earticle

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.