@article{ART002183138},
author={jeong seong hoon and 노상수},
title={Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - },
journal={Asset Management Review},
issn={2288-6672},
year={2016},
volume={4},
number={2},
pages={36-59},
doi={10.23007/amr.2016.4.2.36}
TY - JOUR
AU - jeong seong hoon
AU - 노상수
TI - Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model -
JO - Asset Management Review
PY - 2016
VL - 4
IS - 2
PB - Institute of Management Research, SungKyunKwan University
SP - 36
EP - 59
SN - 2288-6672
AB - This study performed an empirical analysis using cumulative average return (CAR) using Fama-French three-factor model to see the stock market reaction when short-term overheated stock is publicly announced in domestic stock market because of rapid stock price rise in a short term. Study results show that as the public announcement date was getting nearer, CAR rose higher, and it dropped a bit and became stabilized after public announcement. It was confirmed that short-term overheated stock designation public announcement is a post countermeasure put in action after the stock price has dramatically risen. As the stock price became stabilized after designation public announcement, the effects of public announcement was confirmed. As it was getting nearer to clearance public announcement, Average Abnormal Return (AAR) has dropped a bit and AAR continues decreasing after the clearance announcement, which confirmed effects of clearance public announcement. When a portfolio of the companies which were designated as short-term overheated stock from –20 days to +20s and Jensen's alpha was identified through regression analysis, KOSDAQ showed the highest value followed by overall and then KOPSPI. It was also identified that scale factor was a significant variable in overall market and KOSPI and value factor was a significant variable in KOSPI.
KW - Short-term overheated stock;Short-term overheating mitigation device;Stock market reaction;Public announcement;3 factor model
DO - 10.23007/amr.2016.4.2.36
ER -
jeong seong hoon and 노상수. (2016). Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - . Asset Management Review, 4(2), 36-59.
jeong seong hoon and 노상수. 2016, "Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - ", Asset Management Review, vol.4, no.2 pp.36-59. Available from: doi:10.23007/amr.2016.4.2.36
jeong seong hoon, 노상수 "Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - " Asset Management Review 4.2 pp.36-59 (2016) : 36.
jeong seong hoon, 노상수. Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - . 2016; 4(2), 36-59. Available from: doi:10.23007/amr.2016.4.2.36
jeong seong hoon and 노상수. "Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - " Asset Management Review 4, no.2 (2016) : 36-59.doi: 10.23007/amr.2016.4.2.36
jeong seong hoon; 노상수. Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - . Asset Management Review, 4(2), 36-59. doi: 10.23007/amr.2016.4.2.36
jeong seong hoon; 노상수. Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - . Asset Management Review. 2016; 4(2) 36-59. doi: 10.23007/amr.2016.4.2.36
jeong seong hoon, 노상수. Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - . 2016; 4(2), 36-59. Available from: doi:10.23007/amr.2016.4.2.36
jeong seong hoon and 노상수. "Effects of Public Announcement of Short - term Overheated Stock on Stock Price - Using 3 Factor Model - " Asset Management Review 4, no.2 (2016) : 36-59.doi: 10.23007/amr.2016.4.2.36
