심리적 가격장벽과 단기수익률반전에 관한 실증적 연구

This study analyzes the relationship between the psychological price barrier of investors and the phenomenon of short-term return reversal in the Korean stock market. The short-term return reversal phenomenon is an unexplained anomaly in finance. It is usually measured using returns from one month ago. Jegadeesh (1990) and Lehmann (1990) suggest that short-term return reversal may occur due to factors like illiquidity or investors' overreactions. Behavioral finance posits that individual investors are irrational and tend to overreact to private information. Kahneman and Tversky (1979) introduce the concept of the anchor effect, wherein investors rely on reference points for decision-making, similar to a ship anchored and unable to move beyond the length of its anchor line. In the context of behavioral finance, the 52-week highest price serves as a reference point, inducing irrational behavior among investors. Investors treat the 52-week highest price as a psychological barrier, and when stock prices approach this level, they become excessively pessimistic about the asset's prospects. On the other hand, when stock prices are distant from the 52-week highest price, investors tend to hold optimistic views, anticipating that the asset's price will rise. We believe that the psychological price barrier influences investor trading behavior and has a significant impact from a liquidity supply perspective. Therefore, this study builds on prior research to investigate how investor trading behavior and overreactions affect short-term return reversal. It hypothesizes that the 52-week highest price acts as a psychological price barrier, leading to specific expectations. Investors tend to be overly pessimistic about stocks trading near this barrier, hesitating to purchase them. The overreactions of these pessimistic investors do not significantly impact stock returns. In contrast, when stock prices deviate from the 52-week highest price, investors become optimistic, anticipating potential price increases, leading to temporarily overvalued stocks with lower future returns. The study employs common stocks listed on the Korea Exchange (KRX) and the KOSDAQ market from January 2000 to June 2022, with research data obtained from DataGuide. The analysis period starts in January 2000, considering that investor-specific net purchase quantity data is available from January 1999. We conduct empirical analysis using double-sorted portfolio analysis, Fama and Macbeth cross-sectional regression analysis, and triple-sorted portfolio analysis. We use the inverse of the 52-week highest price as the psychological price barrier and consider it based on the month t-1. The reason for using the t-1 month's psychological price barrier is to alleviate concerns that it might have similar effects to short-term return reversal. Also, it's assumed that there is a one-month lag for information about the psychological price barrier to flow into the market and influence investor behavior. Short-term return reversal represents the stock returns in month t. The main findings are as follows: First, the 52-week high's psychological price barrier significantly influences short-term return reversal. The further stock prices are from this barrier, the more pronounced the short-term return reversal becomes. Conversely, when stock prices are close to the 52-week high, the influence of short-term return reversal diminishes. This indicates that the psychological price barrier alters investor trading behavior, leading to overreactions and short-term return reversal. Second, utilizing cross-sectional regression analysis, the study controls for firm-specific factors and reaffirms the impact of the psychological price barrier on stock returns and short-term return reversal. Stocks positioned far from the psychological price barrier exhibit a strong and significant short-term return reversal effect. Additionally, the interaction of psychological price variables and previous month returns shows a significant negative predictive power on stock returns. Third, the study investigates factors that enhance the relationship between the psychological price barrier and short-term return reversal. Prior research highlights that idiosyncratic volatility, lottery-like stocks, and unrealized capital gains overhang play a crucial role in this relationship. Triple-sorted portfolio analysis shows that stocks with idiosyncratic volatility, lottery-like stocks, and unrealized capital losses demonstrate more pronounced changes in investor trading behavior due to the psychological price barrier. This results in a significant short-term return reversal effect due to investor overreactions. In conclusion, the research emphasizes how the psychological price barrier influences investor trading behavior and contributes to short-term return reversal in the Korean stock market. This sheds light on the impact of investor irrationality on the anomaly of short-term return reversal, offering valuable insights for related fields.