Intraday Return Reversals: Empirical Evidence from the Korean ETF Market
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 이상기 | - |
dc.contributor.author | 홍정훈 | - |
dc.date.accessioned | 2022-04-13T02:40:08Z | - |
dc.date.available | 2022-04-13T02:40:08Z | - |
dc.date.created | 2022-04-13 | - |
dc.date.issued | 2022-02 | - |
dc.identifier.issn | 2234-7739 | - |
dc.identifier.uri | http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/42155 | - |
dc.description.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. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | 한국금융정보학회 | - |
dc.relation.isPartOf | 금융정보연구 | - |
dc.title | Intraday Return Reversals: Empirical Evidence from the Korean ETF Market | - |
dc.title.alternative | Intraday Return Reversals: Empirical Evidence from the Korean ETF Market | - |
dc.type | Article | - |
dc.identifier.doi | 10.35214/rfis.11.1.202202.003 | - |
dc.type.rims | ART | - |
dc.identifier.bibliographicCitation | 금융정보연구, v.11, no.1, pp.55 - 77 | - |
dc.identifier.kciid | ART002814518 | - |
dc.description.journalClass | 2 | - |
dc.citation.endPage | 77 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 55 | - |
dc.citation.title | 금융정보연구 | - |
dc.citation.volume | 11 | - |
dc.contributor.affiliatedAuthor | 이상기 | - |
dc.identifier.url | https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART002814518 | - |
dc.description.isOpenAccess | N | - |
dc.subject.keywordAuthor | 주의가설 | - |
dc.subject.keywordAuthor | 의견불일치 | - |
dc.subject.keywordAuthor | 상장지수펀드(ETF) | - |
dc.subject.keywordAuthor | 수익률 반전 | - |
dc.subject.keywordAuthor | 공매도 | - |
dc.subject.keywordAuthor | Attention hypothesis | - |
dc.subject.keywordAuthor | Disagreement hypothesis | - |
dc.subject.keywordAuthor | Exchange-traded fund (ETF) | - |
dc.subject.keywordAuthor | Return reversal | - |
dc.subject.keywordAuthor | Short selling | - |
dc.description.journalRegisteredClass | kci | - |
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