수익률에 반영된 디스포지션 효과 측정과 미실현 이익 및 거래량의 역할

According to Grinblatt and Han(2005, GH), the expected return of a stock is positively related with the unrealized capital gains on the stock of a group of irrational investors having disposition effect in their trading behavior. GH claimed that stock price momentum is induced by the positive relation. We showed that the trading volume caused by the disposition effect of irrational investors determines the size of changes in expected returns through updating process of reference prices in the GH model. This result has two meanings. First, the interaction between capital gains and trading volume can be a more important factor than capital gains which are heavily focused by previous studies in estimating the size of disposition effect on stock return. Second, disposition effect can affect expected return without price momentum. To test our claims, we employed 2-step process using Fama- French 3-factor time series regression before applying the GH’s method in estimating the disposition effect on stock return in Korea. This study found no significant relation between returns and capital gains. But there is strong relation between returns and the gains multiplied by volume turnover ratio. The empirical result supports our claims.