Can Behavioral Models Explain the behavior of Korean Stock Prices?
- Can Behavioral Models Explain the behavior of Korean Stock Prices?
- Structural VAR; tangible information; intangible information; Dividend discount model; Residual income model
- Issue Date
- 증권학회지(Asia-Pacific Journal of financial studies), v.33, No.4, Page.247-276
- We investigated whether existing behavioral models can sufficiently explain
the behavior of Korean stock prices, especially such behaviors as the observed
short-horizon continuation and long-horizon reversals in KOSPI returns.
To accomplish this purpose, we used Lee`s (2003) identification method of tangible
and intangible shocks based on a structural VAR model in order to evaluate the
conventional dividend discount model and the residual income model.
In this study, we could observe Korean investors` tendency to overreact to
intangible information and to underreact initially to tangible information,
with no significant reversal associated with tangible information in the long run.
These findings are similar to those observed in the U.S. They are compatible with
the predictions of behavioral models that incorporate overconfidence of investors
in their private information. As a result of this study, we could also ascertain
that the residual income model provides a better valuation tool than the dividend
discount model for the KOSPI returns.
- Appears in Collections:
- COLLEGE OF BUSINESS AND ECONOMICS[E](경상대학) > BUSINESS ADMINISTRATION(경영학부) > Articles
- Files in This Item:
There are no files associated with this item.
- RIS (EndNote)
- XLS (Excel)