투자자심리와 애널리스트 투자의견 변경에 대한 시장반응

Motivation for our analysis stems from the recent and growing behavioral finance literature showing that stock prices are affected by “sentiment” and when investor sentiment is high, low-sentiment-beta stocks are undervalued and their subsequent returns are higher. This suggests, and we can expect that there are different market reaction to any kind of the event such as stock repurchases, stock split and analysts’ consensus revision between low-sentiment-beta stocks and high-sentiment -beta stocks. We first form a composite index of sentiment based on a common variation in six underlying proxies of sentiment in the same way Baker and Wurgler(2006) formed, then using a composite sentiment index and monthly returns of individual, we estimate sentiment-beta of all stocks in our sample. We examine market reaction to change of analysts’ consensus revision using the event study. The sample period in this study is from January 2005 to December 2013 and we use analysts’ consensus reports collected by data-guide. The first finding from this study indicates that there is a statistically significant positive(negative) abnormal return from one day before event date to the event date in both upgrade and downgrade revisions. Second, for upgrades revision, low-sentiment-beta stock returns are higher than high-sentiment-beta stocks. It indicates that low-sentiment-beta stocks have shown stronger market response to upgrade consensus revisions than high-sentiment-beta stocks. This results are consistent with the previous studies suggested that when investor sentiment is high, low-sentiment-beta stocks are undervalued and their subsequent returns are higher. For downgrades, we confirm that high-sentiment-beta stock returns are less decrease than low-sentiment-beta stocks and much fast bounce back to normal. In conclusion, these results may contribute to establishing investment strategies for investors and managing investors’ own portfolio.