한국 주식시장에서 투자자들의 닻내림 행태에 따른 주가변화 연구

초록

This paper conducted an event study on stock price shocks of 10% or more on a daily basis for individual stocks included in the KOSPI200 index. The purpose of this study is to confirm whether there is a significant drift effect on the stock price pattern after the event date. In the unconstrained full sample, a drift effect appeared after the event date when the stock price rose significantly. However, consistency was not maintained as a reversal effect appeared after the event date when the stock price fell sharply. Accordingly, this paper sets the 52-week highest and the 52-week lowest price as the reference points for anchoring, according to the general practice of investors. Considering these anchoring reference points, it was confirmed that the drift effect after the event date appeared systematically in both the two-way shocks of the stock price. Looking at stock price behavior under anchoring constraints by company size, the drift effect was significant in the small-group when stock prices rose. When stock prices fell, the drift effect was significant in the large-cap group. This reflects the downward bias of small-cap stocks and the upward bias of large-cap stocks in investors’ stock valuation. In addition, the residual effect was more significant as a result of the stronger behavior bias in the corporate group with high stock price volatility. As a result of multiple regression analysis considering anchoring, the significance of the stock price resudual effect was highest in the 20-day window after the event date. All these results supports the underreaction hypothesis of behavioral economics.

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