Contents
Intraday stock returns and investors' trading reactions to fair disclosure : an analysis of the Korean stock market = 공정공시 제도와 일중 시장반응 / Byung Hee Lee ; Meeok Cho ; Sehee Kim 1
Abstract 1
I. INTRODUCTION 2
II. INSTITUTIONAL BACKGROUND AND PRIOR LITERATURE 6
2.1. Regulation Fair Disclosure 6
2.2. Intraday Market Responses to Corporate News 8
III. DATA AND DESCRIPTIVE STATISTICS 11
IV. RESEARCH DESIGN 16
4.1. Stock Price Returns 17
4.2. Trading Activities 18
V. EMPIRICAL RESULTS 19
5.1. Stock Price Returns 19
5.2. Investors'Trading Behavior 25
VI. ADDITIONAL TESTS 27
6.1. Alternative Measure of Investors'Trading Behavior 27
6.2. Investor Type 29
6.3. Trading Profitability 31
VII. CONCLUSION 33
References 35
국문요약 41