DC Field | Value | Language |
---|---|---|
dc.contributor.author | Seo, Wooduk | ko |
dc.contributor.author | Kim, Jinhwan | ko |
dc.contributor.author | Cho, Hoon | ko |
dc.contributor.author | Seok, Sangik | ko |
dc.date.accessioned | 2023-12-01T06:00:51Z | - |
dc.date.available | 2023-12-01T06:00:51Z | - |
dc.date.created | 2023-12-01 | - |
dc.date.issued | 2023-06 | - |
dc.identifier.citation | Korean Journal of Financial Studies, v.52, no.3, pp.449 - 496 | - |
dc.identifier.issn | 2005-8187 | - |
dc.identifier.uri | http://hdl.handle.net/10203/315574 | - |
dc.description.abstract | This study estimates IMAX and IMIN to measure lottery and hazard stocks, and investigates how investors’ reactions to these extreme returns affect the cross-section of stock returns. We show that IMAX is negatively related to future returns and measures lottery stocks. Furthermore, we show that IMIN also has a negative relationship with future returns, contrary to theory, suggesting the existence of the IMIN anomaly in the Korean stock market. IMIN anomaly, which is caused by investors’ under-reaction to hazard stocks, is significant even after controlling various variables explaining the cross-sectional characteristics of stocks, and lasts for at least 24 months. Moreover, we show that the IMIN anomaly exists significantly even after controlling factors related to investors’ under-reaction, such as investor attention, information uncertainty, and limits to arbitrage. However, IMIN anomaly weakens as the stock market demonstrates more efficiency and transparency. | - |
dc.language | Korean | - |
dc.publisher | Korean Securities Association | - |
dc.title | Relationship between Extreme Idiosyncratic Returns and Expected Returns in the Korean Stock Market | - |
dc.title.alternative | 국내 주식시장의 극단적 고유수익률과 기대수익률 간의 관계에 대한 실증연구 | - |
dc.type | Article | - |
dc.identifier.scopusid | 2-s2.0-85164517242 | - |
dc.type.rims | ART | - |
dc.citation.volume | 52 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 449 | - |
dc.citation.endingpage | 496 | - |
dc.citation.publicationname | Korean Journal of Financial Studies | - |
dc.identifier.doi | 10.26845/KJFS.2023.6.52.3.449 | - |
dc.identifier.kciid | ART002974564 | - |
dc.contributor.localauthor | Cho, Hoon | - |
dc.contributor.nonIdAuthor | Seo, Wooduk | - |
dc.contributor.nonIdAuthor | Seok, Sangik | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Idiosyncratic Returns | - |
dc.subject.keywordAuthor | Extreme Returns | - |
dc.subject.keywordAuthor | Hazard Stocks | - |
dc.subject.keywordAuthor | Lottery Stocks | - |
dc.subject.keywordAuthor | Anomaly | - |
dc.subject.keywordAuthor | 고유수익률 | - |
dc.subject.keywordAuthor | 극단적 투자성과 | - |
dc.subject.keywordAuthor | 위험주식 | - |
dc.subject.keywordAuthor | 복권주식 | - |
dc.subject.keywordAuthor | 이상현상 | - |
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