거래량을 이용한 투자자의 자기과신, 주식수익률의 관계에 관한 연구

According to behavioral finance, the effect of attention in the stock market has a significant impact on investor decision-making. Individual stocks of high investor attention increase investor irrational bias, such as overconfidence, and this psychological bias causes an overreaction to the asset. Overconfidence investors make aggressive transactions, and investor attention causes high trading volume. This study investigates the impact of investor overconfidence on stock returns in the Korean stock market based on the fact that investor confidence due to the effect of investor attention is closely related to trading volume. We present variables that can measure the degree of investor overconfidence in individual assets and analyze the effect of investor overconfidence on stock returns in the Korean securities market. In this study, we present the investor's overconfidence measure (IOC) using the highest trading volume over the past 12 months and the current trading volume. At the end of each month, we form a portfolio of deciles based on IOC to confirm the relationship between stock returns and investors' overconfidence. We focus on extreme portfolios to determine the impact of IOC on future returns. If the investor's overconfidence has a significant negative effect on the stock return, the investor's overconfidence has a relatively low stock return on an extremely high portfolio. As a result, the higher the investor's confidence, the lower the future return. It argued that the relationship between investor overconfidence and stock returns through a zero-cost portfolio strategy in which longs the lowest IOC portfolio and shorts the highest IOC portfolio, the IOC strategy has a significant positive return. This phenomenon is maintained even after considering firm characteristics factors, investor overreaction, volatility, and gambling tendency. The IOC's significant negative predictive power for stock returns is maintained through Fama-MacBeth cross-sectional regression analysis. Furthermore, We reaffirm the results of this study by the proportion of individual investors' trading, the separation of sub-periods, and the past period constituting the IOC. As a result of dividing the portfolio according to the proportion of individual investors, the higher the proportion of individual investors, the more pronounced the significant negative relationship between stock returns and investors' overconfidence. Moreover, the results of the KOSDAQ market where individual investors have a high proportion of transactions and high volatility has a higher return on IOC strategy. The sample period is divided into four sub-periods and analyzed. We confirm that the relationship between investor overconfidence and stock returns is relatively weakened after the financial crisis. In addition, the return on the IOC strategy increases as individual investors' market participation increases after the outbreak of coronavirus in the Korean stock market. These results reaffirm that the IOC fully reflects the psychological changes of individual investors. Finally, as a result of changing the past period constituting the IOC to 6, 18, and 24 months, the IOC strategy has a significant positive rate of return in all past periods. Accordingly, investors' overconfidence in individual assets in the domestic stock market has a significant negative effect on the stock returns and a significant cross-sectional negative predictive power. This study is meaningful in that it studied the effect of investor overconfidence on the stock market due to the effect of interest in individual assets in the domestic stock market. Furthermore, it has implications for related fields in that it presents measures indicating the degree of investor overconfidence in individual assets and presents empirical results. And report the results of controlling several variables closely related to investor overconfidence. These results support the existing argument that investors' overconfidence has a significant effect on stock returns.