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본 연구는 국내 금융시장의 개별기업에 대한 정보를 투자자 심리지수의 대용변수로 사용하는 투자심리지수를 조사한다. 개별기업주식의 일별 거래정보와 해당종목에 대한 개인투자자의 매도매수정보를 바탕으로 생성된 투자심리지수와 개별기업의 주가와의 관계를 살펴보고, 기업 고유특성에 따라 투자자 심리지수가 어떠한 영향을 미치는지 살펴보았다. 2000년부터 2015년까지 KOSPI 유가증권시장에 상장된 제조업을 대상으로 분석한 결과, Fama-French의 3요인 변수에 모멘텀 요인변수를 추가한 Carhart의 4요인 위험변수를 통제하고도 투자자 심리는 주가의 수익률을 설명하는 유의한 변수임을 보였다. 투자자 심리지수는 규모가 작고, 주가가 낮을수록, 장부가치 대 시장가치비율이 높을수록, 초과수익률이 높을수록, 과거수익률의 변동성이 큰 기업에 더 큰 영향을 미치는 것으로 나타나 기업 특성별로 투자심리가 다르게 영향을 미치는 것으로 나타났다. 또한 투자자 심리와 수익률간의 유의한 관계가 투자자 거래비중에 영향을 받음을 확인하였다. 즉, 개인투자자가 선호하고 실제 거래비중이 높은 기업일수록, 기관이 주를 이루는 외국인투자자의 주식 보유비중이 낮은 기업일수록 투자심리에 큰 영향을 받는 것으로 나타났다. 이는 기관투자자에 비해 개인투자자가 상대적으로 정보열위에 있고 비합리성과 심리편의를 더 가짐을 간접적으로 뒷받침한다.
This study suggests an investment sentiment index that exploits daily information on individual firm characteristics and individual investors’ trading behavior in the Korean stock market. We empirically examine the explanatory power of our sentiment indicator for the cross-sectional returns of individual stocks and portfolios after controlling for appropriate market risk factors. While previous studies use a single variable or multiple market-wide variables to measure investor sentiment, we efficiently measure sentiment by extracting common factors from various individual firm characteristic variables and trades by domestic individual investors, who are normally regarded as noisy and behaviorally biased. By extending methodologies suggested by Ryu, Kim, and Yang (2017), Yang, Ryu, and Ryu (2017), and Yang and Zhou (2015, 2016), we construct a composite sentiment indicator based on principal component analysis using five key variables: the relative strength index, psychological line index, adjusted turnover rate, logarithm of trading volume, and individual investor buy-sell imbalance. We analyze how the sentiment effect varies depending on firm and stock characteristics by constructing several portfolio groups classified according to firm size, stock price, book-to-market ratio, excess return, volatility of past returns, individual trading ratio, and foreign investors’ holding for individual companies. We categorize the portfolios into five quintile groups based on each criterion and generate an investor sentiment index for each portfolio group. Our sample data comprise a daily stock trading dataset for all available manufacturing companies listed on the KOSPI stock market from 2000 to 2015. This sample mitigates possible industry effects and biases and enables us to investigate the uncontaminated results for sentiment effects by maintaining homogeneity among the sample firms. To ensure consistency and clarity, we exclude companies facing trading suspension and/or administrative issues. We extend the literature on investor sentiment and contribute to research by constructing a composite sentiment indicator that includes information on various stock and firm characteristics. We use buy-sell order imbalance information on individual investors, as their investment strategies and trading patterns are likely to be affected by psychology, sentiment, and mood. Our sentiment indicator exhibits more robust explanatory power than existing sentiment measures do, as it successfully explains the cross-sectional asset returns after controlling for the four risk factors. Our empirical analyses using this sentiment indicator provide several important findings and implications. We find that our investor sentiment indicator may explain cross-sectional stock and portfolio returns, even after controlling for Fama and French factors (market factor, size factor, and book-to-market factor) and the additional momentum factor suggested by Carhart (1997). It is particularly interesting that the sentiment indicator maintains its explanatory powers after considering and controlling for the momentum effect, consisting of representative time-series stock price patterns driven by investor psychology and behavioral biases. This result indicates that the sentiment indicator may be an important factor in explaining asset price movements. The analyses considering firm and stock characteristics show that the sentiment effect varies significantly according to stock and firm characteristics, being more prominent for smaller firms as well as stocks that are lower priced, have higher book-to-market ratios, have greater excess returns, and are more volatile. The sentiment effect also increases for stocks exhibiting greater individual investor participations, while its effect is lower when stocks are mostly owned by foreign investors, who are mostly professional institutional investors. These results tend to suggest that domestic individual investors are uninformed and noisy traders, while foreign institutional investors are better informed and more sophisticated. Considering that our sentiment indicator captures firm and stock characteristics reflecting individual stock trading on a daily basis, our methodology can be easily applied to analyze sentiment issues in various industry sectors at a relatively high-frequency level. The sentiment indicator can also be used to examine the transmission and spillover effect of market sentiment and behavior across financial markets and countries.
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본 연구는 신규상장 공모주를 상장 직후 매도하는 기관투자자의 공모주 단기매도 현상을 보고하고 이를 분석하였다. 신규 공모주의 상장 당일 거래를 검토한 결과, 기관투자자는 상장일에 기관에 배정된 공모주 수량의 26.6%를 매도한 반면, 매수는 5.4%에 불과했다. 기관투자자가 동일 거래일에 어느 특정 주식에 대해 매도와 매수를 병행하는 것이 매우 예외적인 현상임을 감안하면, 상장일 기관이 매도한 수량의 대부분은 IPO 발행시장에서 배정받은 수량을 상장일에 재매도(flipping)한 것으로 추정된다. 상장 후 3거래일까지를 1차 매도, 그 이후 25거래일까지를 2차 매도로 구분하여 분석함으로써 상장 이후 공모주 거래행태를 보다 명확히 분석하고자 하였다. 본 연구의 주요 분석 결과는 다음과 같다. IPO 과정에서 신규 공모주를 배정받은 대부분의 기관들은 이들 신규 공모주를 상장 직후 매도함을 확인할 수 있었다. 또한 공모과정 이전에 지분 투자한 벤처캐피탈 등 기관투자자들은 상장 후 한달 정도의 기간을 자신들의 투자자금을 회수하는 기회로 활용하고 있는 것으로 추정된다. 장기 주가수익률과 기관투자자의 투자행태와의 관계를 통해 공모과정에 참여하여 IPO 주식을 배정받은 기관투자자의 경우 IPO 주식의 수익률과 관련한 정보력은 보유하고 있지 못한 것으로 확인된다. 반면, 상장 이전에 지분 투자한 기관투자자의 경우에는 수익률과 관련해서 일정 부분 정보력을 보유한 것으로 판단된다. 이러한 결과는 IPO 주식에 투자한 기관투자자가 모두 정보투자자인 것은 아니며 상대적으로 장기간 투자한 기관투자자가 정보투자자인 것을 시사한다.
We analyze cause and effect of Korean institutional investors’ selling behavior of IPO shares right after initial trading. Most of IPO shares sold by institutions right after initial trading are assumed to be originally allocated to them in bookbuilding process. Thus, institutions’ selling behavior of IPO shares right after initial trading is interpreted as IPO flipping that is reported by Boehmer, Boehmer, and Fishe (2006). Following the methodology of Boehmer et al. (2006), we separately analyze the initial flipping on first three trading days after IPOs, and the second flipping thereafter to the twenty fifth trading days. Samples of our study cover firms that undertook IPOs in year 2003 through year 2014 in Korea. Firms’ financial data, stock prices, trading volumes, and market indexes are obtained from FnData Guide. IPO-specific data, such as bookbuilding results, allocation ratios, etc. are obtained from investment prospectus reported in DART (disclosure system of Financial Supervisory Services). Our samples covers 674 firms: 110 firms of Securities Market IPOs, and 564 firms of KOSDAQ IPOs. We have found that IPO initial returns are significantly negatively related to the first flipping, but significantly positively related to the second flipping. This result implies that Korean institutional investors that are allocated with IPO shares take profit in the second flipping. We have also found that the main players of short-term sales of IPOs are institutional investors. The voluntary lock-up of institutional investors does not play a meaningful role in constraining their selling behavior of IPO shares. Right after the voluntary lock-up period, institutional investors are selling IPO shares. The initialflippingon the first three days after IPOs are not related to the amount of institution allotments. We have also analyzed the effect of venture capital investment on the IPO stock return of the first trading day. Empirical results show that IPO firms with venture capital investments have significantly lower stock return on the first day of trading than those with no venture capital investment. This result would be interpreted as the certification effect of venture capitals. Institutional investors tend to sell more IPO shares both in the first and second flipping when firms have venture capital investments. In the analysis of long-term return behavior, we have found that the first flipping of institutional investors does not affect long-term market-adjusted returns of IPO shares. However, the second flipping activities of institutional investors significantly decrease long-term returns measured by market adjusted returns over 3, 6, and 9 month period after IPOs. This result implies that institutional investors allocated with IPO shares tend to flip shares right after IPOs regardless of long-term prospect of IPO firms. In contrast, the second flipping is mainly driven by venture capitals that have invested in IPO firms before these firms go public. Noting that the second flipping is negatively related to long-term return performance, venture capitals that have long relationship with firms have the ability to predict future operational prospect of IPO firms. The more shares are allocated to institutional investors, the worse are market-adjusted returns over the period of 6, 9, and 12 months after IPOs. This result is related to the dynamic information acquisition model of Benvenist and Spindt (1989). In a situation where IPO allotment ratio among investor groups are mostly fixed as in Korea, significant underpricing would be an effective way of compensation for institutional investors in the dynamic information acquisition model of Benvenist and Spindt (1989). Thus, when more IPO shares are allocated to institutional investors, those shares are more likely to suffer from underpricing.
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본 연구는 국내에서도 펀드 자금흐름을 이용해 투자자 심리(investor sentiment)를 측정하는 것이 타당한지 검증한다. 특히, 기존 연구에서 주로 활용하던 펀드 자금유출입지표 뿐만 아니라 주식형펀드와 채권형펀드 간의 자금이동지표를 추가로 설정하여 펀드의 자금흐름과 수익률의 관계에 대한 다각도의 분석을 수행하였다. 연구결과는 다음과 같이 요약된다. 첫째, 펀드 자금흐름은 투자자 심리지수로 활용되기 위해 필요한 ‘단기 과열 후 장기 균형회복’의 기본 특성을 충족시키지 못하는 것으로 나타났다. 이는 국내의 펀드 자금흐름을 이용해 투자자 심리 측정을 시도한 선행연구들의 한계점을 보여준다. 둘째, 시장수익률 변동 예측시 주요 경제변수에 펀드자금흐름지표를 추가할 경우 설명력(Adjusted R2)이 증가함을 발견할 수 있었다. 셋째, 시장수익률 변동을 설명하는 과정에서 펀드 자금유출입지표에 더하여 펀드 간 자금이동지표를 추가할 경우 설명력이 증가함을 확인하였다. 전체 펀드의 자금유출입은 투자자의 장기저축 및 인출에 대한 정보를 보여주지만, 펀드 간 자금이동은 투자자의 자산배분 의사결정의 대용치라는 점에서 수익률에 대한 우수한 정보를 보유한 것으로 해석된다.
This paper examines how fund flows predict subsequent market returns, especially focusing on the validity of using fund flows as a measure of investor sentiment for the Korean financial market. For this purpose, we use a variety of fund flow indicators. In contrast to the previous literature in Korea, which has solely analyzed the fund new sales and redemptions, this article develops a fund transfer index, i.e., the shifts between equity funds and bond funds, and also uses it as a proxy variable for investigating the relationships between fund flows and market returns. Another contribution of the paper is that, based on the newly developed indicator, we investigate whether the fund transfer index has a significant impact on market returns. Therefore, this study can be expected to fill the gap in the literature which has mainly dealt with the relationships between equity fund flows and stock returns and between bond fund flows and bond returns. Against this backdrop, the paper attempts to address three research questions in order. First, we examine whether various fund flow indices such as fund-new-sales and redemptions-indices and fund-transfer-indices for equity and bond funds in Korean markets could be viewed as a relevant measure for investor sentiment. It is rather well documented in the literature that investor sentiment affects market returns. Here, a more important question is how to measure investor sentiment and quantify its effects. Generally speaking, investor sentiment is the overall attitude of investors toward future cash flows or fundamentals and the feeling or tone of investors as revealed through the activity and price movement of the securities traded in markets. Thus, the better sentiment measure should quantify the biases of market prices which are not explained by economic fundamentals. More specifically, positive sentiment pushes asset prices to extraordinarily higher levels in the short run but leads them to equilibrium in the long run. The underlying key assumption here is that individual investors are often noise traders potentially because they are less informed and less capable in information processing than institutional investors. Having said that, this paper verifies those fund flow indices could satisfy the prerequisites for a relevant measure of investor sentiment in the Korean financial markets. Second, by conducting the lead-lag analyses, we examine the relationships between fund flows and financial asset prices. That is, the paper checks whether contemporaneous flow indices and the accumulated flow indices affect market returns. In this process, we verify whether fund flows could measure investor sentiment and whether they could predict market returns originated from mispricing. Third, this article analyzes whether fund transfer flows have a significant effect on excess returns in equity returns and bond returns, respectively. This is in contrast to the previous studies which have focused only on the relationships between equity fund flows and excess returns in stock markets. Our main findings can be summarized as follows. First, we find that fund flows in Korea fail to satisfy the prerequisite conditions for investor sentiment, which is ‘short-run upsurge and long-run reversal’ pattern. This finding highlights the limitations of previous domestic studies that measure investor sentiment with fund flows. Based on this result, we argue that the previous studies, which use fund flows as a proxy for investor sentiment, have a consequential problem in common due to immature fund markets. This conjecture still seems to be consistent with the extant literature which points out the instability of fund flows and structural changes around the fund markets of Korea. Second, we find that fund flows have a substantial prediction power on market returns. For instance, while the equity fund net inflow index (denoted to NEAR) can predict stock market excess returns over three to six month horizons, the bond fund net inflow index (denoted to NBAR) and the fund transfer index (denoted to FAR) can predict bond market returns over one to six months ahead. Moreover, our finding confirms that the inclusion of the fund transfer index along with other economic variables could significantly increase the prediction power, measured in Adjusted R-squared, on market returns. Last but more importantly, we firstly document that fund transfer flows between equity funds and bond funds could be an useful indicator to explain excess returns in the Korean stock and bond markets. Together with the second finding, this result implies that the fund transfer between equity and bond funds has information regarding the asset allocation of investors, reflecting the prospect on future market conditions. On the contrary, the fund flows not including the fund transfer information contain only on the long-term savings and withdrawals.
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본 연구는 국내 주식시장에 과거 수익률의 순위가 높은 주식일수록 미래 수익률이 높은, 이른바 순위모멘텀 현상이 유의함을 보고한다. 나아가 투자자들이 이목을 끌지 않은 꾸준한 가격변동에 대해 시장이 과소반응하기 때문에, 주가에 순위모멘텀이 나타난다는 가설을 검증한다. 주요 결과는 다음과 같다. 첫째, 수익률순위가 높은 주식을 매수하고 낮은 주식을 매도하는 매수-매도 전략은 유의한 양의 수익을 얻는다. 둘째, 순위모멘텀의 수익은 기업특성, 고차적률 등을 통제한 후에도 여전히 유의하다. 셋째, 순위모멘텀은 보유기간이 길어질수록 단조적으로 약화되나 반전되지 않는다. 넷째, 주가가 매우 짧은 기간 동안 가파르게 변동한 기업의 주가에는 순위모멘텀이 상대적으로 덜 유의하다. 마지막으로, 수익률순위가 높은 기업의 가격 상승모멘텀보다 수익률순위가 낮은 기업의 가격 하락모멘텀이 더 유의하고 지속적이다. 이상의 결과는 순위모멘텀이 시장의 과소반응에 기인함을 매우 일관되게 지지한다.
I demonstrate that the rank momentum strategy advanced by Chen, Chou, Ko, and Rhee (2016, Nonparametric momentum strategies, working paper, henceforth CCKR) is profitable in Korea. The strategy constructed on the basis of average past ranks of daily returns generates significant momentum profits for up to four years following portfolio formation. Further, I find evidence that the profitability is attributed to investor underreaction to non-salient information embedded in stock prices. Rank measures capture the non-salient component in stock prices largely neglected by investors, and therefore, the rank can predict the future changes in stock prices. The main findings of this study are as follows. First, rank momentum strategies generate significant returns for holding periods ranging from six months to four years subsequent to portfolio formation. In particular, the risk-adjusted return of the rank momentum strategy constructed by buying stocks with high average ranks and short selling those with low average ranks is 0.81% per month (t-statistics 2.90) when the long-short portfolio is held over six months. The profitability of rank momentum strategies is robust to controls of various cross-sectional effects such as size, book-to-market, illiquidity, and idiosyncratic volatility. Second, rank-based momentum strategies even work better than the price momentum strategies proposed by Jagadeesh and Titman (1993, Returns to buying winners and selling losers: implications for stock market efficiency, J. Finance 48, 65-91, henceforth JT). For example, over one year holding period following formation, the rank momentum earns an average monthly profit of 0.44%, while the profits of JT price momentum are even negative. The rank momentum strategies also outperform the 52-week high momentum strategies suggested by George and Hwang (2004, The 52-week high and momentum investing, J. Finance 59, 2145-2176). Third, rank momentum profits tend to fall for longer holding periods but are not reverted to become negative afterward in contrast with that of JT price momentum. The literature documents that investor overreaction leads to long-term reversals but investor underreaction does not. In this regard, the lack of reversals indicates that the rank momentum profits are not driven by the overreaction, but by the underreaction. Fourth, rank momentum profits primarily come from loser stocks’ underperformance. Fama-MacBeth (1973, Risk, return, and equilibrium: Empirical tests, J. Polit. Econ. 81, 607-636) regressions results reveal the short-leg of the long-short strategy yields persistent negative returns over holding periods ranging from six months to two years, while the profit of long-leg is positive only for the first six months. Consistent with the earlier findings in my study, this result also indicates that the rank momentum is associated with stock mispricing, which has not been eliminated by arbitragers. In particular, the rank momentum is closely related to stock overpricing and the resulting reduction. Arbitragers face greater impediments when they short-sell an overpriced stock than when they purchase an underpriced stock. The difficulty of short-selling deters arbitrage that reduces the overpricing. Accordingly, the underreaction of loser stocks to bad news is more persistent than underreaction of winner stocks to good news, which leads to persistent rank momentum profits for loser stocks. Lastly, the profitability of the rank momentum is strong among stocks with weak salient features, where the salience is proxied by the presence of extreme price changes. This evidence indicates that the rank momentum is the investors’ underreaction, rather than overreaction, is an underlying cause of the rank momentum. The literature including Bordalo, Gennaioli, and Shleifer (2013, Salience and asset prices, American Economic Review 103, 623-28) and CCKR asserts that investors tend to overreact to salient information and underreact to non-salient information. Weaker rank momentum in stocks with higher salient features lends support to the conjecture that the rank momentum profits are attributed to investor underreactions, not due to investor overreactions. Overall, our empirical findings for the Korean stock market is quite consistent with that for the U.S. stock market. As in CCKR, we provide ample evidence that rank captures the non-salient information embedded in stock prices, which is largely due to investors’ underreaction, and the profitability of rank momentum strategy primarily comes from the underreaction to bad news among loser stocks. This study contributes the literature on the momentum phenomenon in the Korean stock market. I explore the sources of the profitability of rank momentum strategies by comparing it with that of the traditional JT momentum strategies. Moreover, this study sheds light on the understanding of investors’ reactions to non-salient information in the Korean stock market. Investors tend to underreact to non-salient news, and the overpricing, which is due to the underreaction, and the resulting reduction produces momentum in stock prices.
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