한국융합학회논문지 (Journal of the Korea Convergence Society)

  • 제9권7호
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  • Pages.213-222
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  • 2018
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  • 2233-4890(pISSN)
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  • 2713-6353(eISSN)
한국융합학회 (Korea Convergence Society)
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한국 주식시장에서 성장주와 가치주의 초과수익률 비교 연구

A Comparative Study on the Excess Returns of Growth Stocks and Value Stocks in the Korean Stock Market

  • 고승의 (숙명여자대학교 경영학부, 경제경영연구소)
  • Koh, Seunghee (Dept. of Business Admin. and Economics and Business Research Center, Sookmyung Women's University)
  • 투고 : 2018.04.06
  • 심사 : 2018.07.20
  • 발행 : 2018.07.28
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초록

본 연구는 외환위기 이후인 2001년~2016년의 기간 동안 코스피 또는 코스닥 시장에 상장된 기업을 분석 대상으로 하여 성장주와 가치주의 초과수익률을 비교 분석했다. 최근 성장주로 불리는 일부 정보기술(IT)주와 의약 바이오주가 가치주에 비해 높은 초과수익률을 보이고 있다. 외국의 선행연구는 성장주가 평균적으로 음(-)의 초과수익률을 나타내며, 초과수익률의 분포가 정규분포가 아닌 오른쪽으로 긴 꼬리를 지닌 양(+)의 왜도(skewness)를 갖는 형태로 보고되고 있다. 본 연구의 실증분석 결과도 이러한 선행연구의 결과와 일관된다. 흥미로운 점은 성장주와 가치주의 초과수익률의 시계열이 서로 역(-)의 상관관계를 갖는 것으로 관찰되었다. 또한 성장주 또는 가치주에 관계없이 PEG(=PER/ROE) 지표가 우량할수록 투자수익률이 높았다.

This study attempts to empirically investigate the excess returns of growth stocks in the Korean stock market comparing with those of value stocks. Recently, a few of IT and bio-pharmaceutical stocks with high growth potentials have accomplished dramatically high returns in the Korean stock market. Whereas, important prior studies in this line have observed negative excess returns from investment of growth stocks on average. And a few studies have reported that the distribution of excess returns from growth stocks is not normal but positively skewed. Empirical results of the present study are consistent with those of prior studies. Interestingly, the present study observed serial inverse correlation between excess returns of growth stocks and value stocks. Also, regardless of growth or value stocks, the stocks with higher PEG(=PER/ROE) showed higher excess returns.

키워드

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