À繫¿¬±¸ Á¦ ±Ç È£ (2022³â 11¿ù)
Asian Review of Financial Research, Vol., No..
pp.533~577
pp.533~577
Salience Theory and the Stock Returns : The Role of Reference-Dependent Preferences
Suk-Joon Byun Korea Advanced Institute of Science and Technology College of Business
Jihoon Goh Samsung Electronics
Donghoon Kim Korea Advanced Institute of Science and Technology College of Business
This study investigates the additional empirical evidence for the salience effect from Cosemans and Frehen (2021). In this paper, we find that the salience effect is referencedependent. Salience effect is strongly significant among stock groups with previous capital losses regardless of weighting scheme. We explain our results by the framework of referencedependent preferences; among previous losses, investors tend to break-even their losses and behave as risk-loving. In the previous loss region, average investors prefer high-salient stocks to low-salient stocks, which leads to significant salience effect. Furthermore, our finding is pronounced among stocks with low institutional ownership, consistent with the line of individual investors¡¯ behavior of mental accounting and reference-dependence preference together with the salience theory.
Suk-Joon Byun
Jihoon Goh
Donghoon Kim
This study investigates the additional empirical evidence for the salience effect from Cosemans and Frehen (2021). In this paper, we find that the salience effect is referencedependent. Salience effect is strongly significant among stock groups with previous capital losses regardless of weighting scheme. We explain our results by the framework of referencedependent preferences; among previous losses, investors tend to break-even their losses and behave as risk-loving. In the previous loss region, average investors prefer high-salient stocks to low-salient stocks, which leads to significant salience effect. Furthermore, our finding is pronounced among stocks with low institutional ownership, consistent with the line of individual investors¡¯ behavior of mental accounting and reference-dependence preference together with the salience theory.
Salience theory,Capital gains overhang,Reference-dependent preference,Mental accounting theory