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Firm-specific investor sentiment and daily stock returns

Author

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  • Seok, Sang Ik
  • Cho, Hoon
  • Ryu, Doojin

Abstract

This study examines the relation between investor sentiment and asset returns in the Korean stock market, which is characterized by significant information asymmetry and a high degree of market sentiment. We also analyze the role of firm characteristics in the significance of the effect of sentiment on individual stock returns by conducting a sorted comparison, regression for portfolios constructed based on firm characteristics, and regression for long-short portfolios. Our empirical results indicate that sentiment is positively related to realized stock returns in the short term. This result contrasts with findings of a longer-term relation in developed markets. Furthermore, the positive relation between sentiment and realized returns is more prominent for firms that are harder to value (e.g., smaller firms, more volatile firms, firms with higher book-to-market ratios, unprofitable firms, more distressed firms, and firms with fewer trades by arbitrageurs).

Suggested Citation

  • Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019. "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:ecofin:v:50:y:2019:i:c:s106294081830158x
    DOI: 10.1016/j.najef.2018.10.005
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    Cited by:

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    7. Sang Ik Seok & Hoon Cho & Chanhi Park & Doojin Ryu, 2019. "Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?," Sustainability, MDPI, vol. 11(13), pages 1-14, July.
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    More about this item

    Keywords

    Investor sentiment; Firm characteristics; Conditional stock returns; Arbitrageur; Mispricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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