Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 52, No. 1, pp.277-300
ISSN: 1226-1874 (Print)
Print publication date 28 Feb 2023
Received 15 Aug 2022 Revised 28 Nov 2022 Accepted 01 Dec 2022
DOI: https://doi.org/10.17287/kmr.2023.52.1.277

투자자 심리지수와 투자자의 비합리성에 관한 연구

Karam Kim ; Doojin Ryu
(First Author) Korea Asset Pricing karam891@naver.com
(Corresponding Author) Sungkyunkwan University sharpjin@skku.edu
Investor Sentiment Indicators and Irrational Behaviors: A Survey


Copyright 2011 THE KOREAN ACADEMIC SOCIETY OF BUSINESS ADMINISTRATION
This is an open access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Previous studies in the field of behavioral finance suggest that investors’ irrational behavior induces the difference between stock price and fundamental value. Uninformed investors with cognitive biases tend to make irrational investment decisions, such as herding, overconfidence, and loss aversion, rather than rational investment decisions. To find that mispricing is caused by investors’ irrational behavior, many studies focus on suggesting investor sentiment indicators constructed using surveys, transaction data, and textual data. We systematically review the literature regarding investor sentiment indices depending on the type of data and discuss the limitations of each index. Based on such limitations, we suggest ways to improve the measurement of each sentiment indicator.

Keywords:

Herding, Investor sentiment, Loss aversion, Overconfidence, Survey

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∙ The author Karam Kim is a Ph.D. candidate in Department of Economics at Sungkyunkwan University. She graduated from Sungkyunkwan University with a master’s degree in Economics and is currently working in Korea Asset Pricing. Her research interests include investor sentiment and investment theory.

∙ The author Doojin Ryu is a full/tenured professor of economics at Sungkyunkwan University. He graduated from Seoul National University (School of Electrical Engineering) and has got a Ph.D. degree at KAIST. He was a research fellow at the National Pension Service, an assistant professor at Hankuk University of Foreign Studies, and a full/tenured professor at Chung-Ang University. Prof. Ryu is currently an editor of Investment Analysts Journal (SSCI) and a subject editor of Emerging Markets Review (SSCI) and Journal of Multinational Financial Management (SSCI).