Table 6 Investor trading behavior and ST...

Table 6

Investor trading behavior and ST

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Individual investors
Low	0.38	0.38	0.39	0.43	0.22	−0.16	−0.07	−0.20
Low	(0.88)	(1.07)	(0.92)	(0.95)	(0.44)	(−0.55)	(−0.23)	(−0.70)
High	0.88	1.13	1.25	1.12	−0.14	−1.03	−1.22	−1.35
High	(2.36)	(2.91)	(2.62)	(2.64)	(−0.25)	(−3.22)	(−3.89)	(−4.71)
Panel B. Institutional investors
Low	0.74	0.98	0.97	0.96	0.36	−0.37	−0.43	−0.57
Low	(1.85)	(2.47)	(2.42)	(2.15)	(0.70)	(−1.26)	(−1.36)	(−1.94)
High	0.26	0.23	0.50	0.48	0.34	0.08	0.12	0.01
High	(0.63)	(0.61)	(1.29)	(1.17)	(0.72)	(0.27)	(0.41)	(0.04)
Panel C. Foreign investors
Low	0.82	1.01	1.00	0.89	−0.24	−1.07	−1.26	−1.37
Low	(2.08)	(2.58)	(2.29)	(2.06)	(−0.47)	(−3.89)	(−4.71)	(−5.20)
High	0.35	0.55	0.51	0.47	−0.18	−0.53	−0.49	−0.66
High	(0.90)	(1.43)	(1.20)	(1.04)	(−0.38)	(−1.92)	(−1.58)	(−2.29)

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Individual investors
Low	0.38	0.38	0.39	0.43	0.22	−0.16	−0.07	−0.20
Low	(0.88)	(1.07)	(0.92)	(0.95)	(0.44)	(−0.55)	(−0.23)	(−0.70)
High	0.88	1.13	1.25	1.12	−0.14	−1.03	−1.22	−1.35
High	(2.36)	(2.91)	(2.62)	(2.64)	(−0.25)	(−3.22)	(−3.89)	(−4.71)
Panel B. Institutional investors
Low	0.74	0.98	0.97	0.96	0.36	−0.37	−0.43	−0.57
Low	(1.85)	(2.47)	(2.42)	(2.15)	(0.70)	(−1.26)	(−1.36)	(−1.94)
High	0.26	0.23	0.50	0.48	0.34	0.08	0.12	0.01
High	(0.63)	(0.61)	(1.29)	(1.17)	(0.72)	(0.27)	(0.41)	(0.04)
Panel C. Foreign investors
Low	0.82	1.01	1.00	0.89	−0.24	−1.07	−1.26	−1.37
Low	(2.08)	(2.58)	(2.29)	(2.06)	(−0.47)	(−3.89)	(−4.71)	(−5.20)
High	0.35	0.55	0.51	0.47	−0.18	−0.53	−0.49	−0.66
High	(0.90)	(1.43)	(1.20)	(1.04)	(−0.38)	(−1.92)	(−1.58)	(−2.29)

Note(s): This table examines how the return predictability of the salience measure (ST) varies with investor-type net buying (Netbuy). Netbuy is defined as (buy volume − sell volume) divided by shares outstanding and is expressed as a percentage. Each month, stocks are independently double-sorted into quintiles based on Netbuy and ST. We focus on stocks in the lowest and highest Netbuy quintiles and report the average next-month returns of the ST quintile portfolios (columns 1 to 5). Panels A, B, and C present results separately for individual, institutional, and foreign investors, respectively. The column “Diff” reports the return spread between the highest and lowest ST quintiles (Q5 − Q1) within the bottom and top Netbuy quintiles, capturing the strength of ST-based return predictability conditional on investor trading intensity. Columns “FF3” and “FF4” report the corresponding alphas from the Fama–French three-factor and four-factor models. Newey and West (1987) t-statistics with 12 lags are reported in parentheses. The sample includes all common stocks listed on KOSPI and KOSDAQ from March 2005 to December 2024

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