요구성장률과 역행투자전략 = Required Growth Rate and Contrarian Strategy

다국어 초록 (Multilingual Abstract)

This study estimated the required growth rate that justifies the current stock price using absolute valuation models. We evaluated the performance of contrarian investment strategy based on the estimated required growth rate for KOSPI market. Empirical results are summarized as follows.
First, we constructed zero cost portfolio by short selling stocks with high required growth rate and buying stocks with low required growth rate. Market excess return (Jensen’s alpha) of these portfolios were distributed between 0.6% and 1.4%. Second, from panel regression we found that the difference between required growth rate and realized growth rate increases with the required growth rate. This implies that the excess return of contrarian strategy is due to naive investor’s extrapolation about the growth rate of growth firm. Third, from cross sectional regression we found that required growth rate had positive coefficients with stock return. This implies that market investors required additional risk premium for stocks with high required growth rate. Fourth, contrarian portfolio based on the required growth rate showed performance similar to the portfolio based on the relative valuation index like PER.
Concludingly, naive investor’s excessive expectation for growth stocks caused the overvaluation of stock with high required growth rate. As the result of it, abnormal return of contrarian strategy was found as growth stocks with high required growth rate failed to satisfy the expectation of these investors. Required growth rate reflects market’s expectation for growth potential of individual firm. Therefore, we suggest that required growth rate be used as the alternative index that segregates growth stock and value stock.

국문 초록 (Abstract)

본 연구는 시장 주가를 정당화하는 절대가치 지표의 요구성장률(required growth rate)을 추정한후 이를 이용한 역행 투자 전략(contrarian strategy)의 성과를 분석하였다. 실증 결과 및 해석은 다음과같다.
첫째, Fama and French(1992)의 방법에 따라 절대가치 모형별 요구성장률이 높은 종목을 공매하여요구성장률이 낮은 종목을 매입하는 무비용 포트폴리오의 성과를 추정한 결과 모형 전체적으로평균수익률이 0.4～1.3%, 시장지수 대비 초과 성과(Jensen’s alpha)가 0.6～1.4%, Fama and French (1993) 모형 대비 초과 성과가 0.1～0.7% 대를 발견하였다. 둘째, 패널 회귀 분석 결과 요구성장률이클수록 실현성장률과의 차이가 증가하였으며 이는 정기 재무제표의 공시 시점을 기준으로 요구성장률이높을수록 과대 추정되는 경향이 있다는 것을 시사한다. 그 결과 실현성장률이 시장의 요구성장률에미치지 못하여 주가가 재조정되는 과정에서 역행 투자 전략의 초과 성과가 발생하였다고 판단된다.
셋째, 요구성장률의 주가 설명력을 분석한 결과 일부 절대가치 지표의 요구성장률이 유의한 양의계수를 발견하였다. 이는 해당 지표의 요구성장률이 커짐에 따라 미실현 위험이 증가하고 시장이이에 대해 추가적 위험 보상을 요구한 결과로 해석할 수 있다

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