earticle

영어

Following Fama and French’s (1992, 1993) findings that firm characteristics or factors such as size and value have forecasting power for excess returns, academics and the financial industry are investigating and investing in styles of value and growth. The literature examining the value premium (the excess performance of value portfolio over growth portfolio) typically focuses on long-term performances in international stock markets, including the Korean stock market. In addition, according to the literature, participants such as institutional investors avoid investing in growth stocks. However, many empirical studies indicate that the value premium is related to the current state of the economy. They argue that value premiums are time-variant. Therefore, we analyze the existence of value premiums and the performance of style allocation strategies across different regimes in Korean stock market. We use style indices data for the Korean stock market developed by three indices companies, FnGuide, WISEfn, and MSCI, comprising three value indices and three growth indices from 2001 to 2014. Although value indices outperform growth indices for three indices companies during the total sample period, the outperforming of styles is not stable over time. That is, the sign and degree of the value premium varies each year. This time-varying value premium suggests that style allocation strategies to spread investment across value and growth stocks outperform strategies to invest only in value stocks. Thus, to construct a dynamic style allocation strategy based on stock market regimes, we identify two regimes using the regime-switching model introduced by Hamilton (1989, 1990) using the KOSPI index. The first regime based on the KOSPI index has high average returns and low volatility—this is the expansion regime or low-volatility regime. The second regime has low average returns and far high volatility—this is the recession regime or high- volatility regime. According to the result from the regression analysis regarding value and growth indices, growth stocks strongly outperform value stocks in low-volatility regimes. Our strategy is to adjust the weight between the value portfolio and the growth portfolio constructed on different regimes to show better performance over value-only investment strategy. In particular, the performance of dynamic style allocation strategy is best when we use the value index and growth index of MSCI. This result comes from the better performance of growth indices over value indices during the expansion regime (or low-volatility regime). The style allocation strategy that adjust the weights of growth stocks and value stocks of MSCI in different regimes or according to the probabilities of regimes shows an annual average return of 13.86% (in-sample) and 14.09% (out-of-sample), while the strategy to invest only in value stocks of MSCI earns an annual average return of 12.86%. That is, the dynamic style allocation strategy using MSCI indices produces 1.0% (in sample) and 1.23% (out-of- sample) more per annum than the value-only investment using the MSCI value index. Furthermore, for all three companies, the style allocation strategy outperforms the value-only investment over a considerable period. In particular, it is important to properly adjust the portfolio weights of styles in the large-value premium period. The style allocation that profits promoted in 2004 and 2012 as styles are rotated appropriately according to the regimes. In 2008 and 2014, when the returns on growth stocks were relatively high, the style allocation profits developed due to the increasing investment weight of the growth index. Note that the style allocation performance using MSCI indices is best and has the strongest correlation across the three indices companies. We expect that the style allocation can produce higher returns when we use data that have clearer characteristics or style, such as pure-value- and pure-growth- oriented funds. In conclusion, we identify the time-varying value premium in the Korean stock market. A proper style allocation strategy based on the economic situation or market conditions can generate better performance than investments that exclude growth stocks.

한국어

본 논문에서는 국내 주식시장에서 단순히 가치주 포트폴리오만 투자하는 전략보다 국면전환모형에 따라 가치주와 성장주의 비중을 조정하는 투자전략이 더 좋은 성과를 나타낼 수 있는가를 알아보았다. 이를 위해 2001년부터 2014년까지 3개 지수개발업체가 개발한 가치주지수와 성장주지수의 일별수익률을 사용하여 분석하였다. 그 결과 국면전환모형에 따른 동태적 스타일 배분 투자전략이 가치주에만 투자하는 전략보다 우월한 성과를 낼 수 있다는 것을 확인하였다. 일반적으로 가치주가 성장주에 비해 우월한 성과를 보이는 것으로 알려져 있지만 국면전환모형에 따른 호황기(또는 저변동성국면)에는 성장주의 수익이 가치주를 능가하는 것으로 나타나 이런 국면에서 성장주 비중을 높이면 성과를 개선할 수 있음을 보였다. 가장 성과가 좋았던 MSCI가 개발한 지수를 사용할 경우, 가치주에만 투자하면 분석기간 연평균 수익률이 12.86%인데 반해, 동태적 스타일 배분전략을 사용할 경우에는 표본내 분석에서 수익률이 13.86%로 증가하는 것으로 나타났다. 표본외 예측분석에서도 비슷한 결과를 보이며, MSCI 지수 이용 시 동태적 스타일 배분전략의 수익률은 14.09%이다.