By a News Reporter-Staff News Editor at Investment Weekly News -- Researchers detail new data in Finance - Asia-Pacific Financial Markets. According to news reporting out of Gwangju, South Korea, by VerticalNews editors, the research stated, “I find a negative cross-sectional relation between the probability of future price crashes and subsequent returns in the Korean stock market, substantially due to the overpricing of stocks with a high probability of crashes. Using precise information on retail trading in the Korean stock market, I also find that stocks with a high crash probability have a relatively high proportion of retail trading.”
Our news journalists obtained a quote from the research from the College of Business, “Moreover, the negative relation between the probability of crashes and stock returns is much stronger in stocks traded more heavily by retail investors. However, I cannot find a negative relation between the probability of jackpot payoffs and subsequent returns in Korea, unlike in the United States, even among stocks with a high proportion of retail trading.”
According to the news editors, the research concluded: “Both portfolio- and firm-level evidence on the crash effect suggests that stocks with a higher retail trading proportion are more likely to be overpriced, as expected from the limits to arbitrage literature.”
For more information on this research see: Stock return anomalies and individual investors in the Korean stock market. Pacific-Basin Finance Journal , 2017;46():141-157. Pacific-Basin Finance Journal can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.
Our news journalists report that additional information may be obtained by contacting J. Jang, Chosen Univ, Coll Business, Gwangju 61452, South Korea.
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.pacfin.2017.09.002. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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CITATION: (2018-01-13), Data from College of Business Advance Knowledge in Asia-Pacific Financial Markets (Stock return anomalies and individual investors in the Korean stock market), Investment Weekly News, 223, ISSN: 1945-8185, BUTTER® ID: 014929469
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