국내 주식시장에서 대표성 어림짐작을 이용한 자산성장요인의 수익률 특성에 관한 연구

Purpose - This study aims to explore the return characteristics of asset growth factors in the Korean stock marekt by employing the representativeness heuristic a behavioral bias originally identified by Kahneman and Tversky(1972). Design/methodology/approach - Our empirical analysis, based on Korean stock market data from 2004 to 2023, compared the conditional probability of high asset growth companies achieving elevated returns to the overall probability. This assessment helps gauge the representativeness of potential ‘future Google’ companies. Additionally, we use regression models to explore investor behavior and market anomalies in the stock returns. Findings - The findings suggest that when dividing the sample period into phases with high and low representativeness measures, biases significantly impact asset growth factors. Specifically, during high representativeness preiods, stock price reversals were absent among high asset growth companies. Conversely, during low representativeness periods, stock price drifts become evident. Research implications or Originality - This research contributes to the field of behavioral finance by providing empirical evidence of the impact of cognitive biases on asset growth and stock returns in an emerging market like Korea. It highlights the need for investors and policymakers to consider psychological factors when analyzing market behaviors, potentially leading to more informed investment strategies and regulatory frameworks.