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Why Do Individual Investors Hold Overpriced Stocks? Evidence from Korean Market : 무엇이 개인투자자들이 고평가된 주식들을 보유하게 하는가? 한국 주식시장 데이터를 통한 분석
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 최혁 | - |
| dc.contributor.author | 윤석인 | - |
| dc.date.accessioned | 2017-07-14T05:13:59Z | - |
| dc.date.available | 2017-07-14T05:13:59Z | - |
| dc.date.issued | 2015-02 | - |
| dc.identifier.other | 000000025220 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/124549 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2015. 2. 최혁. | - |
| dc.description.abstract | Campbell, Hilscher, and Szilagyi(2008) reports that firms with a high probability of default risk earn low subsequent returns. This result turns out to be puzzling. Then, Conrad, Kapadia, and Xing(2014, henceforth | - |
| dc.description.abstract | CKX) find that stocks with a high probability of default tend to generate extremely high returns (over 100%) over the next year. A feature that those stocks possessing lottery-like (extremely positive skewed) payoffs allow investors to desire to hold them, leading to high valuation and low exante returns.
This paper examines whether distress risk puzzle is also present in Korean market by following methodologies from CHS and CKX. I find that a high probability of jackpot returns have low average future returns in Korean market. Also, there exists a strong correlation between the predicted probability of a jackpot return and the probability of default from the CHS model within Korean market, along with a high correlation between returns of a jackpot and distress strategy. Therefore, I can conclude that a high probability of jackpot payoffs is a plausible explanation for at least a portion of the low average future returns of stocks with a high probability of default. Also, this explanation can be applied to distress risk puzzle present in Korea. | - |
| dc.description.tableofcontents | 1. Introduction 1
2. Motivation 3 3. A logit model for jackpot returns 5 3.1 Definition of jackpots and a logit model 5 3.2 What predicts jackpot returns? 7 3.3 Predictive power 8 4. Can the probability of jackpot returns explain the distress risk puzzle? 9 4.1 Average returns for strategies based on predicted jackpot probability 10 4.2 Similarities and differences between high predicted jackpot probabilities and high predicted distress firms 13 4.3 Relation between distress and jackpots 13 Ⅴ. Conclusion 17 Appendix 20 References 21 국문초록 22 | - |
| dc.format | application/pdf | - |
| dc.format.extent | 394191 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 대학원 | - |
| dc.subject | distress risk puzzle | - |
| dc.subject | skewness | - |
| dc.subject.ddc | 658 | - |
| dc.title | Why Do Individual Investors Hold Overpriced Stocks? Evidence from Korean Market | - |
| dc.title.alternative | 무엇이 개인투자자들이 고평가된 주식들을 보유하게 하는가? 한국 주식시장 데이터를 통한 분석 | - |
| dc.type | Thesis | - |
| dc.description.degree | Master | - |
| dc.citation.pages | 22 | - |
| dc.contributor.affiliation | 경영대학 경영학과 | - |
| dc.date.awarded | 2015-02 | - |
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