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Sentiment, growth and value investments: Evidence from Korean Stock Listings

Title
Sentiment, growth and value investments: Evidence from Korean Stock Listings
Authors
Byun J.Choi H.-S.Choi P.M.S.
Ewha Authors
변진호최문섭최형석
SCOPUS Author ID
변진호scopus; 최문섭scopus; 최형석scopus
Issue Date
2015
Journal Title
Investment Management and Financial Innovations
ISSN
1810-4967JCR Link
Citation
vol. 12, no. 3, pp. 142 - 148
Keywords
AnomaliesBehavioral financeGrowth investmentInvestor sentimentLong-run performanceValue investment
Publisher
LLC CPC Business Perspectives
Indexed
SCOPUS scopus
Abstract
In this paper, the authors relate the investment performances of value and growth stocks to investor sentiment. The authors' research objectives are twofold: first, the authors verify positive long-run abnormal returns of value investing under pessimistic investor sentiment. Second, the authors experiment a horse race between the fundamental and behavioral views of growth stock returns. Using a thirteen-year sample of Korea Exchange (KRX)-listed firms, the authors find a positive relation between the value premium and stock market sentiment: while growth investing can be relatively dominant in a pessimistic cycle under depressed investor sentiment, value strategy can outperform in an optimistic period. As a result, the authors confirm the usefulness of style investing adapted to investor psychology. © Jinho Byun, Hyung-Suk Choi, Paul Moon Sub Choi, 2015.
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경영대학 > 경영학전공 > Journal papers
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