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korean management review - Vol. 47 , No. 5
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[ Article ]
korean management review - Vol. 47, No. 5, pp. 1231-1260
Abbreviation: kmr
ISSN: 1226-1874 (Print)
Print publication date 31 Oct 2018
Received 17 Aug 2018 Accepted 14 Sep 2018
DOI: https://doi.org/10.17287/kmr.2018.47.5.1231

Investor Sentiment Indices and the Cross-section of Stock Returns of Individual Firms
Karam Kim* ; Doojin Ryu** ; Heejin Yang***
*Department of Economics, Sungkyunkwan University, First Author
**Tenured Professor, Department of Economics, Sungkyunkwan University, Corresponding Author
***Assistant Professor, School of Finance, College of Business Administration, Soongsil University, Co-Author

투자심리지수의 대용변수와 유용성: 개별기업 주식수익률에 미치는 영향을 바탕으로
김가람* ; 류두진** ; 양희진***
*(주저자) 성균관대학교 경제학과 대학원 (karam891@skku.edu)
**(교신저자) 성균관대학교 경제학과 교수 (sharpjin@skku.edu)
***(공저자) 숭실대학교 금융학부 조교수 (yhj427@ssu.ac.kr)
Funding Information ▼
Abstract

This study explores various proxies and components used to construct the investor sentiment indices, including the sentiment proxies documented in the previous behavioral finance literature. We also examine the investor sentiment indices that explain the cross-sectional stock returns of individual firms. By analyzing the stock trading data of the manufacturing companies listed on the KOSPI stock market for the period 2010 to 2017, we compare both single-variable (e.g., individual investor buy-sell imbalance, trading ratio) and multiple-variable (e.g., Baker and Wurgler, 2006, 2007) approaches to construct and measure the investor sentiment. We find that the multiple-variable approach yields better empirical performance in explaining the individual stock returns than the single-variable approach does. Our result is robust after controlling for the risk factors and options market sentiment.

초록

본 연구는 투자심리지수에 관한 국내 및 해외 연구들을 조사하여 그동안 행태재무분야에서 투자자의 심리지수를 구축하기 위해 지금까지 논의되어 온 대용변수에 관해 설명하고, 국내 주식시장에 적용될 수 있는 투자심리지수를 조사한다. 구체적으로, 논의된 투자심리지수 중에서 국내 개별기업 수익률에 대한 설명력이 높은 투자심리지수에 대해 살펴본다. 2010년부터 2017년까지 유가증권시장에 상장된 제조업 기업을 대상으로 개인투자자의 매수-매도 거래량 불균형과 상장주식 거래회전율을 이용한 단일변수 투자심리지수와 Baker and Wurgler(2006, 2007)의 방법론을 이용한 다변수 투자심리지수의 설명력을 비교·분석한다. 실증분석결과, 개별기업 주식수익률에 영향을 미치는 기업특성 변수들을 통제하고도 단일변수보다 다변수를 이용해 생성한 투자심리지수의 설명력이 더 높은 것으로 나타났으며, 위험요인과 옵션투자자 심리지수를 통제하고도 동일한 결과를 얻었다. 본 연구의 결과는 국내 개별기업의 투자자 심리를 적절히 반영한다는 측면에서, 기존의 단일변수보다 다변수 투자심리지수의 유용성이 더 높다는 것을 암시한다.

Keywords: Behavioral finance, Cross-section of stock returns, Firm characteristics, Individual firm, Investor sentiment, Risk factor
키워드: 기업특성, 위험요소, 주식수익률, 투자심리지수, 행태재무
Acknowledgments

본 연구에 유익한 조언을 주신 채준 교수님께 감사드립니다. 연구책임자 류두진 교수는 ｢서울대학교 경영대학 증권·금융연구소 투자연구교육센터｣에서 연구비를 지원받았음을 사사합니다.Ryu’s research work is supported by IREC, The Institute of Finance and Banking, Seoul National University.

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• 저자 김가람은 현재 성균관대학교 경제학과 대학원에 재학 중이다. 연구 분야는 투자론, 행태재무, 금융시장미시구조, 자본시장이다.

• 저자 류두진은 서울대 전기공학부를 졸업하고 KAIST 경영대학에서 Finance를 전공하여 박사학위를 취득하였다. 국민연금공단, 한국외대 교수, 중앙대 교수를 거쳐, 현재 성균관대 경제학과 교수로 재직 중이며, 스포츠과학대학 교수를 兼職하고 있다. SSCI 학술지인 Emerging Markets Review와 Investment Analysts Journal의 Editor이다.

• 저자 양희진은 성균관대 경영전문대학원에서 석사학위를 취득하고, 경제학과에서 Finance를 전공하여 박사학위를 취득하였다. 현재 숭실대 금융학부에 연구중점 조교수로 재직 중이며, 투자론, 시장미시구조, 파생금융상품시장, 행태재무와 같은 전통적인 재무론 연구와 핀테크, 빅데이터, 인공지능, 블록체인과 같은 디지털 금융의 다양한 연구를 수행하고 있다.

 
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