개인투자자가 주가지체에 미치는 영향에 관한 연구

Conventionally, individual investors are thought of as uninformed or noise traders. On the other hand, as the ownership breadth expands, investors’attention and recognition can also increase. We examine the effect of the number and ownership of individual investors on stock price delay. We measure price delay using the speed of diffusion of market return on share price, as in Hou and Moskowitz(2005). Using a sample of KOSPI-listed non-financial firms from 2001 through 2018, we find that firms with large number and ownership of individual investors are associated with significantly lower stock price delay. Our results suggest that firms with larger ownership breadth are ones attracting investors’attention, and consequently their share price respond to information more rapidly. These results are robust to employing various methods including portfolio analysis, pooled OLS, fixed effect and dynamic panel regressions. We also find that these effects are commonly found in both KOSPI and KOSDAQ market and that the stock price delay in KOSPI market is significantly lower. This paper contributes to the literature relating to individual investors and their effect on stock price formation. We expect that this study suggests several opportunities for future research on the relation between individual investors and information environment in stock market.