주가, 기업규모, 장부가치/시장가치비율을 이용한투자전략에 관한 연구

Abstract

There is substantial evidence that stock prices do not follow random walks and that returns are predictable. Jegadeesh and Titman (1993) show that stock returns exhibit momentum behavior at intermediate horizons. A self-financing strategy that buys the top 10% and sells the bottom 10% of stocks ranked by returns during the past 6 months, and holds the positions for 6 months, produces profits of 1% per month. Moskowitz and Grinblatt (1999) argue that momentum in individual stock returns is driven by momentum in industry returns. DeBondt and Thaler (1985), Lee and Swaminathan (2000), and Jegadeesh and Titman (2001) document long-term reversals in stock returns. Stocks that perform poorly in the past perform better over the next 3 to 5 years than stocks that perform well in the past. In this paper, we find that a readily available piece of information-the highest price in a month-largely explains the profits from investment strategies. The sample period chosen for this study is from June 1990 to June 2003. The purpose of this study is to test whether or not past stock prices can predict portfolio returns based on investment strategies using the highest price information in the Korean Stock Market and additional hypotheses are tested by using trading volume. The first hypothesis is that the highest price information can predict performance of investment strategies. The second hypothesis is that the highest price and firm size can predict performance of investment strategies. The third hypothesis is that the highest price and BE/ME ratio can predict performance of investment strategies. The empirical results of this study can be summarized as follows: First, the past highest price seems to predict future portfolio returns. Second, the joint test used by using the past highest price and firm size seem to predict future portfolio returns more than the highest price alone. Third, joint test used by past monthly price high and BE/ME seems to predict future portfolio returns more than the monthly price high only.