Intraday Return Reversals: Empirical Evidence from the Korean ETF MarketIntraday Return Reversals: Empirical Evidence from the Korean ETF Market
- Other Titles
- Intraday Return Reversals: Empirical Evidence from the Korean ETF Market
- Authors
- 이상기; 홍정훈
- Issue Date
- Feb-2022
- Publisher
- 한국금융정보학회
- Keywords
- 주의가설; 의견불일치; 상장지수펀드(ETF); 수익률 반전; 공매도; Attention hypothesis; Disagreement hypothesis; Exchange-traded fund (ETF); Return reversal; Short selling
- Citation
- 금융정보연구, v.11, no.1, pp.55 - 77
- Journal Title
- 금융정보연구
- Volume
- 11
- Number
- 1
- Start Page
- 55
- End Page
- 77
- URI
- http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/42155
- DOI
- 10.35214/rfis.11.1.202202.003
- ISSN
- 2234-7739
- Abstract
- We find that the overnight returns of ETFs in the Korean market are significantly positive, whereas the subsequent intraday returns are negative. These intraday return reversals are not explained by the attention hypothesis t at return reversal is mainly caused by the limited attention of individual investors. We investigate whether a disagreement among investors on market outlook can explain return reversals. We find that a disagreement among investors under short selling constraints is a significant factor for return reversals. This study contributes to the existing literature by showing that return reversals cannot be completely explained by the attention hypothesis and suggesting the disagreement hypothesis as an alternative.
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