한국 주식시장에서의 가치 효과와 모멘텀 효과

Value Effect and Momentum Effect in the Korean Stock Market

Purpose In this study, we analyzed the overall and consistent momentum phenomenon in the Korean stock market by constructing a portfolio that considered both the value effect and the momentum effect. In addition, we analyzed the significant performance of the momentum investment strategy using this portfolio. Design/Methodology/Approach First, we constructed a portfolio that considered both the value effect and the momentum effect. From 2010 to 2019, the stocks belonging to the securities market and the KOSDAQ market were classified into two groups, undervalued (PBR<1) and overvalued (PBR>1) based on the time of analysis (t). After that, Each group is subdivided into 10 portfolios according to the size of the monthly return. Next, we analyzed the returns of these portfolios based on Jegadeesh and Titman (1993)’s J/K strategy. Finally, we analyzed the significant performance of the momentum investment strategy(A strategy to sell stocks with low returns in the past and buy stocks with high returns in the past.) Findings First, we were able to confirm that there was a consistent momentum phenomenon in the Korean stock market. Second, we confirmed greater positive momentum effect in the winner’s portfolio, the shorter the rating period (J) and the longer the holding period (K). Third, we confirmed that when holding a long-term (k=6,9,12), a portfolio that considers both the value effect and the momentum effect can expect a higher rate of return. Finally, we confirmed that the momentum investment strategy using this portfolio has a significant excess return. Research Implications Our research can suggest new stock selection criteria for investors by constructing a portfolio that considers both value and momentum effects. In addition, our research can also suggest an effective trading strategy for buying stocks with high returns and selling stocks with low returns after analyzing the returns of the portfolio organized each month and it will lead investors to successful investments by measuring the rating period and holding period with significance