À繫¿¬±¸ Á¦ ±Ç È£ (2018³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.491~531
pp.491~531
V-Shaped Disposition Effect and Investor Underreaction to Earnings News
Minki Kim KAIST College of Business
Toyoung Kim KAIST College of Business
Tong Suk Kim KAIST College of Business
We attempt to explain investor underreaction to earnings news using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we find that both large unrealized capital gains and losses positively predict subsequent stock returns in Korean stock markets. Furthermore, investors¡¯ net selling propensity affects stock price drift after earnings announcements. Among good news stocks, postannouncement drift is more pronounced when they suffer from stockholders¡¯ higher net selling propensity. Furthermore, these empirical results hold only when we construct a VNSP based on individual trading activity. Interestingly, the classic disposition effect does not induce underreaction to earnings news in our data set.
Minki Kim
Toyoung Kim
Tong Suk Kim
We attempt to explain investor underreaction to earnings news using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we find that both large unrealized capital gains and losses positively predict subsequent stock returns in Korean stock markets. Furthermore, investors¡¯ net selling propensity affects stock price drift after earnings announcements. Among good news stocks, postannouncement drift is more pronounced when they suffer from stockholders¡¯ higher net selling propensity. Furthermore, these empirical results hold only when we construct a VNSP based on individual trading activity. Interestingly, the classic disposition effect does not induce underreaction to earnings news in our data set.
Underreaction,post-earnings announcement drift,V-shaped net selling propensity,disposition effect,individual investor