한국주식시장에서 계속투자전략과 반대투자전략의 수익성분석

목차

1. 서 론

2. 기존연구

3. 자료와 연구방법

4. 실증분석 결과

5. 결 론

<참고문헌>

본문내용

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ABSTRACT
Performance Analysis of Investment Strategy
in the Korean Sock Market
Jeong Do Lee
Young Gyu Ahn
This paper examines the performance of investment strategies that are based on information contained in the past returns. We employ the procedure used in Jegadeesh-Titman(1993) to compute the performance of individual stock and industry investment strategies. An analytical decomposition of the performance sources is implemented by following Moskowitz-Grinblatt(1999). To provide the generalizability of test results, combination portfolio and Fama-MacBeth(1973) cross-sectional regressions are used.
The empirical results indicate that the individual stock contrarian strategy based on price reversals usually nets positive and statistically significant performance at long horizons and beta or industry components is not the likely performance source of individual stock contrarian strategy. In addition, the industry momentum strategy based on price continuations usually nets positive and statistically significant performance at long horizons and beta, firm size, BE/ME, firm-specific components are the likely performance sources of industry momentum strategy. Finally, the combination effects of individual stock contrarian strategy and industry momentum strategy produces significantly positive performance. Overall, Fama-MacBeth cross-sectional regressions provide a robustness check on the empirical results of returns behavior and the performance sources of investment strategies.

키워드

주식시장,   투자전략,   실증분석,   수익성,   경제적 유용성,   재무이론