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논문
 KCI등재 학술저널

거래량이 복권특성 종목의 기대수익률에 미치는 영향

Trading Volume and Overpricing of Lottery-type Stocks

간행물 정보
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아태비즈니스연구 제14권 제1호.jpg

초록

Purpose - The purpose of this study is to examine whether trading volume amplifies the extent to which lottery-type stocks are overpriced, and whether economic sentiment index explains time-variation in the magnitude of the volume amplification effect. Design/methodology/approach - We examine monthly returns on 5x5 monthly bivariate portfolios formed by lottery characteristics (measured by maximum daily return) and trading volume. In addition, we perform time-series regression tests to examine how the volume amplification effect changes in high and low economic sentiment periods, after controlling for Fama-French three factors. Findings - Our bivariate portfolio analysis shows that the overpricing of lottery-type stocks are mostly pronounced among high trading volume stocks. In contrast, for low trading volume stocks, overpricing of lottery-type stocks appears to vanish. Furthermore, the amplification effect of trading volume on overpricing of lottery-type stock is concentrated in high economic sentiment periods. Research implications or Originality - This study is the first attempt to examine whether trading volume drives lottery-type stocks’ overpricing in the Korean stock market. Furthermore, our analysis unveils the time-varying nature of volume amplification effect. The results suggest that trading volume might play a important hidden role in asset pricing, opening a new line of researches in the future.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 자료

Ⅳ. 분석결과

Ⅴ. 결론

References

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