패자추종-실시간 포트폴리오전략에서 F-SCORE의 효용성에 관한 연구

초록

This study picks up value stocks from Korean stock market and then apply F-SCORE of Piotroski(2000) to get winner group and loser group. For the two groups we get 10 years daily stock prices and apply six kinds of loser following on-line portfolio strategies. For each strategy, we calculate final returns and risk-return ratios and find that OLMAR and RMR strategies have superior performances than any other strategies. Specifically RMR strategy had superior performance when the two groups are added together than the groups are treated separately. This may imply that accounting information does not have long term effect as far as on-line portfolio strategy is concerned. On the other hand OLMAR-S strategy is appropriate for the whole group and winner group and OLMAR-E strategy is appropriate for the lose group only. General conclusion is that RMR strategy is the most appropriate strategy in Korean stock market as an on-line portfolio strategy.

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