비정상수익률을 이용한 반대투자전략에 관한 연구 - 우리나라 주식시장에서의 실증분석

Abstract

This study investigates the investment performance of the contrarian strategy based on abnormal excess returns in the Korean Stock Market. Specifically, this study tests whether or not performance of the contrarian strategy differs between up markets and down markets by the lagged market returns. It also examines whether or not the lagged abnormal excess returns can explain the profits of the contrarian strategy using the Fama and French(1993) times-series regression to gauge the robustness of this empirical results. This study uses monthly returns for the January 1980 to December 2000 on KSRI. The empirical study finds that the contrarian strategy based on abnormal excess returns earns significant profit in the Korean Stock Market. Specifically, this paper finds that the conditional contrarian strategy using the lagged abnormal excess returns in down markets gains very high investment profit. This study also finds the profit from the contrarian strategy using the lagged abnormal excess returns after controlling the premium of the firm size, BE/ME and the market returns earns significant profit. These results show that the information effects of the lagged abnormal excess returns exist highly in down markets of the Korean Stock Market and have useful value in portfolio investments.