Intraday Return Reversals: Empirical Evidence from the Korean ETF Market
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We find that the overnight returns of ETFs in the Korean market are significantly positive, whereas the subsequent intraday returns are negative. These intraday return reversals are not explained by the attention hypothesis t at return reversal is mainly caused by the limited attention of individual investors. We investigate whether a disagreement among investors on market outlook can explain return reversals. We find that a disagreement among investors under short selling constraints is a significant factor for return reversals. This study contributes to the existing literature by showing that return reversals cannot be completely explained by the attention hypothesis and suggesting the disagreement hypothesis as an alternative.
Abstract
We find that the overnight returns of ETFs in the Korean market are significantly positive, whereas the subsequent intraday returns are negative. These intraday return reversals are not explained by the attention hypothesis t at return reversal is mainly caused by the limited attention of individual investors. We investigate whether a disagreement among investors on market outlook can explain return reversals. We find that a disagreement among investors under short selling constraints is a significant factor for return reversals. This study contributes to the existing literature by showing that return reversals cannot be completely explained by the attention hypothesis and suggesting the disagreement hypothesis as an alternative.
참고문헌 (20)
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