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

Autor:	Lê Thị Minh Hằng, Hoang Van Hai, Nguyen Truong Son
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	reference-dependent preferences capital gains overhang idiosyncratic volatility expected idiosyncratic risk korean stock market Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Cogent Economics & Finance, Vol 8, Iss 1 (2020)
Druh dokumentu:	article
ISSN:	2332-2039 23322039
DOI:	10.1080/23322039.2020.1838686
Popis:	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.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/03de141e96fc4e268857834f53b56903 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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