Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?
Abstract
:1. Introduction
2. Literature Review
3. Methodology
4. Empirical Data
5. Results and Discussion
5.1. Overnight Returns and Individual Stock Returns
5.2. Individual Stock Returns by Firm Characteristics and Overnight Returns
6. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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N | Mean | SD | Min | Max | |
---|---|---|---|---|---|
Panel A. Stock Returns and Sentiment for Individual Firms (Daily Data) | |||||
Return (%) | 1,562,909 | 0.08 | 3.17 | −30.00 | 30.00 |
Overnight (%) | 1,562,909 | 0.07 | 1.83 | −30.00 | 30.00 |
Panel B. Firm Characteristics (Quarterly Data) | |||||
Ln (ME) | 25,493 | 25.56 | 1.69 | 21.70 | 31.73 |
IVOL (%) | 25,493 | 2.49 | 1.25 | 0.52 | 9.68 |
E/BE | 25,493 | 0.02 | 0.05 | −0.61 | 0.79 |
BE/ME | 25,493 | 1.62 | 1.38 | −15.11 | 13.25 |
D/E | 25,493 | 1.19 | 1.60 | −12.31 | 39.12 |
INST | 25,493 | 0.22 | 0.23 | 0.00 | 0.97 |
Panel A. Fama–MacBeth Regression | ||||||||||
t+1 | t+2 | t+3 | t+4 | t+5 | ||||||
Intercept | 0.0000 | −0.0001 | 0.0004 | 0.0002 ** | 0.0004 | 0.0002 *** | 0.0004 | 0.0002 *** | 0.0004 | 0.0003 *** |
(−0.19) | (−0.85) | (1.50) | (2.79) | (1.64) | (3.26) | (1.64) | (3.39) | (1.68) | (3.54) | |
Overnight | 0.6280 *** | 0.5268 *** | 0.0438 *** | 0.0368 *** | 0.0188 * | 0.0116 *** | −0.0043 | −0.0032 | −0.0184 ** | −0.0068 *** |
(46.64) | (18.29) | (4.43) | (9.07) | (1.97) | (3.38) | (−0.42) | (−1.38) | (−2.47) | (−3.58) | |
MKT | 0.7540 *** | 0.9340 *** | 0.9344 *** | 0.9344 *** | 0.9347 *** | |||||
(60.71) | (120.29) | (131.90) | (129.70) | (127.52) | ||||||
SMB | 0.5895 *** | 0.7139 *** | 0.7139 *** | 0.7152 *** | 0.7154 *** | |||||
(44.98) | (46.21) | (47.08) | (46.48) | (45.80) | ||||||
HML | 0.1456 ** | 0.1917 *** | 0.1930 *** | 0.1938 *** | 0.1934 *** | |||||
(2.23) | (3.00) | (3.04) | (3.04) | (3.06) | ||||||
UMD | −0.0136 | −0.0357 ** | −0.0342 * | −0.0352 * | −0.0351 * | |||||
(−0.62) | (−2.15) | (−2.05) | (−2.11) | (−2.10) | ||||||
Adj R2 | 0.1260 | 0.2052 | 0.0011 | 0.1230 | 0.0007 | 0.1226 | 0.0006 | 0.1225 | 0.0004 | 0.1225 |
Panel B. Long–Short Return | ||||||||||
Return | 0.0162 *** | 0.0009 *** | 0.0004 *** | 0.0002 ** | 0.0001 * | |||||
(120.05) | (8.88) | (4.79) | (2.08) | (1.66) | ||||||
Alpha | 0.0158 *** | 0.0005 *** | 0.0000 | −0.0002 ** | −0.0002 *** | |||||
(118.91) | (5.64) | (0.27) | (−2.15) | (−2.64) |
Decile | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Overnight | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | |
ME | High (%) | 0.897 | 0.685 | 0.690 | 0.661 | 0.594 | 0.530 | 0.616 | 0.612 | 0.586 | 0.712 |
Low (%) | −0.739 | −0.636 | −0.542 | −0.624 | −0.537 | −0.561 | −0.604 | −0.534 | −0.538 | −0.641 | |
Difference (%) | 1.640 | 1.320 | 1.230 | 1.280 | 1.130 | 1.090 | 1.220 | 1.150 | 1.120 | 1.350 | |
IVOL | High (%) | 0.604 | 0.613 | 0.681 | 0.681 | 0.672 | 0.761 | 0.724 | 0.722 | 0.819 | 0.938 |
Low (%) | −0.513 | −0.620 | −0.506 | −0.585 | −0.564 | −0.606 | −0.652 | −0.608 | −0.714 | −1.090 | |
Difference (%) | 1.120 | 1.230 | 1.190 | 1.270 | 1.240 | 1.370 | 1.380 | 1.330 | 1.530 | 2.030 | |
BE/ME | High (%) | 0.698 | 0.659 | 0.713 | 0.681 | 0.635 | 0.705 | 0.655 | 0.745 | 0.720 | 0.858 |
Low (%) | −0.655 | −0.555 | −0.607 | −0.592 | −0.529 | −0.604 | −0.581 | −0.586 | −0.585 | −0.685 | |
Difference (%) | 1.350 | 1.210 | 1.320 | 1.270 | 1.160 | 1.310 | 1.240 | 1.330 | 1.300 | 1.540 | |
E/BE | High (%) | 0.946 | 0.673 | 0.588 | 0.693 | 0.655 | 0.684 | 0.629 | 0.687 | 0.681 | 0.798 |
Low (%) | −1.100 | −0.644 | −0.617 | −0.669 | −0.568 | −0.544 | −0.599 | −0.555 | −0.507 | −0.688 | |
Difference (%) | 2.050 | 1.320 | 1.200 | 1.360 | 1.220 | 1.230 | 1.230 | 1.240 | 1.190 | 1.490 | |
D/E | High (%) | 0.575 | 0.665 | 0.652 | 0.631 | 0.644 | 0.667 | 0.764 | 0.703 | 0.749 | 0.850 |
Low (%) | −0.506 | −0.587 | −0.523 | −0.562 | −0.525 | −0.567 | −0.734 | −0.606 | −0.664 | −0.895 | |
Difference (%) | 1.080 | 1.250 | 1.170 | 1.190 | 1.170 | 1.230 | 1.500 | 1.310 | 1.410 | 1.740 | |
Inst | High (%) | 0.899 | 0.760 | 0.819 | 0.736 | 0.830 | 0.718 | 0.691 | 0.691 | 0.670 | 0.593 |
Low (%) | −0.872 | −0.877 | −0.782 | −0.764 | −0.690 | −0.629 | −0.591 | −0.589 | −0.542 | −0.496 | |
Difference (%) | 1.770 | 1.640 | 1.600 | 1.500 | 1.520 | 1.350 | 1.280 | 1.280 | 1.210 | 1.090 |
Sentiment | Sentiment with Carhart’s Four Factors | |||||
---|---|---|---|---|---|---|
High | Low | Diff | High | Low | Diff | |
ME | 0.8311 *** | 0.7350 *** | 0.0993 *** | 0.1853 *** | 0.5782 *** | −0.3878 *** |
(42.31) | (30.88) | (2.95) | (12.96) | (25.26) | (−11.71) | |
IVOL | 0.7969 *** | 0.8648 *** | −0.0810 ** | 0.4155 *** | 0.1485 *** | 0.2575 *** |
(36.36) | (45.01) | (−2.39) | (21.10) | (11.49) | (8.31) | |
BE/ME | 0.8666 *** | 0.8303 *** | 0.0353 | 0.5416 *** | 0.1840 *** | 0.3542 *** |
(39.71) | (42.33) | (1.14) | (27.12) | (13.72) | (12.78) | |
E/BE | 0.8330 *** | 0.7924 *** | 0.0511 * | 0.3529 *** | 0.4010 *** | −0.0377 |
(44.05) | (35.38) | (1.69) | (23.72) | (19.63) | (−1.41) | |
D/E | 0.8406 *** | 0.8993 *** | −0.0661 ** | 0.3226 *** | 0.3416 *** | −0.0241 |
(40.47) | (47.51) | (−2.19) | (18.64) | (22.97) | (−0.96) | |
INST | 0.8422 *** | 0.7963 *** | 0.0622 * | 0.2050 *** | 0.4998 *** | −0.2816 *** |
(44.34) | (33.51) | (1.80) | (16.16) | (22.34) | (−8.59) |
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Seok, S.I.; Cho, H.; Park, C.; Ryu, D. Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market? Sustainability 2019, 11, 3718. https://doi.org/10.3390/su11133718
Seok SI, Cho H, Park C, Ryu D. Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market? Sustainability. 2019; 11(13):3718. https://doi.org/10.3390/su11133718
Chicago/Turabian StyleSeok, Sang Ik, Hoon Cho, Chanhi Park, and Doojin Ryu. 2019. "Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?" Sustainability 11, no. 13: 3718. https://doi.org/10.3390/su11133718