야간수익률과 고유변동성이 기대수익률에 미치는 영향 = Overnight Returns, Idiosyncratic Volatility, and the Expected Stock Returns

다국어 초록 (Multilingual Abstract)

Purpose - This paper examines whether overnight returns and idiosyncratic volatility (IVOL) jointly affects the cross-section of expected stock returns in the Korean stock market.
Design/methodology/approach - Constructing 5x5 bivariate monthly portfolios independently sorted on overnight returns and IVOL, this paper tests whether overpricing of stocks with high overnight returns is more pronounced for the stocks that also have high IVOL. In addition, we also investigate whether time-variation in the degree of overpricing for those stocks can be explained by market volatility.
Findings - Our results show that stocks having both high overnight returns and high IVOL exhibit strong negative returns in the future. In contrast, we are unable to observe such negative returns for the stocks that have high overnight returns and low IVOL. This suggests that overpricing of stocks with high overnight returns is concentrated for the stocks having high IVOL. Moreover, we also find that the degree to which such stocks are overpriced is negatively related to market volatility.
Research implications or Originality - his paper is the first attempt to explore whether degree of overpricing of stocks having high overnight returns is related to IVOL. We also discover time-varying property of overpricing is jointly driven by overnight returns and IVOL. Our results indicate that IVOL might help explain other previously documented stock return anomalies, suggesting interesting topics for future research.

참고문헌 (Reference)

1 최홍식 ; 한재훈, "투자자 관심과 주식수익률의 반전현상에 관한 연구: 코스닥시장을 중심으로" 한국재무관리학회 33 (33): 113-140, 2016

2 김선웅, "오버나이트 퍼즐의 정보 콘텐츠: 퍼즐 투자전략의 수익성은?" 한국콘텐츠학회 22 (22): 537-547, 2022

3 전용호, "야간수익률의 횡단면 주식수익률에 대한 예측력" 경영경제연구소 11 (11): 243-254, 2020

4 Almazan, A., "Why Constrain Your Mutual Fund Manager?" 69 : 355-373, 2004

5 D’Avolio, G., "The Market for Borrowing Stock" 66 : 271-306, 2002

6 Shleifer, A., "The Limits of Arbitrage" 52 : 35-55, 1997

7 Fama, E. F., "Risk, Return, and Equilibrium : Empirical Tests" 81 (81): 607-636, 1973

8 Berkman, H., "Paying Attention : Overnight Returns and the Hidden Cost of Buying at the Open" 47 (47): 715-741, 2012

9 Akbas, "Overnight Returns, Daytime Reversals, and Future Stock Returns" 145 : 850-875, 2022

10 Aboody, D., "Overnight Returns and Firm-Specific Investor Sentiment" 53 (53): 485-505, 2018

11 Carhart, M. M., "On Persistence of Mutual Fund Performance" 52 (52): 57-82, 1997

12 DeLong, B., "Noise Trader Risk in Financial Markets" 90 : 703-738, 1990

13 Mitchell, M., "Limited Arbitrage in Equity Markets" 57 : 551-584, 2002

14 Baker, M., "Investor Sentiment and the Cross-section of Stock Returns" 61 (61): 1645-1680, 2006

15 Daniel, K., "Investor Psychology and Security Market Underand Overreactions" 53 (53): 1839-1885, 1998

16 Hirshleifer, D., "Investor Psychology and Asset Pricing" 56 (56): 1533-1597, 2001

17 Amihud, Y., "Illiquidity and Stock Returns : Cross-section and Time-series Effects" 5 (5): 31-56, 2002

18 Koski, J. L., "How are Derivatives Used? Evidence from the Mutual Fund Industry" 54 : 791-816, 1999

19 Kumar, A., "Hard-to-value Stocks, Behavioral Biases, and Informed Trading" 44 (44): 1375-1401, 2009

20 Lamont, O., "Going Down Fighting : Short Sellers vs. Firms" 2 : 1-30, 2012

21 Fama, E. F., "Efficient Capital Markets : II" 46 (46): 1575-1617, 1991

22 Fama, E. F., "Efficient Capital Markets : A Review of Theory and Empirical Work" 25 : 383-417, 1970

23 Pontiff, J., "Costly Arbitrage and the Myth of Idiosyncratic Risk" 42 : 35-52, 2006

24 Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds" 33 : 3-56, 1993

25 Stambaugh, R. F., "Arbitrage Asymmetry and the Idiosynstacratic Volatility Puzzle" 70 (70): 1903-1948, 2015

26 Newey, W., "A Simple, Positive Semi-definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix" 55 (55): 703-708, 1987

27 Fama, E. F., "A Five-factor Asset Pricing Model" 116 (116): 1-22, 2015