가치요인과 규모요인을 고려한 조건부 반전투자전략의 성과와 유효성에 관한 연구

Abstract

Until now, many studies have explored the effectiveness, performance magnitude and sources of contrarian strategy. But the existed studies have failed to present the performance sources of the strategies clearly because of uncontrolling three variables(past performance, value variables, firm size) which many researchers have admitted to be variables that have highly affected to the performance of investment strategy. This study was conducted with the awareness that variable controlling in research about investment strategy was the most important to supplement the limitations of the existed studies. The main observed results of this study are summarized as follows. First, using 'past performance' variable only controlling variable, simple contrarian strategy was effective in Korean Stock Market. by the way, this results were the same as those of the existed studies. But through this analysis, I could not find the "performance sources" of the strategies. So, I conducted the more comprehensive analysis. The comprehensive analysis was to adopt the portfolio grouping method of controlling three variables by three steps. This method supplemented the limitation of the existed studies. As a result of analysis, it was founded that conditional contrarian strategies were all effective strategy. That is to say, it means that pure performance premium effects remained at Korean Stock Market. Among the results of risk factor variables, it was founded that the premium effect of B/P variable was the most powerful. In conclusion, it was founded that holding in 9 months the conditional contrarian strategy established by the variable controlling order of「value variable(B/P)→firm size(natural log of market value of common stocks)→performance during past 3 months(3BHR)」was the most effective strategy. These results were confirmed by tests of Fama-French three-factor regression model.