한국주식시장에서의 투자전략: 8가지 요인을 고려한 전통적 요인 투자전략과 스마트베타 투자전략의 비교

초록

In this study, we selected the 8 major investment factors such as value, scale, profitability, investment, momentum, low beta, quality, and illiquidity by reviewing the previous literature and constructed the investment strategies. The investment strategies are based on the traditional factor model and smart-beta model method, and we constructed a total of 16 investment strategies using the 8 factors. The study period is a long-term one from 1995 to 2020, which includes the Asian financial crisis (1996-1998), the global financial crisis (2007-2009), and the COVID-19 pandemic(2020), during when the Korean stock market have showed a high volatility. Since the 8 factors tested in this study can be influenced by market conditions, we divide the sample period into the high volatility and low volatility period and compares the investment strategy performances depending upon the period. We found the following main empirical results. First, among the investment strategies used in this study, there are investment strategies that achieved superior returns compared to the market index or benchmark index performance in the Korean market. However, the investment strategy that exhibited superior performance in the volatility period shows similar market performance during the entire sample period, meaning that the market conditions do not significantly affect the factors investment strategies. In addition, we examine if the investment strategy performance depends on the composition method. Between the investment strategies based on the traditional factor model and smart-beta investment model, there was insignificant difference in the performance. Second, we found that the factors such as profitability, investment, and illiquidity significantly influence the performance of the investment strategy, regardless of the market condition or the investment strategy composition method. So profitability, investment, and illiquidity are considered important factors in this study. Third, a multi-factor smart beta investment strategy, which combine profitability, investment and illiquidity, showed even better performance in terms of risk and return compared to the market index and benchmark index. Fourth, we showed that the significance of the performance was confirmed by the economic usefulness tests including Jensen’s alpha and Treynor index, and that the stock selection effect is the major reason for the superior performance of the strategy. To conclude, we suggest that in the Korean market it is profitable and economically useful to construct an investment portfolio by combining the profitability, investment, and liquidity factors, and that we set up an investment strategy suitable for the Korean stock market by combining various factors depending upon the market situation in the future

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