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

한국 주식시장에서 성장주와 가치주의 초과수익률 비교 연구

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

Abstract

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.

Keywords

growth stock;value stock;efficient market hypothesis;excess returns

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