Individual mean-variance relation and stock-level investor sentiment
This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but hold...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2017-02-01
|
| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/751 |
| _version_ | 1819350074986070016 |
|---|---|
| author | Jun Sik Kim Da-Hea Kim Sung Won Seo |
| author_facet | Jun Sik Kim Da-Hea Kim Sung Won Seo |
| author_sort | Jun Sik Kim |
| collection | DOAJ |
| description | This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of a strong riskreturn trade-off among stocks with low retail concentration (e.g., large capitalization, high-priced, and growth stocks). Existing research only analyzes market-wide investor sentiment. However, we study the effect of stock-level investor sentiment on individual stock returns. Therefore, our findings suggest novel implications about the investment strategy that the stock-level investor sentiment is important when constructing portfolios based on variance. |
| first_indexed | 2024-12-24T19:10:39Z |
| format | Article |
| id | doaj.art-e2045c8005f741e9a2fcea58b9fedc2f |
| institution | Directory Open Access Journal |
| issn | 1611-1699 2029-4433 |
| language | English |
| last_indexed | 2024-12-24T19:10:39Z |
| publishDate | 2017-02-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj.art-e2045c8005f741e9a2fcea58b9fedc2f2022-12-21T16:43:00ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332017-02-0118110.3846/16111699.2016.1252794Individual mean-variance relation and stock-level investor sentimentJun Sik Kim0Da-Hea Kim1Sung Won Seo2Division of International Trade, Incheon National University, 119 Academy-ro, Yeonsu-gu, Incheon 22012, Republic of KoreaSKK Business school, Sungkyunkwan University, Sungkyunkwan-ro, Jongno-gu, Seoul 03063, Republic of KoreaSchool of Business, Ajou University, 206 Worldcup-ro, Yeongtong-gu Suwon 16499, Republic of KoreaThis research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is undermined among high-sentiment stocks, but holds among low-sentiment stocks. We adopt buy-sell imbalances of retail investors for individual stocks as a measure of stock-level investor sentiment. Further, our findings provide empirical evidence of a strong riskreturn trade-off among stocks with low retail concentration (e.g., large capitalization, high-priced, and growth stocks). Existing research only analyzes market-wide investor sentiment. However, we study the effect of stock-level investor sentiment on individual stock returns. Therefore, our findings suggest novel implications about the investment strategy that the stock-level investor sentiment is important when constructing portfolios based on variance.https://journals.vgtu.lt/index.php/JBEM/article/view/751investor sentimentmean-variance relationrisk-return trade-offconditional variancebuy-sell imbalanceindividual stock markets |
| spellingShingle | Jun Sik Kim Da-Hea Kim Sung Won Seo Individual mean-variance relation and stock-level investor sentiment Journal of Business Economics and Management investor sentiment mean-variance relation risk-return trade-off conditional variance buy-sell imbalance individual stock markets |
| title | Individual mean-variance relation and stock-level investor sentiment |
| title_full | Individual mean-variance relation and stock-level investor sentiment |
| title_fullStr | Individual mean-variance relation and stock-level investor sentiment |
| title_full_unstemmed | Individual mean-variance relation and stock-level investor sentiment |
| title_short | Individual mean-variance relation and stock-level investor sentiment |
| title_sort | individual mean variance relation and stock level investor sentiment |
| topic | investor sentiment mean-variance relation risk-return trade-off conditional variance buy-sell imbalance individual stock markets |
| url | https://journals.vgtu.lt/index.php/JBEM/article/view/751 |
| work_keys_str_mv | AT junsikkim individualmeanvariancerelationandstocklevelinvestorsentiment AT daheakim individualmeanvariancerelationandstocklevelinvestorsentiment AT sungwonseo individualmeanvariancerelationandstocklevelinvestorsentiment |