| A New Perspective for Value Stock and Anchoring Effect Using Price Ratio |
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Hee-Jeong Shin, Jaimin Goh |
| 주가배수를 활용한 가치주 및 앵커링 효과의 재조명 |
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신희정, 고재민 |
1이화여자대학교
2인하대학교 |
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| Abstract |
This paper investigates whether the investors’ anchoring on industry-average priceto-earnings ratio (P/E) leads to post-earnings announcement drift (PEAD). Posing that the evidence documented by George et al. (2015) that PEAD is larger when stock price on earnings announcement is closer to 52-week high price may result from the value investment effect, we revisit the anchoring effect from the relative P/E to cross-sectional level of industry P/E.
We find that PEAD is positively related to firm’s relative P/E. Moreover, the positive relation is statistically significant only for firms with negative relative P/E to that of industry. These findings show our results do not come from the value investment effect. It is because PEAD would be remarkable when the firm’s P/E is higher than industry-average level, if investors, in terms of value investment strategy, realize that firms with positive relative level of P/E are overpriced and underreact to earnings information. In addition, our results hold even after directly controlling for the value investment effect.
Our findings indicate that the relative P/E plays a role of anchor in valuing firms. By showing that market does not fully take advantage of earnings information by anchoring on firm’s relative P/E in comparison with the industry level, we shed new light on anchoring effect in Korea stock market. |
| Key Words:
앵커링 효과,52주 최고가,산업 평균 주가배수,가치주 효과,주가잔류현상,Anchoring Effect,52-Week High Price,Industry-Average Price-to-Earnings Ratio,Value Stock Effect,Post-Earnings Announcement Drift |
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