Details

Autor(en) / Beteiligte

• Park, Yumi
• Suh, Sangwon

Titel

INVESTOR SENTIMENT AND SHORTED-STOCK RETURN

Ist Teil von

• Journal of Economic Development, 2023, 48(4), 192, pp.61-91

Ort / Verlag

Seoul: The Economic Research Institute, Chung-Ang University

Erscheinungsjahr

2023

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• This study examines the role of firm-specific sentiment in the returns on shorted stocks in the Korean stock market. We find evidence that a low or high firm-specific sentiment predicts relatively lower shorted stock retums, whereas a mild sentiment docs not. As the sentiment effect on stock retums is stronger in extreme sentiment than mild sentiment, this evidence supports the hypothesis that short sellers are skilled in analyzing firm-specific sentiment. The effect of sentiment on shorted stock retums is pronounced for stocks with a high return volatility, low profitability, high price-to-eamings ratio, high momentum, and a low book-to-market ratio. In contrast, margin traders are not skilled at analyzing firm-specific sentiment, and short sellers possess superior skills compared to margin traders.