한국주식시장에서의 투자성향효과 분석

국문 초록 (Abstract)

본 연구에서는 행태재무론(behavioral finance)중 시장참가자들이 합리적이라는 가정에 위배되는 일상적인 오류인 투자성향효과(disposition effect)에 대하여 살펴보고자 한다. 구체적으로, 본 연구에서는 투자성향효과를 보이는 투자자가 시장에 존재할 경우 시간의 흐름에 따라 균형자산의 가격이 어떻게 변하는지에 대하여 살펴본다. 그리고 한국주식시장에서 기대수익률의 횡단면적 특성 중 행태변수(behavioral variables)의 대용치로 투자성향효과변수의 설명력을 검정한다. 이를 위해, Grinblatt & Han(2005)의 모형을 이용하여 2000년부터 2005년까지의 한국증권거래소에 상장된 기업을 대상으로 Fama & MacBeth(1973) 횡단면 회귀분석을 실시하였다. 분석결과, 과거 단․장기 수익률 반전현상과 국한된 중기수익률 지속현상을 관찰할 수 있었으며, 전체 분석기간 동안 기업규모효과가 상당히 크게 작용할 뿐만 아니라 투자성향효과에 대해서도 부분적으로 유의적인 분석결과를 도출함으로써, 한국주식시장에서 행태변수의 대용치인 투자성향효과변수의 적용가능성을 시사해 주는 분석결과를 얻을 수 있었다.

다국어 초록 (Multilingual Abstract)

This paper shows the equilibrium asset pricing model based on the disposition effect suggested by Grinblatt & Han(2005) and empirically tests the weekly returns and volumes of Korea stock market. The disposition effect is the tendency of investors to hold on to their losing stocks too long and sell their winners too soon. The empirical implications of the model are verified with Fama & MacBeth(1973) cross-sectional regressions that make use of behavioral variables to proxy for unrealized capital gains. Most of our regression specifications, returns reversal appears over the past short-term and long-term horizons, limited returns continuation occurs over the past intermediate horizons. In all of our regression specifications, the strength of the firm size effect is much more important as a determinant of expected returns. Moreover, we can find a significant explanation power of behavioral variables related to the disposition effect in Korea stock market.

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 기존연구
• Ⅲ. 실증분석
• 3.1 분석자료
• 3.2 분석 모형과 방법
• Ⅳ. 분석결과
• 4.1 기초통계량
• 4.2 횡단면 회귀분석
• 4.3 강건성 검정
• 4.4 추가분석
• Ⅴ. 결론
• 부록
• 참고문헌
• Abstract

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