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º» ³í¹®¿¡¼­´Â °³º° ÁÖ½Ä ¼öÁØ¿¡¼­ ´©Àû Àü¸Á ÀÌ·Ð(Tversky and Kahneman, 1992)À» µû¶ó ÅõÀÚÀÚµéÀÇ Æ¯Á¤ Àڻ꿡 ´ëÇÑ ½É¸®ÀûÀÎ ¼±È£¸¦ ´ã¾Æ³¿À¸·Î½á ¹Ì·¡ÀÇ ±â´ë ¼öÀÍ·üÀ» ¼³¸íÇÒ ¼ö ÀÖÀ½À» °ËÁõÇÏ¿´´Ù. ÀÌ °°Àº Çö»óÀ» µÞ¹ÞħÇÏ°íÀÚ, ÅõÀÚÀÚµéÀÌ ÅõÀÚ ÀÇ»ç °áÁ¤À» ÇÔ¿¡ À־ ÀÚ»êÀÇ °ú°Å ¼öÀÍ·ü ºÐÆ÷¸¦ ÅëÇÏ¿© ÇØ´ç ÀÚ»êÀ» Æò°¡ÇÑ´Ù´Â °¡¼³ ¶ÇÇÑ °ËÁõÇÏ¿´´Ù. ½ÇÁõºÐ¼® °á°ú´Â ´ÙÀ½°ú °°´Ù. ù°·Î, °ú°Å 3³âÄ¡ÀÇ ¿ùº° ½ÃÀå ´ëºñ ÃÊ°ú¼öÀÍ·ü Áß ¾çÀÇ °ªÀ» °¡Áö´Â °ÍÀ¸·Î ±¸¼ºµÈ ´©Àû Àü¸Á À̷аª(ÀÌÇÏ, TK+)Àº ´ÙÀ½ ½ÃÁ¡ÀÇ ¼öÀÍ·ü°ú À½ÀÇ »ó°ü°ü°è°¡ ÀÖÀ½À» ¹àÇû´Ù. µÑ°·Î, TK+·Î ºÐ·ùµÈ ·Õ-¼ô Æ÷Æ®Æú¸®¿À´Â ¿ùÆò±Õ 1.197%ÀÇ ¾çÀÇ ¼öÀÍ·üÀ» °ÅµÎ¾úÀ¸¸ç, Æ÷Æ®Æú¸®¿À ±¸¼º ÀÌÈÄ 6°³¿ù µ¿¾È À¯ÀÇÇÑ ¼³¸í·ÂÀ» °¡Áö°í ÀÖÀ½À» º¸¿´´Ù. ¶ÇÇÑ, TK+ÀÇ ¼³¸í·ÂÀº º£Å¸ ¹× ½Ã°¡ ÃѾ×, ÀåºÎ°¡Ä¡ ´ëºñ ½ÃÀå°¡Ä¡ ºñÀ², ¸ð¸àÅÒ È¿°ú µîÀÇ ÅëÁ¦ º¯¼ö¿Í ¿Öµµ °ü·Ã ÅëÁ¦ º¯¼ö¸¦ Æ÷ÇÔÇÑ ½ÇÁõºÐ¼® °á°ú ³»¿¡¼­µµ ±× À¯ÀǼºÀ» ÀÒÁö ¾Ê¾Ò´Ù. ¸¶Áö¸·À¸·Î, TK+ÀÇ À¯ÀÇÇÑ ¼³¸í·ÂÀº ´©Àû Àü¸Á ÀÌ·ÐÀÇ È®·ü °¡Áß ÇÔ¼öÀÇ °üÁ¡¿¡¼­ ÅõÀÚÀÚµéÀÌ °ú°Å ¼öÀÍ·üÀ» ¹ÙÅÁÀ¸·Î ÇÑ ºÐÆ÷¸¦ °í·ÁÇÒ ¶§, ²¿¸® ºÎºÐÀÇ ±Ø´ÜÀûÀÎ ºÐÆ÷¸¦ °ú´ëÆò°¡ÇÔ À¸·Î½á ÇØ´ç ÀÚ»êÀ» ¼±È£ÇÏ°Ô µÇ´Â Ư¼ºÀÎ º¹±Ç ¼ºÇâÀÇ Àڻ꿡 ´ëÇÑ ¼±È£·Î Çؼ®µÉ ¼ö ÀÖÀ½À» ¹àÇû´Ù. º» ¿¬±¸´Â Çѱ¹ ÁֽĽÃÀå¿¡¼­ ÇൿÀ繫ÇÐÀû Çö»óÀÌ ³ªÅ¸³ª¸ç À̸¦ Åë°èÀû ºÐ¼®À» ÅëÇØ À¯ÀǼºÀ» º¸ÀÏ ¼ö ÀÖ´Ù´Â Á¡¿¡¼­ ÀÇÀÇ°¡ ÀÖ´Ù.
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An Empirical Study of Cumulative Prospect Theory in the Korean Stock Market

  • Tae-Jin Kim
  • Hyun-Sik Kim
  • Hoon Cho
This study tests whether cumulative prospect theory (Tversky and Kahneman, 1992) captures investors¡¯ psychological evaluations of individual stocks. It also tests the hypothesis that investors mentally evaluate a stock based on the historical distribution of returns. This study¡¯s major empirical findings are as follows. First, when evaluated only on positive terms (henceforth TK+) of the past 36 monthly market excess returns, cumulative prospect theory value shows a negative correlation with subsequent returns. Second, a long-short portfolio sorted on TK+ earns a return of 1.197% on average per month and remains significant for six months after the portfolio¡¯s formation. Moreover, the return predictability of TK+ remains significant even if we consider several wellknown control variables, such as beta, size, b/m ratio and momentum, and skewness-related variables. Finally, we find empirical support for the hypothesis that the probability weighting of cumulative prospect theory plays an important role in investors¡¯ preferences for lottery-like stocks. This study demonstrates that behavioral finance can be applied to the Korean stock market using statistical analysis.
Cumulative Prospect Theory,Probability Weighting,Lottery Preference,Skewness Preference,Behavior-Finance