한국 주식시장에서의 Piotroski의 FSCORE와 Mohanram의 GSCORE를 활용한 패자추종 실시간 포트폴리오 전략의 비교에 관한 연구

초록

We applied Piotroski’s FSCORE (2000) to select value stocks as portfolio components. We subdivided the value stock portfolio into buying group and selling group, and then we applied various loser following on-line portfolio strategies. In the process, we decided what to buy and what to sell(short selling) on daily basis. We found RMR strategy and OLMAR strategy are the best performers, while CWMR and PAMR strategies are less successful. This may imply that the value stocks have mean reverting or trending properties. For the comparison, we applied Mohanram 's GSCORE to select the growth stocks and followed the same process as we did for the Piotroski’s FSCORE. We found that every loser following on-line portfolio strategy that we applied did not outperform market returns in the final cumulative return. This seems to imply that the random walking property is dominant in the growth stock portfolio.

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