Table 10 Salience effect under market...

Table 10

Salience effect under market sentiment and uncertainty

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Investor sentiment
Low	1.31	1.15	1.41	1.28	0.41	−0.91	−0.96	−0.97
Low	(2.33)	(2.02)	(2.29)	(2.07)	(0.62)	(−5.17)	(−5.37)	(−5.52)
High	0.72	0.86	0.73	0.80	0.05	−0.68	−0.60	−0.88
High	(1.25)	(1.55)	(1.27)	(1.21)	(0.06)	(−2.29)	(−1.76)	(−2.74)
Panel B. Market uncertainty
Low	0.10	0.10	0.09	0.25	−0.32	−0.41	−0.46	−0.72
Low	(0.18)	(0.23)	(0.20)	(0.48)	(−0.45)	(−1.31)	(−1.73)	(−2.59)
High	1.63	1.49	1.67	1.48	0.61	−1.01	−0.97	−1.06
High	(2.74)	(2.71)	(2.66)	(2.33)	(0.84)	(−4.30)	(−3.79)	(−3.91)

	ST quintile
	1	2	3	4	5	Diff	FF3	FF4
Panel A. Investor sentiment
Low	1.31	1.15	1.41	1.28	0.41	−0.91	−0.96	−0.97
Low	(2.33)	(2.02)	(2.29)	(2.07)	(0.62)	(−5.17)	(−5.37)	(−5.52)
High	0.72	0.86	0.73	0.80	0.05	−0.68	−0.60	−0.88
High	(1.25)	(1.55)	(1.27)	(1.21)	(0.06)	(−2.29)	(−1.76)	(−2.74)
Panel B. Market uncertainty
Low	0.10	0.10	0.09	0.25	−0.32	−0.41	−0.46	−0.72
Low	(0.18)	(0.23)	(0.20)	(0.48)	(−0.45)	(−1.31)	(−1.73)	(−2.59)
High	1.63	1.49	1.67	1.48	0.61	−1.01	−0.97	−1.06
High	(2.74)	(2.71)	(2.66)	(2.33)	(0.84)	(−4.30)	(−3.79)	(−3.91)

Note(s): This table reports portfolio results conditional on market sentiment and uncertainty. Market sentiment is measured using the Korea Economic Sentiment Index. Months are classified as high- or low-sentiment based on the median value of the index. Market uncertainty is measured using the VKOSPI index derived from KOSPI 200 options. Months are classified as high- or low-uncertainty based on the median value of the index. Within each regime, stocks are sorted monthly into quintiles based on the salience theory measure (ST) and held for one month. The column labeled “Diff” reports the raw return spread between the highest and lowest quintiles (Q5–Q1). The subsequent columns (FF3 and FF4) report the corresponding alphas from Fama and French (1993) three-factor and Carhart (1997) four-factor models. Newey and West (1987) t-statistics with 12 lags are shown in parentheses. The sample consists of all common stocks listed on KOSPI and KOSDAQ from March 2005 (May 2009 for uncertainty) to December 2024

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