Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
권호 표지
DOI QR코드

DOI QR Code

Analyzing Asset Growth Factors in the Korean Stock Market: A Representativeness Heuristics Approach

국내 주식시장에서 대표성 어림짐작을 이용한 자산성장요인의 수익률 특성에 관한 연구

  • Jeong-Hwan Lee (Department of Economics and Finance, Hanyang University (Seoul)) ;
  • Sam-Ho Son (Department of Economics and Finance, Soonchunhyang University) ;
  • Su-Kyu Park (Department of Economics and Finance, Hanyang University (Seoul))
  • 이정환 (한양대학교 경제금융대학) ;
  • 손삼호 (순천향대학교 경제금융학과) ;
  • 박수규 (한양대학교 경제금융대학)
  • Received : 2024.08.30
  • Accepted : 2024.09.25
  • Published : 2024.09.30
Download PDF
⟨ Previous Next ⟩

Abstract

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.

Keywords

Acknowledgement

본 연구는 순천향대학교 학술연구비 지원으로 수행하였음.

References

  1. Avramov, D., Chordia, T., Jostova, G. and A. Philipov (2013), "Anomalies and Financial Distress", Journal of Financial Economics, 108, 139-159.
  2. Bordalo, P., Coffman, K., Gennaioli, N. and A. Shleifer (2016), "Stereotypes", Quarterly Journal of Economics, 131, 1753-1794.
  3. Bordalo, P., Gennaioli, N. and A. Shleifer (2018), "Diagnostic Expectations and Credit Cycles", Journal of Finance, 73, 199-227.
  4. Bordalo, P., Gennaioli, N., La Porta, R. and A. Shleifer (2019), "Diagnostic Expectations and Stock Returns", Journal of Finance, 74, 2839-2874.
  5. Campbell, J. Y., Hilscher, J. and J. Szilagyi (2008), "In Search of Distress Risk", Journal of Finance, 63, 2899-2939.
  6. Conrad, J., Kapadia, N. and Y. Xing (2014), "Death and Jackpot: Why Do Individual Investors Hold Overpriced Stocks?", Journal of Financial Economics, 113, 455-475.
  7. Cooper, M. J., Gulen, H. and M. J. Schill (2008), "Asset Growth and the Cross-section of Stock Returns", Journal of Finance, 63, 1609-1651.
  8. Cooper, M. J., Gulen, H. and M. Ion (2023), "The Use of Asset Growth in Empirical Asset Pricing Models", Working Paper.
  9. Fama, E. F. and K. R. French (2015), "A Five-Factor Asset Pricing Model", Journal of Financial Economics, 116, 1-22.
  10. Gennaioli, N. and A. Shleifer (2010), "What Comes to Mind", Quarterly Journal of Economics, 125(4), 1399-1433.
  11. Gennaioli, N. Shleifer, A., and R. Vishny (2015), "Neglected Risks: The Psychology of Financial Crises", American Economic Review, 105, 310-314.
  12. He, M., Kapadia, N. and S. Tice (2020), "Can the Representativeness Heuristic Explain the Asset Growth Anomaly?", Working Paper.
  13. Hou, K., Chen, X. and L. Zhang (2015), "Digesting Anomalies: An Investment Approach", Review of Financial Studies, 28, 650-750.
  14. Kahneman, D. and A. Tversky (1972), "Subjective Probability: A Judgement of Representativeness", Cognitive Psychology, 3, 430-454.
  15. Li, D. and L. Zhang (2010), "Does Q-theory with Investment Frictions Explain Anomalies in the Cross Section of Returns?", Journal of Financial Economics, 98, 297-314.
  16. Watanabe, A., Xu, Y., Yao, T. and T. Yu (2013), "The Asset Growth Effect: Insights from International Equity Markets", Journal of Financial Economics, 108, 529-563.
  17. Yao, T., Yu, T., Zhang, T. and S. Chen (2011), "Asset Growth and Stock Returns: Evidence from Asian Financial Markets", Pacific-Basin Financial Journal, 19(1), 115-139.
  18. 김창범 (2012), "미래성과에 대한 예측지표로서의 과잉투자의 시장이상 현상에 관한 실증연구", 회계정보연구, 30(3), 29-63.
  19. 김창범, 이진수 (2013), "과잉 재고자산투자의 시장이상 현상에 관한 연구", 회계정보연구, 31(1), 427-452.
  20. 손판도 (2012), "자산증가와 주식수익률간의 관계", 금융공학연구, 11(2), 45-70.
  21. 이재규, 최형석 (2013), "국내 주식시장에서의 자산성장효과", 대한경영학회지, 26(11), 2815-2830.
  22. 장욱, 김이배 (2016), "자산성장률이 주식의 기대수익률 결정에 미치는 효과", 회계정보연구, 34(4), 293-312.