Abstract
In this paper, the authors relate the investment performances of value and growth stocks to investor sentiment. The authors' research objectives are twofold: first, the authors verify positive long-run abnormal returns of value investing under pessimistic investor sentiment. Second, the authors experiment a horse race between the fundamental and behavioral views of growth stock returns. Using a thirteen-year sample of Korea Exchange (KRX)-listed firms, the authors find a positive relation between the value premium and stock market sentiment: while growth investing can be relatively dominant in a pessimistic cycle under depressed investor sentiment, value strategy can outperform in an optimistic period. As a result, the authors confirm the usefulness of style investing adapted to investor psychology.
Original language | English |
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Pages (from-to) | 142-148 |
Number of pages | 7 |
Journal | Investment Management and Financial Innovations |
Volume | 12 |
Issue number | 3 |
State | Published - 2015 |
Bibliographical note
Publisher Copyright:© Jinho Byun, Hyung-Suk Choi, Paul Moon Sub Choi, 2015.
Keywords
- Anomalies
- Behavioral finance
- Growth investment
- Investor sentiment
- Long-run performance
- Value investment