An Empirical Inquiry into Psychological Heuristics in the Context of the Korean Distribution Industry within the Stock Market
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Purpose: This paper aims to assess psychological heuristics’ effectiveness on cumulative returns after significant stock price changes. Specifically, it compares availability and anchoring heuristics’ empirical validity due to conflicting stock return predictions. Research Design, Data, and Methodology: This paper analyzes stock price changes of Korean distribution industry stocks in the KOSPI market from January 2004 to July 2022, where daily fluctuations exceed 10%. It evaluates availability heuristics using daily KOSPI index changes and tests anchoring heuristics using 52-week high and low stock prices as reference points. Results: As a result of the empirical analysis, stock price reversals did not consistently appear alongside changes in the daily KOSPI index. By contrast, stock price drifts consistently appeared around the 52-week highest stock price and 52-week lowest stock price. The result of the multiple regression analysis which controlled for both company-specific and event-specific variables supported the anchoring heuristics. Conclusions: For stocks related to the Korean distribution industry in the KOSPI market, the anchoring heuristics theory provides a consistent explanation for stock returns after large-scale stock price fluctuations that initially appear to be random movements
Abstract
Purpose: This paper aims to assess psychological heuristics’ effectiveness on cumulative returns after significant stock price changes. Specifically, it compares availability and anchoring heuristics’ empirical validity due to conflicting stock return predictions. Research Design, Data, and Methodology: This paper analyzes stock price changes of Korean distribution industry stocks in the KOSPI market from January 2004 to July 2022, where daily fluctuations exceed 10%. It evaluates availability heuristics using daily KOSPI index changes and tests anchoring heuristics using 52-week high and low stock prices as reference points. Results: As a result of the empirical analysis, stock price reversals did not consistently appear alongside changes in the daily KOSPI index. By contrast, stock price drifts consistently appeared around the 52-week highest stock price and 52-week lowest stock price. The result of the multiple regression analysis which controlled for both company-specific and event-specific variables supported the anchoring heuristics. Conclusions: For stocks related to the Korean distribution industry in the KOSPI market, the anchoring heuristics theory provides a consistent explanation for stock returns after large-scale stock price fluctuations that initially appear to be random movements
참고문헌 (23)
- Amini, S., "A Review of the International Literature on the Short-term Predictability of Stock Prices Conditional on Large-term Predictability of Stock Price Conditional on Large Prior Price Changes : Microstructure", International Review of Financial Analysis, 26(C), pp.1~17 (2013)
- Angelovska, J., "Large Share Price Movements, Reasons and Market Reaction", Management, 21(1), pp.1~17 (2006)
- Arbel, A., "Market Information Assimilation Related to Extreme Daily Price Jumps", Financial Analysts Journal, 38(6), pp.60~66 (1982)
- Baker, M., "The Effect of Reference Point Prices on Mergers and Accquisitions", Journal of Financial Economics, 106, pp.49~71 (2012)
- Ball, R., "An Empirical Evaluation of Accounting Income Numbers", Journal of Accounting Research, 6(2), pp.159~178 (1968)
- Brady, K., "How Do Investors Determine Stock Prices after Large Price Shocks", Journal of Behavioral Finance, 20(3), pp.354~368 (2019)
- Bremer, M., "The Reversal of Large Stock Price Decreases", Journal of Finance, 46(2), pp.747~754 (1991)
- Cox, D. R., "Stock Returns following Large One-Day Declines : Evidence on Short-Term Reversals and Longer-Term Performance", Journal of Finance, 49(1), pp.255~267 (1994)
- DeBondt, W. F. M., "Does the Stock Market Overreact", Journal of Finance, 40(3), pp.793~805 (1987)
- Kudryavtsev, A., "The Availability Heuristics and Reversals following Large Stock Price Changes", Journal of Behavioral Finance, 18(2), pp.159~172 (2018)
- Larson, S. J., "What Drives Stock Price Behavior following Extreme One-Day Returns", Journal of Financial Research, 26(1), pp.113~127 (2003)
- Lasfer, M. A., "Stock Price Reaction in Stressful Circumstances : An International Comparison", Journal of Banking and Finance, 27(10), pp.1959~1977 (2003)
- Lee, B., "An Analysis of Financial Analysts’ Optimism in Long-Term Growth Forecasts", Journal of Behavioral Finance, 9, pp.171~184 (2007)
- Masouz, K., "Stock Price Reaction following Large One-day Price Changes : UK evidence", Journal of Banking and Finance, 33(8), pp.1481~1493 (2009)
- Pritamani, M., "Return Predictability following Large Price Changes and Information Releases", Journal of Banking & Finance, 25(4), pp.631~656 (2001)
- Savor, P. G., "Stock Returns after Major Price Shocks : The Impact of Information", Journal of Financial Economics, 106(3), pp.635~659 (2012)
- Schnusenberg, O., "Do U.S. Stock Market Indexes Over- or Underreact?", The Journal of Financial Research, 24(2), pp.179~204 (2001)
- Sturm, R., "The 52-Week High Strategy : Momentum and Overreaction in Large Firm Stocks", The Journal of Investing, 17, pp.55~67 (2008)
- Tsao, C. Y., "Crossing of Psychological Price Levels : The Price Dynamics and Interaction between S&P500 Index and Index Futures", Journal of Behavioral Finance, 18, pp.427~447 (2017)
- Tversky, A., "Availability : A Heuristic for Judging Frequency and Probability", Cognitive Psychology, 5, pp.207~232 (1973)
- Tversky, A., "Judgement under Uncertainty : Heuristics and Biases", Science, 185, pp.1124~1131 (1974)
- Wright, W. F., "Mood Effects on Subjective Probability Assessment", Organizational Behavior and Human Decision Process, 52(2), pp.276~291 (1992)
- Zarowin, P., "Short-Run Market Overreaction : Size and Seasonality Effects", Journal of Portfolio Management, 15(3), pp.26~29 (1989)