가치투자전략의 성과에 대한 실증적 연구

Abstract

This paper studies the performance of the value investment strategy by using such ratio as book-to market, earnings to price, and cash flow to price based on firm size and past stock returnㄴ in the Korean Stock Market. In this research, major sources of anomalies for the investment performance of book-to market ratios(or earnings to price and cash flow to price) are found among the non-financial listed companies whose fiscal year ends at December in the Korean Stock Exchange between 1981 and 2004. The empirical results of this paper can be summarized as follows: First, this study finds that value stocks with high ratios of the book to market and cash flow to price have higher average returns than growth stocks with low ratios. This paper finds that value stocks with high earnings to price ratios do not have higher average returns than growth stocks with low ratios. Second, this paper finds that the performance of the value investment strategy based on firm size is higher than that of the simple value investment strategy. Third, this paper finds that the performance of the value investment strategy based on past stock returns is higher than that of the simple value investment strategy.