The role of reference-dependent preferences in the idiosyncratic volatility puzzle: Evidence from Korea

Artikel

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and gains domain. As a consequence, the negative idiosyncratic volatility-return relationship is driven by unrealized capital losses. In addition, this negative relation disappears in the unrealized capital gains domain, suggesting the important role of the reference-dependent preference in the idiosyncratic volatility puzzle interpretation. These findings are robust to control for several factors, such as market beta, return reversal variable, momentum, and liquidity.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-15

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Behavioral Finance: General‡ ; Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
• Thema: capital gains overhang ; expected idiosyncratic risk ; idiosyncratic volatility ; Korean stock market ; reference-dependent preferences

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Le Thi Minh Hang ; Hoang Van Hai ; Nguyen Truong Son
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1080/23322039.2020.1838686
• Handle: http://hdl.handle.net/10419/269998
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ