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Investment Analysts Journal Volume 46, 2017 - Issue 2
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Articles

Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market

Heejin YangCollege of Economics, Sungkyunkwan University, Seoul, Republic of Korea
,
Doojin RyuCollege of Economics, Sungkyunkwan University, Seoul, Republic of KoreaCorrespondence[email protected]
&
Doowon RyuCollege of Economics, Sungkyunkwan University, Seoul, Republic of Korea
Pages 132-147 | Received 25 Aug 2016, Accepted 27 Dec 2016, Published online: 16 Feb 2017

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Hilary Tinotenda Muguto, Lorraine Muguto, Azra Bhayat, Hawaa Ncalane, Kara Jasmine Jack, Saadia Abdullah, Thabile Siphesihle Nkosi & Paul-Francois Muzindutsi. (2022) The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange. Cogent Economics & Finance 10:1.
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Heejin Yang & Doowon Ryu. (2022) The information content of bond rating changes and insider trading in Korea. Investment Analysts Journal 51:4, pages 289-300.
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Karam Kim, Doojin Ryu & Jinyoung Yu. (2022) Is a sentiment-based trading strategy profitable?. Investment Analysts Journal 51:2, pages 94-107.
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Sangpil Yoon, Yanghon Chung & Hosung Son. (2022) The relationship between cost behaviour and R&D efficiency: empirical evidence from Korean stock markets. Technology Analysis & Strategic Management 34:1, pages 85-98.
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Heejin Yang. (2021) Investor sentiment and market dynamics: Evidence from index futures markets. Investment Analysts Journal 50:4, pages 258-272.
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Li Zi-long, Wang Su-sheng & Hu Ming-zhu. (2021) International investor sentiment and stock returns: Evidence from China. Investment Analysts Journal 50:1, pages 60-76.
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Doowon Ryu, Doojin Ryu & Heejin Yang. (2020) Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market. Emerging Markets Finance and Trade 56:8, pages 1804-1816.
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Doojin Ryu & Heejin Yang. (2020) Noise traders, mispricing, and price adjustments in derivatives markets. The European Journal of Finance 26:6, pages 480-499.
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Doowon Ryu, Maria H. Kim & Doojin Ryu. (2019) The Effect of International Strategic Alliances on Firm Performance before and after the Global Financial Crisis. Emerging Markets Finance and Trade 55:15, pages 3539-3552.
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Jinghua Wang & Ning Mao. (2019) Mercantile culture and corporate innovation: evidence from China. Applied Economics Letters 26:17, pages 1393-1401.
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Karam Kim, Doojin Ryu & Heejin Yang. (2019) Investor sentiment, stock returns, and analyst recommendation changes: The KOSPI stock market. Investment Analysts Journal 48:2, pages 89-101.
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Sung Won Seo, Jun Sik Kim & Doojin Ryu. (2019) Effects of the Asian financial crisis on the relation between leverage and employee compensation. Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad 48:1, pages 1-20.
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Heejin Yang, Doojin Ryu & Doowon Ryu. (2018) Market Reform and Efficiency: The Case of KOSPI200 Options. Emerging Markets Finance and Trade 54:12, pages 2687-2697.
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Hyung-Suk Choi, Doojin Ryu & Heejin Yang. (2018) International transmission of risk factor movements: The case of developed markets. Investment Analysts Journal 47:2, pages 111-126.
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Articles from other publishers (33)

Haoran Yu. (2023) The Impact of Technology Attention and Investors on Stock Returns: Taking Science and Technology Innovation Board Company as an Example. Academic Journal of Management and Social Sciences 4:2, pages 84-92.
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Doojin Ryu, Doowon Ryu & Heejin Yang. (2023) Whose sentiment explains implied volatility change and smile?. Finance Research Letters 55, pages 103838.
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Wooduk Seo, Jinhwan Kim, Hoon Cho & Sangik Seok. (2023) Relationship between Extreme Idiosyncratic Returns and Expected Returns in the Korean Stock Market. Korean Journal of Financial Studies 52:3, pages 449-496.
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Ahmed Bouteska, Taimur Sharif & Mohammad Zoynul Abedin. (2023) Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms . International Journal of Finance & Economics.
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Antonios Persakis & George Emmanuel Iatridis. (2023) How economic uncertainty influences the performance of investor perceptions and behavior. Journal of International Accounting, Auditing and Taxation 51, pages 100541.
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Bayram Veli Salur & Cumhur Ekinci. (2023) Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor. International Journal of Financial Studies 11:1, pages 49.
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Wei Hong, Yiting Gu, Linhai Wu & Xujin Pu. (2023) Impact of online public opinion regarding the Japanese nuclear wastewater incident on stock market based on the SOR model. Mathematical Biosciences and Engineering 20:5, pages 9305-9326.
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Heejeong Shin & Su-Young Choi. (2022) Firm-specific investor sentiment and stock price crash risk: The role of foreign investors in Korea’s stock market. Investment Management and Financial Innovations 19:4, pages 309-326.
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Sangik Seok, Hoon Cho & Doojin Ryu. (2022) Scheduled macroeconomic news announcements and intraday market sentiment. The North American Journal of Economics and Finance 62, pages 101739.
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Hyuna Ham, Doojin Ryu & Robert I. Webb. (2022) The effects of overnight events on daytime trading sessions. International Review of Financial Analysis 83, pages 102228.
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Jose Arreola Hernandez, Sang Hoon Kang, Zhuhua Jiang & Seong-Min Yoon. (2022) Spillover Network among Economic Sentiment and Economic Policy Uncertainty in Europe. Systems 10:4, pages 93.
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Doojin Ryu & Jinyoung Yu. (2021) Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity. Journal of Futures Markets 42:1, pages 61-76.
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Sang Ik Seok, Hoon Cho & Doojin Ryu. (2021) Stock Market’s responses to intraday investor sentiment. The North American Journal of Economics and Finance 58, pages 101516.
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Karam Kim, Doojin Ryu & Heejin Yang. (2021) Information uncertainty, investor sentiment, and analyst reports. International Review of Financial Analysis 77, pages 101835.
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Rongda Chen, Weiwei Bao & Chenglu Jin. (2021) Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. International Review of Economics & Finance 75, pages 112-129.
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Guglielmo Maria Caporale, Menelaos Karanasos, Stavroula Yfanti & Aris Kartsaklas. (2020) Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange. International Journal of Finance & Economics 26:3, pages 4441-4461.
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Rilwan Sakariyahu, Mohamed Sherif, Audrey Paterson & Eleni Chatzivgeri. (2020) Sentiment‐Apt investors and UK sector returns . International Journal of Finance & Economics 26:3, pages 3321-3351.
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Heejin Yang & Doowon Ryu. (2021) Investor Sentiment and Price Discrepancies between Common and Preferred Stocks in Korea. Sustainability 13:10, pages 5539.
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Karam Kim, Doojin Ryu & Jinyoung Yu. (2021) Do sentiment trades explain investor overconfidence around analyst recommendation revisions?. Research in International Business and Finance 56, pages 101376.
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Li Di, Mohammed Sharaf Shaiban & Akram Shavkatovich Hasanov. (2021) The power of investor sentiment in explaining bank stock performance: Listed conventional vs. Islamic banks. Pacific-Basin Finance Journal 66, pages 101509.
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mohammad tohidi. (2020) Measuring the Effect of Noise Trading on Bubbles in Tehran Stock Exchange. Journal of Economic Modeling Research 11:42, pages 51-81.
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Jaeram Lee, Geul Lee & Doojin Ryu. (2019) The difference in the intraday return-volume relationships of spot and futures: a quantile regression approach. Economics 13:1.
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Ahmed Bouteska. (2019) The effect of investor sentiment on market reactions to financial earnings restatements: Lessons from the United States. Journal of Behavioral and Experimental Finance 24, pages 100241.
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Sang Ik Seok, Hoon Cho & Doojin Ryu. (2019) Firm-specific investor sentiment and daily stock returns. The North American Journal of Economics and Finance 50, pages 100857.
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Sang Ik Seok, Hoon Cho, Chanhi Park & Doojin Ryu. (2019) Do Overnight Returns Truly Measure Firm-Specific Investor Sentiment in the KOSPI Market?. Sustainability 11:13, pages 3718.
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Jieun Lee & Doojin Ryu. (2019) How does FX liquidity affect the relationship between foreign ownership and stock liquidity?. Emerging Markets Review 39, pages 101-119.
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Sang Ik Seok, Hoon Cho & Doojin Ryu. (2019) Firm-specific investor sentiment and the stock market response to earnings news. The North American Journal of Economics and Finance 48, pages 221-240.
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Wonho Song, Sung Y. Park & Doojin Ryu. (2018) Dynamic conditional relationships between developed and emerging markets. Physica A: Statistical Mechanics and its Applications 507, pages 534-543.
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Geul Lee & Doojin Ryu. (2018) ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET. Journal of Business Economics and Management 19:2, pages 343-359.
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Chune Young Chung, Yunjae Lee & Doojin Ryu. (2017) Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. Asia-Pacific Financial Markets 24:4, pages 309-322.
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Heejin Yang, Hee-Joon Ahn, Maria H. Kim & Doojin Ryu. (2017) Information asymmetry and investor trading behavior around bond rating change announcements. Emerging Markets Review 32, pages 38-51.
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Ahmed AYADI, Chaima KALLEL & Marjène Rabah Gana. (2020) COVID-19 and Financial Markets: The Stories of Several Countries. SSRN Electronic Journal.
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karam kim, Doojin Ryu & Heejin Yang. (2019) Investor Sentiment, Stock Returns, and Analyst Recommendation Changes. SSRN Electronic Journal.
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