Earticle

초록

영어

Empirical research in finance over the past two decades has uncovered three major findings with respect to cross-sectional return predictability : reversal at short horizon, momentum at intermediate horizon, and reversal at long horizon. This article examines whether a simple accounting-based fundamental analysis strategy, when applied to a broad portfolio of past performance or expected performance, can shift the distribution of return earned by an inverstor in Korean stock market. We start with simple one-variable classifications of past winner and loser stocks that rely in most cases on measures of either past performance or expected performance. We then move on to classifications in which loser or winner is defined using both past performance and expected future performance. The sample period is from 1992 to 1996. We formed portfolios every year starting at the end of January 1992 and we examine subsequent performance for up to 1-year after formation using return data from Korea Securities Research Institute-Stock database(KSRI-SD) and accounting data from Korea Investors Service-Financial Analysis System(KIS-FAS) Database. In conclusion, we find average negative performance of investment strategy based on one-accounting variable. And we find average negative performance of investment strategy based on double-accounting variable, too. In particular, when portfolio is formed using past growth sales rate as past performance and past earnings to prices, cashflows to prices as expected future growth, we find a strong and persistent negative performance of zero-cost portfolio. Finally, negative performance of one-variable investment strategy using past five-years growth sales rate generates rather on the sell side than on the buy side. But negative performance of double-variable investment strategy using past growth sales rate as past performance and past earnings to prices, cashflows to prices as expected growth are not generate either buy side or sell side.

목차

I. 서론
 II. 기존연구
 III. 분석자료와 포트폴리오의 구성
 IV. 분석결과
 V. 결론
 참고문헌
 ABSTRACT

키워드

저자

• 이정도 [ Jeong Do Lee | 경북대학교 경영학부 교수. ]
• 안영규 [ Young Gyu Ahn | 경북대학교 경영학부 강사. ]
• 김기태 [ Ki Tae Kim | 경북대학교 대학원 경영학과 박사과정. ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]

• 간기

  격월간

• pISSN

  1225-3553

• 수록기간

  1987~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 330