투자심리가 횡단면 주식수익률에 미치는 영향 (Impact of Investor Sentiment on the Cross-section of Stock Returns)

본 연구에서는 Baker and Wurgler(2006, 2007)왿� 유사한 방식으로 한국 주식시장의 투자심리를 측정할 수 있는 월별 투자심��짿�수왿� 투자심리변화 지수를 개발하여, 2000년부터 2017년까지 코스피시장(KSE)에서 투자심리의 변화가 개별주식의 수익률 변화에 미치는 영향을 횡단면적으로 비교 분석했다. 분석결과, 시장가치 대 장부가치 비율이 높은 주식, 고변동성주식, 유형자산이 적고 수익성과 성장성이 낮은 주식이 투자심리변화에 정의 방향으로 민감하게 반응하는 반면, 시장가치 대 장부가치비율이 낮은 주식, 저변동성주식, 유형 자산이 많고 수익성왿� 성장성이 검증된 주식은 투자 심리변화에 민감하게 반응하지 않는 것으로 나타났다. 한편, 일부 가치주, 저변동성 주식은 투자 심리가 좋을 때 주가가 하락하고 나쁠 때 주가가 상승하는 등 투자심리 변화왿� 반대 방향으로 수익률이 움직이는 것으로 나타났다. 이 같은 결과는 주식 수익률에 영향을 주는 다른 요인을 통제하고 투자심리변화지수에 대한 민감도 (sentiment beta)를 측정한 회귀분석에서도 동일하게 확인되었다.

Using an investor sentiment index and an index of sentiment changes for the Korean stock market, this study examines how investor sentiment affects a cross-section of stock returns. I examine whether more speculative and harder-to-arbitrage stocks are more sensitive to sentiment, that is, whether their returns co-move more with sentiment changes. I also test whether the returns on extremely unspeculative stocks are negatively related to changes in sentiment, that is, whether they have negative sentiment betas. According to studies on behavioral finance (Shleifer and Summers, 1990; Lee, Shleifer, and Thaler, 1991), because a mispricing is the result of an irrational demand shock in the presence of a binding arbitrage constraint, shifts in investor sentiment have cross-sectional effects when sentiment-based demands or arbitrage limits vary across stocks. Consistent with these predictions, prior empirical studies (Baker and Wurgler, 2006, 2007; Kumar and Lee, 2006) report that more speculative and harder-to-arbitrage stocks—smaller, newer, more volatile, unprofitable, non-dividend paying, distressed or those with extreme growth potential—are more likely to be affected by shifts in investor sentiment. However, the effect of sentiment on the aggregate market is somewhat less clear. Brown and Cliff (2004) show that sentiment has little predictive power for near-term future stock returns, and Schmeling (2009) insist that the effect of sentiment on aggregate stock returns is observed only in the countries that are culturally more prone to herd-like behavior. To reconcile the cross-sectional results and the aggregate results, Baker and Wurgler (2007) suggest one possible explanation known as “the sentiment seesaw,” in that if sentiment fluctuations induce demand shifts between speculative stocks and safe stocks, that is, “the flights to quality within the stock market” occur, the low (high) sentiment reduces (increases) the prices of speculative stocks and at the same time increases (decreases) the prices of safe stocks, resulting in no effect of sentiment on aggregate market returns. In line with this idea, this study analyzes the effect of broad-waved sentiment on a cross-section of stock returns in terms of sensitivity to sentiment. Using financial parlance, I investigate whether more speculative and harder-to- arbitrage stocks have higher sentiment betas, and whether extremely unspeculative and easier-to-arbitrage stocks have negative sentiment betas. As in practice, the same securities that are most sensitive to speculative demands also tend to be the costliest to arbitrage, I hypothesize that stocks most sensitive to investor sentiment are those of companies that are smaller, more volatile, have less tangible assets, are unprofitable, are distressed, and have the potential for extreme growth. At first, I construct the monthly sentiment index and the monthly index of sentiment changes for the Korean stock market based on principal component analysis using five key sentiment proxies: the volatility premium, KSE share turnover, IPO volume, IPO first-day returns, and the proportion of companies with seasonal equity offering. To increase the reliability of the indices and their comparability with international research, I develop these sentiment indices in line with those of Baker and Wurgler (2006, 2007). Using these indices and the monthly returns of all of the common stocks of the KOSPI market from 2000 to 2017, I analyze the effect of the changes in investor sentiment on a cross-section of stock returns. I start by forming equal- weighted decile portfolios based on several firm characteristics such as firm size, MTB, idiosyncratic volatility, total volatility, asset tangibility, profitability, sales growth, and Rand D ratio, and look for patterns in changes in average returns across deciles when the investor sentiment index changes from +1σ to -1σ. I also consider a regression approach that allows controlling for the Fama-French (1993) factors and the Carhart (1997) momentum factor. I regress the returns of each decile portfolio and the returns of various high-minus-low portfolios on the index of sentiment changes, respectively. Consistent with my prediction, I find that the stocks with high MTB ratio, high volatility, low PPE ratio, low profitability, and low sales growth, respond more sensitively to changes in investor sentiment than the stocks with low MTB ratio, low volatility, high PPE ratio, high profitability, and high sales growth. In other words, the more speculative and harder-to-arbitrage stocks have higher sentiment betas. The returns of stocks with extremely low MTB ratios and low volatilities are negatively related to changes in sentiment. That is, most bond-like stocks appear to have slightly negative sentiment betas. These findings are consistent with those of prior studies. As the Korean stock market is an individual-crowded and highly integrated market, it is a good test bed for studying issues related to investor sentiment. Using Korean stock market data, my findings shed light on the effect of investor sentiment on a cross-section of stock returns in theory and can help practitioners establish a profitable investment strategy using investor sentiment.