Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market

We analyze the asymmetric behavior of fund managers with short-selling constraints under different market conditions to confirm the hypothesis of difference of opinion of fund managers and also investigate determinants in difference of opinions in fund market. This paper examines two issues: whether...

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Autores principales:	Sohn,Pando, Yong Seo,Ji
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2015
Materias:	Asymmetric behavior short-sale constraints asset-allocating strategies overvaluation effect
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862015000100002
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spelling	oai:scielo:S0718-528620150001000022015-09-24Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund marketSohn,PandoYong Seo,Ji Asymmetric behavior short-sale constraints asset-allocating strategies overvaluation effect We analyze the asymmetric behavior of fund managers with short-selling constraints under different market conditions to confirm the hypothesis of difference of opinion of fund managers and also investigate determinants in difference of opinions in fund market. This paper examines two issues: whether there exists the difference of opinions of fund managers and whether there is asymmetric volatility under short-sale constraints. Under short-sale constraints, we implement testing the hypothesis of difference of opinion found by Chen, Hong, and Stein (2001) and Hong and Stein (2003). This hypothesis provides a unique opportunity to test directly the differences of opinion among fund managers that operate under short-sale constraints using asset-allocating strategies. The test results provide evidence that there is asymmetric volatility and increased differences of opinion among fund managers. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinions among fund managers. Therefore, our results imply that the overvaluation effect is more remarkable in funds for which a wider dispersion of the opinions of fund managers exists. These findings are consistent with Miller’s (1977) intuition and Hong and Stein’s (2003) model. In addition, our results also support the stochastic bubble hypothesis and are consistent with Blanchard and Watson (1982) and Wu (1997), even after controlling for fund characteristic variables.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.42 n.1 20152015-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862015000100002en10.4067/S0718-52862015000100002
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Asymmetric behavior short-sale constraints asset-allocating strategies overvaluation effect
spellingShingle	Asymmetric behavior short-sale constraints asset-allocating strategies overvaluation effect Sohn,Pando Yong Seo,Ji Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
description	We analyze the asymmetric behavior of fund managers with short-selling constraints under different market conditions to confirm the hypothesis of difference of opinion of fund managers and also investigate determinants in difference of opinions in fund market. This paper examines two issues: whether there exists the difference of opinions of fund managers and whether there is asymmetric volatility under short-sale constraints. Under short-sale constraints, we implement testing the hypothesis of difference of opinion found by Chen, Hong, and Stein (2001) and Hong and Stein (2003). This hypothesis provides a unique opportunity to test directly the differences of opinion among fund managers that operate under short-sale constraints using asset-allocating strategies. The test results provide evidence that there is asymmetric volatility and increased differences of opinion among fund managers. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that negative asymmetries are more likely to occur when there are large differences of opinions among fund managers. Therefore, our results imply that the overvaluation effect is more remarkable in funds for which a wider dispersion of the opinions of fund managers exists. These findings are consistent with Miller’s (1977) intuition and Hong and Stein’s (2003) model. In addition, our results also support the stochastic bubble hypothesis and are consistent with Blanchard and Watson (1982) and Wu (1997), even after controlling for fund characteristic variables.
author	Sohn,Pando Yong Seo,Ji
author_facet	Sohn,Pando Yong Seo,Ji
author_sort	Sohn,Pando
title	Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
title_short	Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
title_full	Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
title_fullStr	Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
title_full_unstemmed	Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
title_sort	investor heterogeneity and asymmetric volatility under short-sale constraints: evidence from korean fund market
publisher	Universidad de Chile. Departamento de Economía
publishDate	2015
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862015000100002
work_keys_str_mv	AT sohnpando investorheterogeneityandasymmetricvolatilityundershortsaleconstraintsevidencefromkoreanfundmarket AT yongseoji investorheterogeneityandasymmetricvolatilityundershortsaleconstraintsevidencefromkoreanfundmarket
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Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market

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