PER, PBR, Firm Size 기준에 의한 스타일별 포트폴리오 투자성과 비교연구

Abstract

This journal revised whether the excess earnings could be gained when managed through fundamental analysis by stock. Stocks listed on the Korean Securities Exchange market at the end of July, 2001 were grouped into 8 portfolios according to its PER, PBR and market cap and its earnings from the beginning of 1991 to 2001 June was calculated. Among various methods, investment returns were calculated by the Buy-and Hold Return after investment that turned out to be meaningful by recent research result. This method calculates excess earnings gained after investing same amount in each n stocks at the time of purchase and holding the portfolio without any transaction since then. Therefore return could be higher than other portfolios as long as the investment strategy is useful. After analyzing the actual proof, it could be known that the portfolio composed of small-cap stocks with low PER and PBR made relatively stable earnings vs portfolios with other kinds. Moreover, portfolio management according to certain style could entail excess return without taking additional risk.