Earticle

We examine the empirical performance in the Korean stock market of three new asset pricing factor models: the Stambaugh–Yuan (2017) mispricing factor model, the Daniel et al. (2020) three-factor model, and the Hou et al. (2021) q5-factor model. We find that all factors in these factor models have significantly positive risk premiums and are not explained by the Fama– French six-factor model. Compared to other prevalent models, the q5 model shows the highest maximum Sharpe ratio, mainly due to its profitability and expected growth factors. Further, the q5 model exhibits superior performance in explaining the returns of 97 anomaly portfolios in the Korean market.

This study uncovers short-term idiosyncratic momentum (SIMOM) in cross-sectional stock returns. SIMOM utilizes the daily residuals estimated by the pricing models for the previous month. This differs from idiosyncratic volatility (IVOL) and short-term reversals (SREV) in the same previous month. SIMOM exhibits persistently significant positive performance until the next eight months and has unique information that cannot be explained by known factor premiums or firm-specific variables. Institutional and foreign investors who focus on public market information tend to underreact to high SIMOM stocks, leading to over-selling trading. . Individual investors who prioritize firm-specific information seem to use high SIMOM stocks as a profitable strategy. There is a strong negative relationship, exceeding 95%, between the performance of SIMOM and IVOL in terms of their predictive power for expected returns; that is, the existence of a significant positive SIMOM implies the existence of a significant negative IVOL, and vice versa. Therefore, this finding is expected to lead to further studies that verify SIMOM and provide new insights into the IVOL puzzle and individual investors’ trading behavior.

This study examines the impact of the National Pension Fund's participation in the Korean stock market on stock liquidity by analyzing stock holdings and transaction data spanning from 2010 to 2019. During the sample period, the National Pension Fund's (NPF) holdings of Korean stocks consistently rose, indicating a sustained and robust investment presence in the nation's financial market. In the regression analysis, the National Pension Fund's purchase of domestic stocks demonstrates a significant relationship with an increase in stock liquidity. Moreover, we underscored the robustness of our investigative outcomes by utilizing event study methodology, focusing on disclosures related to the National Pension Fund pursuant to the 5% rule, and alterations in the domestic equity benchmark designated by the National Pension Fund. The results show that the purchase of the National Pension Fund increase stock liquidity. These findings suggest a potential avenue through which the NPF’s active participation in the stock market may amplify both market quality and efficiency.

This research investigates the impact of regional disparities in housing markets on future investment opportunities and equity returns. The study finds that regional disparity can predict negative future market returns, positive future volatility, and negative industrial production growth, indicating that widening gaps in housing markets foreshadow poor macroeconomic activities and difficult investment prospects. Additionally, in the US equity market, stocks with a negative correlation to regional disparity yield higher future returns, while those with a positive correlation yield lower returns. This relationship is not explained by Fama-French three or five-factor models, suggesting that investors may be willing to pay a premium for hedging portfolios to mitigate the risk associated with regional disparities in housing markets.

Gold has similar characteristics with other commodity assets as raw material but at the same time has unique characteristics as a safe-haven asset in crisis periods. From this perspective, the relative value of gold may contain important information about investors’ expectations for future global financial markets. In this study, we comprehensively examine the information content of the relative value of gold. Notably, the Gold-to-Copper ratio demonstrates robust predictive power for short-term (from 3-month to 12-month) stock returns across numerous developed countries and global markets. We evaluate its performance under diverse economic conditions, highlighting heightened predictability during recessions. Additionally, we probe the role of copper price in shaping this relationship, revealing its influence even during economic expansions. Rigorous tests substantiate the Gold-Copper ratio’s consistent predictive capability across various scenarios, leading to significant economic gains.

In recent decades, machine learning (ML) algorithms has gained wide popularity in the finance literature. The goal of this research is to exploit machine learning techniques in order to analyze the effect of exchange-traded fund (ETF) illiquidity on tracking errors. We demonstrate the superior performance of the machine learning models – Random Forest and Gradient Boosting Decision Tree, in particular - over traditional linear models in predicting U.S. ETF’s tracking errors. Moreover, our variable importance analysis suggests that the features such as underlying assets based on U.S. assets (Invested in US Asset) and expense ratio (Expense Ratio), are two key factors in the determination of predicting the tracking errors on the ETF illiquidity. Finally, we further conduct SHAP (Shapley Additive exPlanations) technique in order to observe the impact of a particular variable(feature) on the difference between the considered- and average predictions of our machine learning models. Our results indicate that the most relevant variable is Invested in US Asset, which is in align with the previous importance analysis.

This paper investigates the concept of Environmental, Social, and Governance (ESG) practices as a form of social contract for insurance. The paper’s core hypothesis suggests that ESG, influenced by a social contract, requires a unique set of variables for valuation compared to traditional insurance. We also explore how institutional variables impact this valuation, with stronger traditions intensifying the ESG-as-insurance effect. The research delves into how capital market conditions make ESG-as-Insurance more appealing and considers the correlation between a firm’s use of financial derivatives and its ESG practices. Additionally, we argue that elevated social capital amplifies ESG effectiveness. The study concludes by highlighting the benefits of an integrated approach, combining various strategies to enhance firm engagement with ESG standards.

This paper studies whether the CEO’s social networks affect CEO compensation. Given that the board has advisory and monitoring roles, a CEO with more external networks faces less necessity to share information with the board, and thus, the board’s monitoring weakens. Using network measures between the Korean firms’ executives, I find that CEOs with more external networks receive higher compensations with lower pay-for-performance sensitivities on average, compared to ones with less external networks. The results are robust to a battery of tests and an exogenous shock on the CEO’s external network by a presidential election. Additionally, I hypothesize that the CEO’s internal networks with the board have a trade-off effect: CEO-board connection may reduce information asymmetry between them; however, a connected board may not intensively monitor the CEO. Empirically, I find evidence supporting the latter, that the CEO-board connection enforces the effect of the CEO’s external networks on CEO compensation and pay-for-performance sensitivity.

I examine whether suppliers modify trading strategies upon their customers’ unionization. I demonstrate that when customers unionize, suppliers experience negative stock returns and rely less on the unionized customers for sales. Results are robust to alternatively using a regression discontinuity design. Suppliers reduce their exposure to unionized customers due to the demand uncertainty arising from potential labor disruptions, the customers’ reduced competitiveness in the product market, and customers’ potential shifting of unionization costs to suppliers. However, in certain cases, customer unionization mitigates the negative effect of customers’ default risk on their relationship with suppliers.

Using a large sample of Korea firms, we examine the impact of employee share ownership on future stock price crash risk. We document a significant and negative relationship between employee ownership levels and the likelihood of future stock price crashes. In particular, we find this relationship is only observed for firms listed on KOSDAQ market. Given the voluntary adoption of preferential allocation of employee share ownership for KOSDAQ-listed firms, we interpret that voluntary employee ownership can enhance information transparency. These results hold across different specifications, as well as when using several tests to address the potential endogeneity issue. In addition, we find that the predictive power of employee ownership is enhanced for firms in volatile industries, with high information opacity and low ownership of the largest shareholders in KOSDAQ market. These empirical findings provide strong support for the argument that employee share ownership mitigates the extent to which employees have the potential to extract above-market rents from firms.

We examine the impact of the interaction between two sources of capital, the government and private equity investors, on innovation. To study this, we consider two possible government subsidy schemes that differ in how the amount of the subsidy is determined. The first scheme takes into account the firm’s investment in R&D and the other scheme is based on the investment made by private investors. The analysis shows that the relationship between the government subsidy and the investor’s investment is not monotonic. Moreover, the subsidy scheme linked to the firm’s R&D investment may even reduce its R&D inputs, but this scheme could lead to a level of R&D investment that cannot be achieved without subsidies. On the other hand, it is possible that the subsidized capital is not invested in the R&D project under the subsidy scheme linked to the investor’s investment. In terms of government expenditure, the R&D-investment-linked scheme incurs more expenditur when the government requires a certain R&D input.

본 연구는 신용등급 변경 가능성과 기업의 재무정책 사이의 관계를 조사한다. 기업의 세부 신용등급이 ‘+’ 또는 ‘-’인 경우를 신용등급 변경 가능성이 높은 기업으로 정의하여, 2011년부터 2022년까지 한국 유가증권시장과 코스닥시장에 상장된 기업들을 대상으로 분석하였다. 분석 결과, 신용등급 변경 가능성이 높은 기업들은 그렇지 않는 기업들에 비해 자산 대비 더 낮은 부채를 보유하였고, 더 낮은 배당을 지급하였으며, 더 많은 현금을 보유하였다. 이러한 결과는 신용등급 변경 가능성이 높은 기업들이 자본 비용을 줄이고 금융기관들의 투자 기준을 충족시키기 위해 보수적인 재무정책을 추구하고 있음을 제시한다. 본 연구는 신용등급과 기업재무정책 간의 관계를 단순 선형관계로서 분석한 이전 연구와 차별화되며, 신용등급 변경 가능성과 다양한 기업재무정책 사이의 관계에 대해 분석했다는 점에서 관련 문헌에 공헌한다.

In the default prediction problem, the cost from the failure of forecasting defaults is much bigger than that of forecasting non-defaults. The cost asymmetry is deeper in the corporate default prediction than the retail as corporate loan portfolios are not granular. However, the two types of costs are treated equally in general as default prediction models are usually estimated to minimize prediction errors or maximize statistical performance. This practice might not fulfill the goal of risk management to minimize economic losses. To mitigate this issue, this study apply cost-sensitive learning approach to default prediction, which minimizes economic costs instead of statistical errors. We define economic costs and test them for various levels of the cost asymmetry by employing Logistic regression, XGBoost, and LightGBM. As a result of empirical experiments with Taiwanese and Polish corporate default data, we first find that the proposed cost-sensitive models are superior to the cost-insensitive counterparts in terms of economic cost, mostly regardless of the cost asymmetry scenarios. Secondly, nevertheless, the decreases in the statistical performance are relatively small – economic costs decrease 24.6% at the expense of the decrease in AUC of 4.6% on average. This suggests that financial firms can adopt the proposed default prediction models without violating the regulatory requirement on model quality. Lastly, we find that the features of high prediction power in the cost-sensitive and insensitive models are different, which has an important implication for credit monitoring.

In the default prediction problem, thecost from thefailure of forecasting defaults is much biggerthan that of forecastingnon-defaults. Thecost asymmetryis deeperin the corporatedefaultpredictionthan theretailas corporateloan portfolios arenot granular. However, thetwo typesof costs aretreatedequallyin generalas defaultpredictionmodels areusually estimatedto minimizepredictionerrorsor maximizestatistical performance. This practicemight not fulfill thegoal of risk managementto minimizeeconomiclosses. To mitigatethis issue, this study apply cost-sensitivelearningapproach to defaultprediction, which minimizeseconomiccosts insteadof statistical errors. Wedefineeconomic costs and testthemfor various levelsof thecost asymmetryby employingLogistic regression, XGBoost, and LightGBM. As a resultof empiricalexperimentswith Taiwaneseand Polish corporate default data, we first find that the proposed cost-sensitivemodels are superiorto thecost-insensitivecounterpartsin termsof economiccost, mostly regardless of thecost asymmetryscenarios. Secondly, neverthele,ssthedecreasesin thestatistical performanceare relativelysmall – economic costs decrease24.6% at theexpenseof the decrease in AUC of 4.6% on average. This suggests that financial firms can adopt the proposed default prediction models without violating the regulatory requirement on model quality. Lastly, we find that the features of high prediction power in the cost-sensitive and insensitive models are different, which has an important implication for credit monitoring.

Using the exogenous Covid-19 shock to the Korean stock market as a natural experiment, we examine the relationship between ES performance and stock returns surrounding the Covid-19 panic period. We find that socially responsible firms experienced greater declines in their stock prices during the panic period and slower recoveries in the subsequent post-panic period. Our findings contradict the dominant view in the relevant literature – the value-enhancing ESG view. We present further evidence that the negative relationship between firms’ ES performance and panic returns can be attributed to alternative explanations based on financial and operating leverages of socially responsible firms.

본 연구는 주가 및 기업가치에 직접적인 영향을 미칠 수 있는 주식 내 내재 되어있는 권리 의 변동 과 유통주식 수의 증감이 없는 자사주 보유와 자사주 소각이 기업가치에 어떻게 영 향을 미치는지에 대하여 불완전 시장의 시장 마찰 요인(Market Fraction) 중 하나인 정보 비대칭(Information Asymmetry) 관점에 초점을 맞추어 실증 분석을 수행하고자 한다. 정보 비대칭 관점에 집중하기 위해 또 다른 시장 마찰 요인인 대리인 문제(Agency Problem)와 관 련된 변수들을 통제한 실증 분석 결과, 국내 기업의 자사주 보유는 연평균 스프레드율 (Spread)로 측정한 정보 비대칭을 증가시키는 것으로 나타났다. 반면, 자사주 소각은 정보 비대칭을 감소시키는 것으로 나타났다. 이러한 결과는 역선택 비용(Adv_cost)으로 측정한 정보 비대칭 변수를 통해 수행한 강건성 검증에서도 동일하게 나타났다.

This study aims to empirically investigate how Treasury Stock holdings and retirements impact on firm value, through information asymmetry perspective. Information asymmetry is considered one of the market frictions in an incomplete market. By controlling for variables that can trigger the agency problem, another market friction, we conduct an empirical analysis to shed light on this relationship. The findings indicate that incresing treasury stock holdings lead to an increase in information asymmetry, as measured by the average spread rate. Conversely, stock retirements have a mitigating effect on information asymmetry. These results are robust and consistent with a robustness test conducted using adverse selection costs as measures of information asymmetry variables.

This paper examines the relationship between employees' satisfaction with their company and the firm's cash holdings. Using Glassdoor ratings, we find that companies with higher employee satisfaction with their companies hold more cash. The positive impact of employee satisfaction on a company's cash holdings remains significant, not only for employees' overall satisfaction with the company, but also for satisfaction with various aspects of the workplace. Additionally, this relationship only exists in firms that do not have environmental or social concerns, and companies that do have environmental or social concerns do not strategically choose the level of cash holdings. Overall, these results highlight that companies strategically set their cash holdings conscious of employee satisfaction.

팩터 투자(factor investing)는 투자의 위험과 수익을 결정하는 특정 ‘팩터(factor)’을 식별하 여 이용하는 투자전략이다. 시장 요인(market factor)을 제외한 다른 요인에 대한 노출을 관리하는 투자전략으로 종종 ‘스마트 베타(smart beta)’ 투자전략으로 불린다. 본 연구는 한 국 주식시장을 대상으로 시장이상현상을 활용한 팩터 투자전략의 성과를 분석한다. 시장요 인, 규모요인, 가치요인, 모멘텀요인을 통제한 후에도 유의한 요인을 찾고, 그 요인을 이용 한 투자성과를 분석한다. 1990년 1월 1일부터 2021년 12월 31일까지 한국거래소에 상장된 모든 종목을 대상으로 성과를 검증하고, 이후 표본 종목을 줄여나가면서 성과가 지속적으 로 관측되는지 검증한다. 특히 소형주와 저유동성 종목으로 인해 성과가 어떻게 영향을 받 는지 검증한다. 분석 결과는 다음과 같다. 첫째, KSE, KOSDAQ에 포함된 종목 전체를 대 상으로 분석한 결과 비유동성, 공왜도의 무비용 포트폴리오는 통계적으로 유의한 양(+)의 투자성과를 보이고, 베타, 고유변동성, MAX 효과는 통계적으로 유의한 음(-)의 투자성과를 보인다. 둘째, 소형주를 제외할 경우 비유동성과 베타의 무비용 포트폴리오 투자성과는 유 의성은 사라진다. 소형주의 효과를 제거할 경우 대부분의 시장이상현상이 유의성이 하락함 을 보인 Hou, Xue, and Zhang (2020)의 연구결과와 일치한다. 그러나 소형주 제외 여부에 상관없이 공왜도, 고유변동성, MAX 효과의 무비용 포트폴리오 투자성과는 통계적으로 유 의하다. 셋째, 유동성이 큰 종목을 대상으로 성과를 검증한 결과 비유동성 프리미엄과 역 베타(betting against beta) 프리미엄 현상이 사라지거나 역전되는 것으로 나타났다. 그러나 유동성 기준에 상관없이 공왜도, 고유변동성, MAX 효과의 무비용 포트폴리오 투자성과는 통계적으로 유의하다. 마지막으로, 시장이상치를 이용한 팩터 투자전략의 성과를 결정짓는 중요 요인은 공매 가능 여부이다. 비유동성, 고유변동성, MAX 효과의 무비용 포트폴리오 의 음(-)의 투자성과는 P10(High) 포트폴리오의 음(-)의 성과에서 기인하고, 공왜도의 무비 용 포트폴리오의 양(+)의 투자성과는 P1(Low) 포트폴리오의 음(-)의 성과에서 기인한다.

This paper examines the dynamics between overnight noise traders and daytime arbitrageurs, measured by AB_NR from Akbas et al. (2022), which significantly differ in the predictability of future stock returns with the degree of nearness to 52-week high prices. We show that if stock prices are far from the 52-week highs, there is a perception of greater potential for price increases, leading to tremendous upward pressure on prices by overnight noise traders. As a result, daytime arbitrageurs overcorrect, leading to high AB_NR stocks being undervalued and offering the potential for increased future returns. On the other hand, for stocks near the 52-week highs, overnight noise traders perceive less room for growth and exert less pressure on prices. This results in less overcorrection by daytime arbitrageurs, leading to high AB_NR stocks being less undervalued and offering weaker return predictability. Our findings provide a fresh perspective on the psychological barrier of investors during intense tug-of-war.

본 연구는 2013년부터 2022년까지 유가증권시장에 상장된 기업을 대상으로 누적 특허 출원, 등록 건이 주가급락위험에 미치는 영향에 대하여 분석하였다. 본 연구는 누적 특허 출원, 등록 수는 회사의 기술혁신의 특허 능력에 대한 정보를 주어 주가급락위험을 낮출 것으로 예상하였다. 전체 기업 뿐만 아니라, 제조업 기업에 대한 분석과 재무제약에 대한 분석을 수행하여 제조업 기업의 경우와 재무제약이 적은 경우 누적 특허 출원, 등록 수의 주가급락위험을 낮출 것으로 예상하였다. 분석 결과, 전체 기업, 제조업 기업, 재무제약이 적은 기업의 경우 누적 특허 출원, 등록 수와 주가급락위험 간의 음(-)의 상관관계가 도출되었다. 또한, 애널리스트 보고서, 외국인 지분율, 독립적인 사외이사 수 등의 변수를 추가하여 분석을 한 결과 정보 비대칭이 높은 상황에서 누적 특허 출원, 등록 수와 주가급락위험 간의 음(-)의 상관관계가 도출되었다. 이는 특허 출원, 등록 건이 연구개발 과정에 대한 정보 비대칭을 완화시켜 차기 주가급락위험 완화까지 이어진다는 가설을 지지하는 결과이다. 또한 제조업 산업에서의 나타나는 결과들은 투자자들이 제조업 산업의 특허 출원, 등록 등을 기술 개발 프로젝트의 주요 정보를 주는 신호로 받아들인다는 것을 의미한다.

The Modigliani-Miller Proposition II (MM2) is a cornerstone in the field of corporate finance, positing that in a frictionless environment with perfect capital markets, the cost of equity capital is linearly related to a firm’s leverage. This paper critically re-evaluates this proposition, particularly examining the determination of the cost and value of equity. We find that under specific circumstances, especially when the value of a tax shield is influenced by endogenous variables, the cost and value of equity may be ambiguous. This calls into question the universal applicability of MM2. Our research offers new perspectives on the theoretical underpinnings of financial management and underscores the significance of situational factors in the practical application of these theories.

This study examines the effect of a firm’s ownership structure on its corporate social responsibility (CSR). Using firms that belong to Korean business groups, chaebols, as a sample and their ES ratings to measure CSR, we find a positive relationship between control-ownership disparity (i.e., a divergence between voting and cash-flow rights of controlling shareholders) and ES performance, especially social performance. Additionally, we show that when control-ownership disparities increase due to mergers between other affiliated firms, ES ratings rise significantly. Moreover, we find that firms controlled by descendants are more likely to exhibit higher levels of CSR compared to firms controlled by founders. Our results support the agency view of CSR, which suggests that CSR investment is associated with controlling shareholders’ incentives to pursue their own private benefits at the expense of minority shareholders.

This study examines the relationship between organizational characters and financial performance. Using a machine learning technique, we construct the measures of organizational characters similarly to the Myers-Briggs Type Indicator from anonymous employees’ online reviews. We present evidence that organizational characters correlate with financial performance. These results are robust to alternative specifications to gauge organizational characters. Empirical evidence suggests that employee satisfaction links organizational characters and financial performance.

기존의 가치평가 변수인 시장가-장부가(Market to book value) 비율은 성장기회뿐만 아니라 주식시장에서 과대평가 또는 과소평가 여부를 반영하기도 한다. 본 연구는 M/B 비율을 성장기회와 가치평가오류(misvaluation) 요소로 분해한 다음, ESG 특성 에 따라 해당 요인들이 어떠한 양상으로 나타나는지 분석하였다. 실증분석 결과, ESG 등급은 두 가지 가치평가오류 요인(기업고유 가치평가오류, 시계열 가치평가오류)과 장기 성장기회에 모두 긍정적으로 작용하는 것으로 나타났다. 경제적 효과를 살펴보면, ESG 등급이 한 등급 상승(하락)하면 기업고유 가치평가오류는 5.1% 상승(하락), 시계열 가치평가오류는 0.9% 상승(하락), 장기 성장기회는 0.8% 상승(하락)하는 것으로 나타나, ESG 등급은 장기적 성장요인보다는 기업고유 특성에 따른 가치평가오류와 가장 관 련성이 높은 것으로 나타났다.

This study examines how board independence affects fund performance related to the investment experience of independent directors. Using the 2001 SEC amendment as an exogenous shock, I find that board independence does not affect fund performance on average. However, when a board has independent directors with investment experience, it boosts fund performance. This study also finds that a fund manager is less constrained and contractual management fee is more aligned with fund performance under such a board. The findings suggest that board independence is not always beneficial to fund shareholders. Instead, its effectiveness varies depending on independent directors’ investment experience.

I provide evidence on the effect of monetary policy shocks on research and development (R&D) in setting with and without firm-specific variables. I identify monetary shocks by orthogonalizing policy rate change with respect to economic forecast information. Using the shock, I examine the responses of the R&D expenses to increase in the short-term interest rate changes. My empirical results prove that R&D investment gradually decreases in response to monetary policy shock. However, this trend becomes less apparent for chaebols, which are unique form of conglomerate in Korea, due to their access to internal financing within affiliates, while the R&D investment of non-chaebols to monetary policy shock decrease at statistically significant level. In particular, non-chaebols with a high Tobin’s-Q and firm size are more responsive to monetary tightening shocks than those with low ones, which are in consistence with previous researches.

국민연금을 비롯한 공적연금과 퇴직연금의 시장규모가 확대되면서, 기금을 관리하는 운용주체(직접운용기관 및 OCIO 등)의 운용전략 차별화가 큰 관심을 받고 있다. 최근 일본의 GPFG 등을 비롯한 주요 운용기관은 멀티팩터모델과 인공지능시스템 등을 도 입하고 있으며, 민간의 많은 운용사들 역시 이들을 실제 운용전략에 활용하기 위해 노 력하고 있다. 본 연구는 이러한 시장의 수요에 대응하여, 군집화(Clustering)를 활용한 펀드의 스타일을 분류하고, 분류된 스타일의 펀드를 통해 저비용-고효율 분산포트폴리 오를 구성할 수 있는지 검증한다. 첫째, 멀티팩터모형을 활용하여 국내 주식형 펀드의 스타일 운용전략을 파악하고, 둘째, K-means 클러스터링 기법을 적용하여 펀드들의 스타일 운용을 군집화한다. 다음으로 군집화된 펀드들의 스타일 운용전략의 특성과 운 용기관의 일반적인 스타일 분류(대형/중소형, 가치/성장) 기준과 어떠한 차이점을 가지 고 있는지 확인한다. 마지막으로 군집화된 펀드를 활용해, 고효율 분산투자 효과를 도 출할 수 있는지와 액티브 운용전략의 구성이 가능한지 검증한다. 본 연구는 자산운용 사들이 정교한 데이터 분석과 AI 기술을 적용하여 보다 효율적인 운용전략을 수립할 수 있는 출발점이 될 수 있을 것으로 기대한다.

가치주가 성장주보다 우월한 투자 성과를 발생시킨다는 가치 프리미엄이 최근 15년 기간동안 사 라졌다는 현상이 문헌에서 보고되었다. 본 연구는 인플레이션 국면에 따른 조건부 가치 프리미엄 을 바탕으로 최근 기간 관찰된 가치 투자의 낮은 수익률이 저 인플레이션 국면으로 설명될 수 있 다는 점을 제시한다. 성장주는 가치주에 비해 현금흐름이 상대적으로 먼 미래에 발생할 것으로 기대되며, 할인율 베타에 대한 위험이 더 크기 때문에 급격한 인플레이션 상승으로 발생한 이자 율의 상승은 가치주보다 성장주의 수익률에 더 큰 영향을 주게 된다. 인플레이션이 낮은 국면에 서는 가치주 매입-성장주 매도 투자 전략의 수익성이 낮고 인플레이션이 높은 국면에서는 해당 전략의 수익성이 높아진다는 연구 가설을 제시한다. 분석 결과, 가치주 매입-성장주 매도 헤지 포 트폴리오의 평균수익률이 인플레이션 수준에 따라 상승하는 경향성을 확인하였고, 이는 성장주의 인플레이션 국면 별 수익성 차이에 기인하는 것으로 나타났다. 더 나아가 해당 경향성을 활용한 인플레이션 기반 가치주-성장주 수익률 예측 모형이 표본 내(in-sample) 및 표본 외(out-of-sample) 에서 강한 예측력을 보인 것으로 나타났다. 끝으로 모형의 예측성을 활용한 동태적 자산배분 전 략을 제시하고 이 전략이 실제 투자자들에게 높은 투자 성과를 제공할 수 있는 것을 확인하였다.