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A Converging Approach on Investment Strategies, Past Financial Information, and Investors' Behavioral Bias in the Korean Stock Market

주식투자 전략, 과거 재무정보, 투자자의 행태편향에 대한 융합적 연구

  • Received : 2016.09.28
  • Accepted : 2016.12.20
  • Published : 2016.12.31

Abstract

This study attempts to empirically investigate if value strategy and momentum strategy could be improved by using past financial data such as ROE and PER in the Korean stock market. The study observes that both strategies which are refined by the portfolios consisting of companies with higher ROE/PER ratio show higher positive excessive returns than the traditional value strategy and momentum strategy. The study discusses that the excessive returns could be due to investors' behavioral biases such as conservatism, anchoring, confirmation, and herding by using convergent approach based on psychology theory. The results are not consistent with the efficient market hypothesis insisting investors' rational behavior.

Keywords

value strategy;momentum strategy;excess return;past financial data;investors' behavioral bias

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