가치주와 성장주에 대한 기본분석 : Fundamental Analysis to Value and Glamour Stocks

다국어 초록 (Multilingual Abstract)

A pronounced body of literature reported a positive correlation between fundamental accounting information and future stock returns. Specially, Piotroski(2000) and Mohanram(2005) demonstrated that two composite scores (F-SCORE and G-SCORE) based on fundamental accounting information for value and glamour firms, respectively, predict future stock returns. Piotroski(2000) reported that his composite score is appropriate for value firms, while Mohanram(2005) argued that his composite score is suitable for growth firms. They examined their models in the US stock market for value and glamour stocks. However, whether the same model works well in other stock market remains an empirical question.
In comparison to well-developed capital markets, the emerging market may not be efficient in terms of reflecting value-relevant accounting information to stock prices. Thus, fundamental analysis strategy may be more successful in terms of separating winners from losers in those markets. In this context, this study applies the fundamental analysis to value and glamour stocks in Korean stock market, to find out whether the accounting information can be useful in determining mispriced stocks.
Empirical results suggest that fundamental analysis is useful in terms of separating winners from losers in each of value and glamour stocks. Specifically, the investments strategy that takes long positions in expected winners (high score value and glamour stocks) and short positions in expected losers (low score value and glamour stocks) generates a 12.4% abnormal returns.
The empirical results of this study contribute to the literatures of the usefulness of historical accounting information in predicting future stock returns. This study, consistent with Piotroski(2000) and Mohanram(2005), shows that the historical accounting information can play an important role in detecting mispriced stocks.

목차 (Table of Contents)

• 1. INTRODUCTION 1
• 1.1. Motivation 1
• 1.2. Objectives and Scope of the Study 3
• 2. LITERATURE REVIEW 7
• 2.1. The Book-to-Market Effect 7
• 2.2. Value and Glamour Stocks 11
• 2.3. Fundamental Analysis 13
• 3. RESEARCH DESIGN 20
• 3.1. Research Model 20
• 3.2. Composite Scores 21
• 3.2.1. Value-Oriented Fundamental Signals 23
• 3.2.2. Growth-Oriented Fundamental Signals 27
• 4. EMPIRICAL ANALYSIS 35
• 4.1. Data 35
• 4.1.1. Sample Selection 35
• 4.1.2. Calculation of Returns 36
• 4.2. Empirical Results 38
• 4.2.1. Descriptive Statistics 38
• 4.2.2. Returns to a Fundamental Analysis Strategy 39
• 4.2.3. Hedge Portfolio Returns 47
• 4.2.4. Portfolio Analysis by Size, Trading Volume and Share Price 55
• 4.2.5. Other Sources of Cross-Variation in Returns 59
• 4.2.6. Relationship between Fundamental Signals and Observed Returns 62
• 4.2.7. Effectiveness of Fundamental Analysis 63
• 5. CONCLUSION AND DISCUSSION 65
• REFERENCES 67
• ABSTRACT IN KOREAN 73
• ACKNOWLEDGEMENTS 77