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Abstract ▼ AI-Helper

The stock market has anomalies. One of the anmalies is dispostion effect which is about investor’s behaviors. This paper examines whether individual investors have irrational investment decision and effect of investment’s performance. First, the result of analysis is that volume of winners are hi...

The stock market has anomalies. One of the anmalies is dispostion effect which is about investor’s behaviors. This paper examines whether individual investors have irrational investment decision and effect of investment’s performance. First, the result of analysis is that volume of winners are higher than volume of losers. In the 〈table-5〉, 〈table-6〉, the result of t-test shows that volume of winners are higher than volume of losers. That result is more significant on monthly data. And in the monthly dada of 2008 financial crisis, there is obviously disposition effect after 2008 financial crisis. Second, for the research of irrational investment decision this paper separates the group of higher volume, the group of lower volume and winner, loser. And then this research implements Fama-French cross-sectional regression analysis. As a result of Fama-French cross-sectional regression analysis, the group of higher volume has higher excess return. This study contributes disposition effect research of Korea stock market through IPO company and of behavior finance in circumstances of higher volatility in Korea market.

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