주식시장에서 가치투자전략의 성과와 위험요인에 관한 연구:국내 주식시장을 중심으로

초록

I examine whether the value investment strategy is still outperforming the market. Value investment strategy is defined as buying stocks with high value-ratios (e.g., B/M, E/P, C/P, S/P, Size) and selling stocks with low value-ratios. These measures are based on the fundamentals of firms. In addition, I include the default probability to modify the value investment strategy and test performance of the modified portfolio. Consistent with the previous researches on the value investment strategy, current paper shows that value stocks (i.e., stocks with high value ratio.) are still outperforming growth stocks (i.e., stocks with low value ratios). The result does nothold just with one-dimensional portfolios based on the value ratios, but also with two-dimensional portfolios based on both the value ratios and the default probability. However, value stocks are not outperforming the market any more. One possible explanation is that previous studies did not classify the samples stocks based on the listed exchange. It may cause the discrepancy of benchmark and mislead the results. Another possible explanation is recent changes in characteristics of value stocks. Previous studies used the samples before the global crisis in 2008, but current paper uses the recent samples since 2009, which are not overlapped with the previous samples. Research period might cause the different performance of value investment strategy. Overall, I find that value investment strategy still holds in Korea, and that the value strategy did not outperform the market in up-market periods but outperform the market in down-market periods. Consequently, the strategy could be used to minimized the risk especially in down-market periods.

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