| Asymmetric Disposition Effect on Expected Return |
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Seung Hyun Oh, Sang Buhm Hahn |
| 기대수익률에 대한 비대칭적 디스포지션 효과 |
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오승현, 한상범 |
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| Abstract |
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Grinblatt and Han (2005) claim that the expected return of a stock is positively related with the unrealized capital gains on the stock due to the disposition effect of irrational investors` trading behavior. This study investigates whether the relation between expected return and unrealized capital gains depends on the sign (+ or -) of the unrealized capital gains in two Korean stock markets (KSE and KOSDAQ). We find significant positive relation between returns and positive unrealized capital gains, whereas no relation between returns and negative unrealized capital gains. The asymmetric relation found in Korean Markets corresponds with the results of Weber and Welfens (2008) or Feng and Seasholes (2005) reporting that individual investors` reactions towards “selling winners” and “holding losers” are very different. We have three major results. First, positive unrealized capital gains are more strongly related with expected returns than negative unrealized capital gains are. Second, the variable produced by multiplying unrealized capital gains and trading volume (gV_) may explain the returns irrespective of positive unrealized capital gains. Third, when the variable gV_ is added to the set of explanatory variables, returns are positively related with the size of the unrealized capital loss. This phenomenon may be generated by the ‘loss-cut’ trading which is triggered by risk management system of an institutional investor or overreaction of an irrational individual investor. |
| Key Words:
거래량회전율,기준가격,디스포지션 효과,미처분 이익,프로스펙트 이론,Disposition Effect,Prospect Theory,Reference Price,Unrealized Capital Gains,Volume Turnover Ratio |
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