투자자 심리와 주가 과민반응

위한종,곽세영 대한경영학회 2005 大韓經營學會誌 Vol.18 No.4

본 연구는 투자자심리의 비합리성에 바탕을 둔 전망이론을 중심으로 한 행태재무론적 관점에서 주가과민반응현상을 분석하였다. 1980년 1월에서 2003년 12월까지의 주가자료를 이용하였으며, De Bondt and Thaler(1985)의 방법론에 기초하여 시장조정초과수익률모형, 위험조정초과수익률모형, CAPM초과수익률모형의 세 가지 모형을 이용하여 과민반응을 분석하였다. 검증 결과, 모든 초과수익률모형에서 유의한 주가과민반응현상이 확인되었으며, 전망이론의 주요 논리에 의하여 주가과민반응이 설명될 수 있었다. 특히, 과민반응에 대한 기존의 연구들에서는 패자포트폴리오는 과민반응을 보였으며 승자포트폴리오는 과소반응을 나타냈으나, 본 연구에서는 패자포트폴리오와 승자포트폴리오 모두에서 명확한 과민반응을 보였다. 이는 표본선정에서의 차이 때문에 발생한 것으로 판단되어 앞으로의 연구에 큰 시사점을 제공하는 결과이다. 행태재무론적 특성은 특정 시장에서의 이례현상이 아니라 자본시장 전반에 걸친 기본적 요인으로 작용하고 있으며, 자본시장의 특성을 규명하기 위해서는 기존의 전통적 논리인 기대효용이론적 합리성보다는 투자자심리와 시장구조 특성에 따른 비합리성을 고려하는 것이 타당할 것이라 판단되었다. This study analyzes the relationship between investor psychology and stock market behavior by investigating the over-reaction of stock prices based on the prospect theory. The main finding of this study is that the investor psychology is a cause of the stock price over-reaction, which can be explained by the prospect theory. The results of this study can be summarized as follows: First, the possibility of the price reversal of the abnormal performance portfolio is higher than that of the normal performance portfolio. The prospect theory says that people react more sensitively to higher probability changes. So investors perceive more sensitively to probability changes of past abnormal performance. Thus the over-reaction to abnormal performance occurs. Second, investors over-valuate the possibility of loss of stocks which have realized positive abnormal returns in the past, and then they become risk averse. Similarly, investors over-valuate the possibility of gain of stocks which have realized negative abnormal returns in the past, and they become less risk averse. As a result of these biased preferences, the psychological tendency of selling (or buying) of the past winner (or loser) abnormally increases. This psychological bias leads to price reversal and over-reaction. Third, the degree of over-reaction of the loser portfolio turned out to be larger than that of the winner portfolio. This can be explained by the implication of the prospect theory, which implies investors perceive negative utility from some amount of loss and positive utility from equivalent amount of gain. That is, the slope of the value function for loss is steeper than that of gain, which means investors react more sensitively to some loss than to the equal amount of gain.

옵션시장의 이상반응현상: 원/달러 장위통화옵션의 사례

강병진 ( Byung Jin Kang ) 한국파생상품학회 2012 선물연구 Vol.20 No.4

This study investigates the over- and under-reacting behavior of USD/KRW OTC currencyoption investors from the year of 2006 to 2011.Using the empirical testing models suggestedby poteshman(2001), we first find that USD/KRW OTC option investors tend to under-reactto the unexpected changes in instantaneous variances, which means ``short horizon under-reaction``Second, we find that USD/KRW OTC option market tends to slightly over-reactto a long period of mostly positive(or negative) unexpected changes in instantaneous variances during the period of before global financial crisis in 2008. We find. however, that this ``long horizon over-reaction`` in the aforementioned period is not statistically significant Third. we find that the market tends to significantly under-react, rather than over-react, to a long period of mostly positive(or negative) unexpected changes in instantaneous variances during the period of after global financial crisis in 2008. Finally, using the different empirical testing model (i.e., model-free approach),suggested by Jiang and Tian (2010), we also obtained the same empirical results,which strengthen the robustness of them.

의료기관-혈액원 협력을 통한 관할 외 지역 제조 세척혈소판제제 공급 경험

최수인,위종빈,김명언 대한수혈학회 2025 大韓輸血學會誌 Vol.36 No.1

A 64-year-old male patient diagnosed with B-cell lymphoma required regular platelet transfusions due to persistent thrombocytopenia. Over time, he developed severe transfusion-related allergic reactions, including anaphylaxis, necessitating the use of washed apheresis platelets (W-APLT). However, as the designated blood center was unable to produce W-APLT, the issue was resolved by collaborating with a neighboring blood center to source the product. Key strategies included verifying the patient’s history of transfusion-related anaphylaxis, coordinating the production schedule of blood products, and implementing administrative procedures such as pre-scheduled ambulance transport on the day of transfusion. These measures ensured the timely supply of W-APLT while minimizing the risk of product wastage. As a result, the patient successfully received multiple W-APLT transfusions without further allergic reactions. This case serves as a model for overcoming infrastructure limitations in W-APLT supply through hospital-blood center collaboration, to provide timely and safe blood products to patients at risk of severe transfusion-related allergic reactions and anaphylaxis. (Korean J Blood Transfus 2025;36:7-13) Key words: Washed platelet, Anaphylaxis, Blood bank, Transfusion reaction, Hospital-blood center collaboration

가격제한폭 확대와 일중 가격발견 효율성 : 코스피 200 지수 종목의 경우

선정훈 ( Junghoon Seon ) 한국파생상품학회 2016 선물연구 Vol.24 No.2

Korea Exchange has widen daily price limits from ±15% to ±30% of previous trading day`s closing price since June 15, 2015. In this paper, we examine how the event of widening price limits affect price discovery process over the course of trading day. In order to conduct this investigation, we compare price efficiency during such price discovery before and after the event. The changes that has occurred after the event can be summarized as follows: First, an analysis on full-sample indicates that price efficiency is maintained over the course of a trading, while it is aggravated temporary in two early intervals. Second, an analysis on sub-samples sorted by market capitalization, shares outstanding, or share price indicates that temporary aggravation of price efficiency in some mid-intervals is observed for shares outstanding lower group and share price top group. Overall, our results suggest that evidence supporting information hypothesis is found for the whole process of price discovery over the course of a trading day, though evidence supporting over-reaction hypothesis is found in some intervals or some types of stocks.

Electrochemical Characteristics of Solid Polymer Electrode Fabricated with Low IrO₂ Loading for Water Electrolysis

Ban, Hee-Jung,Kim, Min Young,Kim, Dahye,Lim, Jinsub,Kim, Tae Won,Jeong, Chaehwan,Kim, Yoong-Ahm,Kim, Ho-Sung The Korean Electrochemical Society 2019 Journal of electrochemical science and technology Vol.10 No.1

To maximize the oxygen evolution reaction (OER) in the electrolysis of water, nano-grade $IrO_2$ powder with a low specific surface was prepared as a catalyst for a solid polymer electrolyte (SPE) system, and a membrane electrode assembly (MEA) was prepared with a catalyst loading as low as $2mg\;cm^{-2}$ or less. The $IrO_2$ catalyst was composed of heterogeneous particles with particle sizes ranging from 20 to 70 nm, having a specific surface area of $3.8m^2g^{-1}$. The anode catalyst layer of about $5{\mu}m$ thickness was coated on the membrane (Nafion 117) for the MEA by the decal method. Scanning electron microscopy (SEM) and electrochemical impedance spectroscopy (EIS) confirmed strong adhesion at the interface between the membrane and the catalyst electrode. Although the loading of the $IrO_2$ catalyst was as low as $1.1-1.7mg\;cm^{-2}$, the SPE cell delivered a voltage of 1.88-1.93 V at a current density of $1A\;cm^{-2}$ and operating temperature of $80^{\circ}C$. That is, it was observed that the over-potential of the cell for the oxygen evolution reaction (OER) decreased with increasing $IrO_2$ catalyst loading. The electrochemical stability of the MEA was investigated in the electrolysis of water at a current density of $1A\;cm^{-2}$ for a short time. A voltage of ~2.0 V was maintained without any remarkable deterioration of the MEA characteristics.

국내 주식시장에서 가치주와 성장주의 시장과잉반응과 리스크 프리미엄

이호(Lee, Ho),김은정(Kim, Eun-Jeong) 대한경영학회 2013 大韓經營學會誌 Vol.26 No.8

Is It Under-or Over-reaction? An Empirical Investigation

Xiu Qing Ji 한국증권학회 2008 한국증권학회지 Vol.37 No.2

학술연구 : 벤처기업 주가과민반응과 벤처버블

위한종 ( Han Jong Wi ) 한국중소기업학회 2006 기업가정신과 벤처연구 Vol.9 No.1

Is It Under-or Over-reaction? An Empirical Investigation

Xiu Qing Ji 한국증권학회 2008 Asia-Pacific Journal of Financial Studies Vol.37 No.2

아동의 부정정서에 대한 어머니의 부정적 반응과 관계적 공격성의 관계 : 정서인식명확성과 정서표현양가성의 매개 효과

송현정(Hyun jung, Song),김장회(Jang hoi, Kim) 한국교류분석상담학회 2021 교류분석상담연구 Vol.11 No.1

본 연구는 아동의 부정정서에 대한 어머니 부정적 반응과 관계적 공격성과의 관계에서 정서인식명확성, 정서표현양가성의 매개효과를 확인하는데 목적이 있다. 이를 위해 초등학교 5, 6학년 377명에게 설문을 실시하였으며 아동의 부정정서에 대한 어머니의 부정적 반응척도, 정서인식명확성, 정서표현양가성, 관계적 공격성 척도를 측정도구로 사용하였다. 변인 간 관계 및 매개효과를 검증하기 위해 SPSS 21.0과 AMOS 21.0을 이용하여 구조방정식 모형 분석을 실시하였다. 연구결과 첫째, 아동의 부정 정서에 대한 어머니의 부정적 반응은 관계적 공격성과 유의한 정적상관을 보였으며 정서인식명확성과는 부적상관을 정서표현양가성과는 정적상관을 보였다. 둘째, 아동의 부정정서에 대한 어머니의 부정적 반응과 관계적 공격성의 관계에서 정서인식명확성은 부분매개 효과가 있었다. 셋째, 아동의 부정정서에 대한 어머니의 부정적 반응과 관계적 공격성의 관계에서 정서표현양가성이 부분매개 효과가 있는 것으로 검증되었다. 즉, 아동의 부정적 정서에 대한 어머니의 부정적 반응은 관계적 공격성에 직접적인 영향을 미치면서 정서인식명확성과 정서표현양가성을 통해 간접적으로도 영향을 미치는 것으로 확인되었다. 결과를 토대로 시사점과 제한점 등이 논의되었다. This study aims to elucidate the mediated effect of emotional clarity, ambivalence over emotional expressiveness in the effects of the maternal reaction to children’s negative emotions on relational aggression. The participants in this study were 377, 5th and 6th grade in elementary school and completed a set of questionnaires consisting of maternal reaction to children’s negative emotions, emotional clarity, ambivalence over emotional expressiveness, relational aggression. To verify the relation between variables and the mediating effect, it was analyzed structural equation model by using SPSS 21.0 and AMOS 21.0. As a result, first, the mother’s negative reactions to children’s negative emotions were positively correlated with relational aggression and ambivalence over emotional expressiveness and negatively corelated with emotional clarity. Second, emotional clarity mediated the relation between maternal negative reaction to children’s negative emotions and relational aggression. Third, ambivalence over emotional expressiveness partially mediated the relation between maternal reaction to children’s negative emotions and relational aggression. That is, it confirmed that the mother s reaction to children’s negative emotions have direct influence on relational aggression and indirect influence through emotional clarity and ambivalence over emotional expressiveness. Lastly, we discussed the implications limitation of this study.