutional and foreign investors account for lower shares. The REG premium is significant in both markets but is larger in the KOSDAQ market. Within each market, the predictive power of REG also tends to be more pronounced among stocks with higher individual-investor trading shares. Overall, this study shows that the REG premium is closely associated with investor composition and heterogeneous subsequent trading responses rather than merely representing an average return anomaly. The larger and more persistent premium among stocks with high individual-investor trading shares, together with the subsequent net buying and higher relative participation of individual investors in high-REG stocks, indicates that investor-specific trading behavior should be considered when interpreting regret-related return patterns. The findings do not establish that investor-specific trading behavior causally generates the REG premium. Rather, they document systematic relationships among the premium, the investor base in which it is more pronounced, and subsequent trading responses. This study extends the economic interpretation of regret effects by identifying investor composition as an important conditioning factor associated with their strength and persistence.

한국어

본 논문은 한국 주식시장에서 후회 프리미엄과 투자자 구성 및 투자자별 거래반응간의 관계를 분석한다. 구체적으로 REG 포트폴리오 수익률, 투자자별 거래비중에 따른 조건부 프리미엄, REG와 투자자별 거래비중의 상호작용, 투자자별 순매수비중 및 거래비중, 그리고 REG 프리미엄의 지속성을 종합적으로 검토한다. 분석 결과는 다음과 같다. 첫째, 한국 주식시장에서 REG는 미래수익률에 대해 유의한 양의 예측력을 가져 선행연구와 일관성을 가진다. 둘째, REG 프리미엄의 크기는 투자자별 거래비중에 따라 달라진다. REG 프리미엄은 개인투자자 거래비중이 높은 주식에서 상대적으로 크게 나타나는 반면, 기관투자자 및 외국인투자자 거래비중이 높은 주식에서는 상대적으로 약하게 나타난다. 셋째, REG와 투자자별 거래비중의 상호작용을 분석한 결과, 개인투자자 거래비중은 REG 프리미엄을 강화하는 방향으로, 기관투자자 거래비중은 REG 프리미엄을 약화하는 방향으로 작용한다. 넷째, REG가 높은 주식에 대해 개인투자자는 이후 순매수와 높은 거래참여를 보이는 반면, 기관투자자는 순매도와 낮은 거래참여를 보인다. 외국인투자자의 경우 순매수비중에서는 강건한 결과가 나타나지 않지만, 거래비중에서는 REG와 유의한 음의 관계가 확인된다. 다섯째, REG 프리미엄은 미래1개월 이후에도 일정 기간 지속되며, 특히 개인투자자 거래비중이 높은 주식에서 더 오래 지속되는 경향이 있다. 여섯째, 코스피와 코스닥을 구분한 분석에서는 코스닥시장에서 REG 프리미엄이 상대적으로 더 크게 나타나며, 이는 코스닥시장의 높은 개인투자자 거래비중과 일관된 보조적 증거로 해석된다. 이러한 결과는 REG 프리미엄이 단순히 평균적인 수익률 이상현상으로 나타나는 데 그치지 않고, 투자자 구성 및 투자자별거래반응과 밀접하게 관련되어 있음을 시사한다. 특히 개인투자자 거래비중이 높은 주식에서 REG 프리미엄이 더 강하고 오래 지속되며, REG가 높은 주식에 대해 개인투자자가 이후 순매수와 높은 거래참여를 보인다는 점은 후회 관련 가격효과를 이해하기 위해 투자자별 거래행태를함께 고려할 필요가 있음을 보여준다.

목차

요약
Abstract
Ⅰ. 서론
Ⅱ. 선행연구 및 연구목표
1. 후회회피와 REG 프리미엄
2. 투자자별 거래행태와 자산가격 이상현상
3. 연구목표
Ⅲ. 자료 및 변수 정의
Ⅳ. REG 프리미엄의 투자자 기반과 거래반응
1. REG 프리미엄의 기본 분석
2. 투자자 거래비중에 따른 REG 프리미엄
3. REG의 횡단면 예측력과 투자자 거래비중
4. REG와 투자자별 거래행태의 관계
5. REG 포트폴리오 수익률의 지속성
6. 코스피 및 코스닥 시장에서의 REG 프리미엄
Ⅴ. 결론
References

키워드

저자

• 김소명 [ Somyung Kim | 부산대학교 전임연구원 ]

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