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The value of a two-dimensional value investment strategy: Evidence from the korean stock market

Title
The value of a two-dimensional value investment strategy: Evidence from the korean stock market
Authors
Cho S.-S.Shin J.-S.Byun J.
Ewha Authors
변진호신정순
SCOPUS Author ID
변진호scopus; 신정순scopus
Issue Date
2012
Journal Title
Emerging Markets Finance and Trade
ISSN
1540-496XJCR Link
Citation
vol. 48, no. SUPPL. 2, pp. 58 - 81
Indexed
SSCI; SCOPUS WOS scopus
Abstract
This paper examines whether the two-dimensional value investment strategy that incorporates both the value investment strategy and financial statement information can earn excess returns in the Korean stock market. The two-dimensional value investment strategy yields a return of 27.9 percent, which is 8.97 percent higher than the return provided by the simple value investment strategy. Thus, the result shows that the two-dimensional strategy is not only effective in the U. S. stock market, but also effective in emerging markets such as the Korean stock market. Furthermore, the two-dimensional value investment strategy shows that the higher return during a bear market demonstrates the strategy's protective ability.Copyright © 2012 M.E. Sharpe, Inc. All rights reserved.
DOI
10.2753/REE1540-496X48S204
Appears in Collections:
경영대학 > 경영학전공 > Journal papers
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