투자자 관심과 주식수익률의 반전현상에 관한 연구: 코스닥시장을 중심으로

Using intraday trading and quote data for all common stocks listed on the KOSDAQ market, we investigate whether attention-driven trading by individual investors is associated with a pattern of intraday return reversal. Similar to empirical evidence in the U.S., we find s strong pattern of positive returns during the overnight period followed by negative returns during the trading day. When we use net buying by individual investors as a percent of total trading volume yesterday as a proxy for individual investor attention at the start of trading day, we find that the higher this measure of attention is, the stronger is the intensity of individual investors’ net buying at the open. Furthermore, the magnitude of intraday return reversal is larger for stocks with higher measure of individual investor attention. These findings are consistent with the attention hypothesis, and we also find that our main results are robust to using Fama-McBeth regressions and controlling for U.S stock market returns on the previous day.