Sentiment, growth and value investments: Evidence from Korean Stock Listings
- 주제(키워드) Anomalies , Behavioral finance , Growth investment , Investor sentiment , Long-run performance , Value investment
- 등재 SCOPUS
- 발행기관 LLC CPC Business Perspectives
- 발행년도 2015
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000120637
- 본문언어 영어
초록/요약
In this paper, the authors relate the investment performances of value and growth stocks to investor sentiment. The authors' research objectives are twofold: first, the authors verify positive long-run abnormal returns of value investing under pessimistic investor sentiment. Second, the authors experiment a horse race between the fundamental and behavioral views of growth stock returns. Using a thirteen-year sample of Korea Exchange (KRX)-listed firms, the authors find a positive relation between the value premium and stock market sentiment: while growth investing can be relatively dominant in a pessimistic cycle under depressed investor sentiment, value strategy can outperform in an optimistic period. As a result, the authors confirm the usefulness of style investing adapted to investor psychology. © Jinho Byun, Hyung-Suk Choi, Paul Moon Sub Choi, 2015.
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