1. Abarbanell, J. S, and V. L Bernard, 1992, Tests of Analysts'Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior,
Journal of Finance, Vol. 47 (3), pp. 1181-1207.
2. Bandopadhyaya, A, and A. L Jones, 2008, Measures of Investor Sentiment:A Comparative Analysis Put-call Ratio vs. Volatility Index,
Journal of Business &Economics Research, Vol. 6 (8), pp. 27-34.
3. Baker, M, and J Wurgler, 2006, Investor Sentiment and the Cross-section of Stock Returns,
Journal of Finance, Vol. 61 (4), pp. 1645-1680.
4. Ball, R, and P Brown, 1968, An Empirical Evaluation of Accounting Income Numbers,
Journal of Accounting Research, Vol. 6 (2), pp. 159-178.
5. Barber, B. M, and T Odean, 2008, All that Glitters:The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors,
Review of Financial Studies, Vol. 21 (2), pp. 785-818.
6. Barberis, N, A Shleifer, and R Vishny, 1998, A Model of Investor Sentiment,
Journal of Financial Economics, Vol. 49 (3), pp. 307-343.
7. Bernard, V. L, and J. K Thomas, 1990, Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings,
Journal of Accounting and Economics, Vol. 13, pp. 305-341.
8. Bird, R, D. F Choi, and D Yeung, 2014, Market Uncertainty, Market Sentiment, and the Post-earnings Announcement Drift,
Review of Quantitative Finance and Accounting, Vol. 43 (1), pp. 45-73.
9. Brown, G. W, and M. T Cliff, 2004, Investor Sentiment and the Near-term Stock Market,
Journal of Empirical Finance, Vol. 11 (1), pp. 1-27.
10. Brown, G. W, and M. T Cliff, 2005, Investor Sentiment and Asset Valuation,
Journal of Business, Vol. 78 (2), pp. 405-440.
11. Brown, L. D, R. L Hagerman, P. A Griffin, and M. E Zmijewski, 1987, Security Analyst Superiority Relative to Univariate Time-series Models in Forecasting Quarterly Earnings,
Journal of Accounting and Economics, Vol. 9 (1), pp. 61-87.
12. Carhart, M. M, 1997, On Persistence in Mutual Fund Performance,
Journal of Finance, Vol. 52 (1), pp. 57-82.
13. Chae, J, R Kim, and J Han, 2020, Investor Attention from Internet Search Volume and Underreaction to Earnings Announcements in Korea,
Sustainability, Vol. 12 (22), pp. 1-29.
14. Choi, J. W, and J. H Park, 2017, The Effect of Accounting Comparability on Post-Earnings-Announcement Drift,
Korean Accounting Review, Vol. 42 (5), pp. 161-207.
15. Chun, S. M, and J. B Wee, 2019, Information Effect of the Quarterly Earnings Announcement, Korean Journal of Financial Management, Vol. 36 (4), pp. 1-31.
16. Cooper, M. J, R. C Gutierrez Jr, and A Hameed, 2004, Market States and Momentum,
Journal of Finance, Vol. 59 (3), pp. 1345-1365.
17. Conrad, J, B Cornell, and W. R Landsman, 2002, When is Bad News Really Bad News?,
Journal of Finance, Vol. 57 (6), pp. 2507-2532.
18. Daniel, K, D Hirshleifer, and A Subrahmanyam, 1998, Investor Psychology and Security Market Under-and Overreactions,
Journal of Finance, Vol. 53 (6), pp. 1839-1885.
19. DellaVigna, S, and J. M Pollet, 2009, Investor Inattention and Friday Earnings Announcements,
Journal of Finance, Vol. 64 (2), pp. 709-749.
20. De Long, J. B, A Shleifer, L. H Summers, and R. J Waldmann, 1990, Noise Trader Risk in Financial Markets,
Journal of Political Economy, Vol. 98 (4), pp. 703-738.
21. Fama, E. F, and K. R French, 1993, Common Risk Factors in the Returns on Stocks and Bonds,
Journal of Financial Economics, Vol. 33 (1), pp. 3-56.
22. Fama, E. F, 1998, Market Efficiency, Long-term Returns, and Behavioral Finance,
Journal of Financial Economics, Vol. 49 (3), pp. 283-306.
23. Fried, D, and D Givoly, 1982, Financial Analysts'Forecasts of Earnings:A Better Surrogate for Market Expectations,
Journal of Accounting and Economics, Vol. 4 (2), pp. 85-107.
24. Han, B, 2008, Investor Sentiment and Option Prices,
Review of Financial Studies, Vol. 21 (1), pp. 387-414.
25. Hirshleifer, D, and S. H Teoh, 2003, Limited Attention, Information Disclosure, and Financial Reporting,
Journal of Accounting and Economics, Vol. 36 (1-3), pp. 337-386.
26. Hirshleifer, D, S. S Lim, and S. H Teoh, 2009, Driven to Distraction:Extraneous Events and Underreaction to Earnings News,
Journal of Finance, Vol. 64 (5), pp. 2289-2325.
27. Hirshleifer, D, S. S Lim, and S. H Teoh, 2011, Limited Investor Attention and Stock Market Misreactions to Accounting Information,
Review of Asset Pricing Studies, Vol. 1 (1), pp. 35-73.
28. Hou, K, W Xiong, and L Peng, 2009, A Tale of Two Anomalies:The Implications of Investor Attention for Price and Earnings Momentum,
Available at SSRN 976394,
29. Jung, C. S, and S. H Kim, 2015, An Empirical Study on the Stock Price to Earning Announcements Using the Stochastic Discount Factor Approach, Journal of Insurance and Finance, Vol. 26 (2), pp. 59-84.
30. Kang, H. G, K Bae, J. A Shin, and S Jeon, 2021, Will Data on Internet Queries Predict the Performance in the Marketplace:An Empirical Study on Online Searches and IPO Stock Returns,
Electronic Commerce Research, Vol. 21, pp. 101-124.
31. Kahneman, D, Attention and Effort,Vol. 1063. Englewood Cliffs, NJ: Prentice-Hall, 1973.
32. Kahneman, D, and A Tversky, 1973a, Availability:A Heuristic for Judging Frequency and Probability,
Cognitive Psychology, Vol. 5 (2), pp. 207-232.
33. Kahneman, D, and A Tversky, 1973b, On the Psychology of Prediction,
Psychological Review, Vol. 80 (4), pp. 237-25l.
34. Kamstra, M. J, L. A Kramer, and M. D Levi, 2003, Winter Blues:A Sad Stock Market Cycle,
American Economic Review, Vol. 93 (1), pp. 324-343.
35. Kim, K, and J Byun, 2010, Effect of Investor Sentiment on Market Response to Stock Split Announcement,
Asia-Pacific Journal of Financial Studies, Vol. 39 (6), pp. 687-719.
36. Kim, S. H, and H. G Kang, 2015, Tactical Asset Allocation Using Investors'Sentiment, Hitotsubashi Journal of Economics, Vol. 56 (2), pp. 177-195.
37. Lakonishok, J, A Shleifer, and R. W Vishny, 1994, Contrarian Investment, Extrapolation, and Risk,
Journal of Finance, Vol. 49 (5), pp. 1541-1578.
38. Lee, H. J, and H Choe, 2012, The Effects of Individual Investor Trading on Post-earnings Announcement Drift, Korean Journal of Financial Studies, Vol. 41 (3), pp. 393-436.
39. Lee, K. T, and Y. J Lee, 2008, A Study of Factors Affecting Post-earnings-announcement Drift, Korean Accounting Review, Vol. 33 (3), pp. 61-101.
40. Lee, K. T, Y. J Lee, and J. W Choi, 2011, Effects of Management Forecasts on Post Earnings Announcement Drift, Korean Accounting Review, Vol. 36 (4), pp. 211-248.
41. Lee, S, and J Song, 2017, Analysing Contents of Market Sentiment Based on Investors'Emotion, Pure and Applied Mathematics, Vol. 24 (4), pp. 227-241.
42. Lemmon, M, and E Portniaguina, 2006, Consumer Confidence and Asset Prices:Some Empirical Evidence,
Review of Financial Studies, Vol. 19 (4), pp. 1499-1529.
43. Liang, L, 2003, Post-earnings Announcement Drift and Market Participants'Information Processing Biases, Review of Accounting Studies, Vol. 8 (2-3), pp. 321-345.
44. Loh, R. K, 2010, Investor Inattention and the Underreaction to Stock Recommendations,
Financial Management, Vol. 39 (3), pp. 1223-1252.
45. Mian, G. M, and S Sankaraguruswamy, 2012, Investor Sentiment and Stock Market Response to Earnings News,
Accounting Review, Vol. 87 (4), pp. 1357-1384.
46. Nah, C. K, 2008, Post Earnings Announcement Drift and Time-series Properties of Quarterly Earnings, Korean Accounting Review, Vol. 33 (4), pp. 111-139.
47. Nah, C. K, and H. J Shin, 2012, The Effects of Foreign Ownership on the Magnitude of the Post-earnings-announcement Drift, Korean Accounting Review, Vol. 37 (3), pp. 203-238.
48. Pagan, A. R, and K. A Sossounov, 2003, A Simple Framework for Analysing Bull and Bear Markets,
Journal of Applied Econometrics, Vol. 18 (1), pp. 23-46.
49. Park, K. H, and J Byun, 2019, The Study of Asymmetric Market Responses of Market Sentiment on the Earnings Announcements, Korean Journal of Financial Management, Vol. 36 (1), pp. 1-28.
50. Park, S, 2016, Investor Sentiment and the Market Pricing of Corporate Earnings, Korean Accounting Journal, Vol. 25 (1), pp. 117-149.
51. Park, J. W, and J. H Gim, 2012, Information Asymmetry and Trading Behavior by Investor Types Around Earnings Announcement, Korean Journal of Financial Management, Vol. 29 (3), pp. 55-81.
52. Peng, L, 2005, Learning with Information Capacity Constraints,
Journal of Financial and Quantitative Analysis, Vol. 40 (2), pp. 307-329.
53. Peng, L, and W Xiong, 2006, Investor Attention, Overconfidence and Category Learning,
Journal of Financial Economics, Vol. 80 (3), pp. 563-602.
54. Porta, R. L, J Lakonishok, A Shleifer, and R Vishny, 1997, Good News for Value Stocks:Further Evidence on Market Efficiency,
Journal of Finance, Vol. 52 (2), pp. 859-874.
55. Skinner, D. J, and R. G Sloan, 2002, Earnings Surprises, Growth Expectations, and Stock Returns or Don't Let an Earnings Torpedo Sink Your Portfolio, Review of Accounting Studies, Vol. 7 (2-3), pp. 289-312.
56. Simons, R, 1987, Accounting Control Systems and Business Strategy:An Empirical Analysis, Accounting, Organizations and Society, Vol. 12 (4), pp. 357-374.
57. Veronesi, P, 1999, Stock Market Overreactions to Bad News in Good Times:A Rational Expectations Equilibrium Model,
Review of Financial Studies, Vol. 12 (5), pp. 975-1007.