스타일 투자수익률의 계절적 주기성에 관한 연구 = A Study on the Style Return Seasonalityin Korea

다국어 초록 (Multilingual Abstract)

Investors group assets into different classes based on some similarity among them. For example, stocks can be categorized into broad classes such as small versus large stocks, value versus growth stocks, prior winners versus losers, or categorized by different industry sectors. The asset classes are called “styles” and the process allocating money among styles is called “style investing” and investors must consider styles because portfolio allocation among different styles is required by law. Much of academic literature has shown that certain styles outperform other styles in the long run. In particular, small-cap (value) stocks outperformed large-cap (growth) stocks historically. However, the relative performance between these styles is not stable over time. Chan et al., (2000), for example, show that large-cap (growth) stocks outperform small-cap (value) stocks in 13 years (8 years) out of their 29 year sample period from 1970 to 1998. Style based strategy can produce long periods of poor performance. Thus, style rotation strategy, switching from one style to another, could generate additional returns when we can forecast the relative performance between styles.
In this study, we examine seasonal patterns in the cross-section of expected returns on twelve style portfolios that we composed from daily return data for stocks listed in the Korean Stock Exchange (KRX). We find that style returns exhibit substantial variations across calendar months. For example, over the sample period of January 1982 to December 2013, in January the mean return of the Small/Neutral portfolio is 6.2 percent and that of the Big/Up portfolio is only 2.3 percent. In March, however, the mean return of the Small/Neutral portfolio is -0.6 percent and that of the Big/Up portfolio is 2.5 percent. Our finding is consistent with previous literature on seasonality in stock returns which suggests the outperformance of some style against another in a specific calendar month. For example, Keim (1983), Reinganum (1983), and Roll (1983) find that small-cap stocks outperform large-cap stocks in January. Branch (1977) and Dyl (1977) suggest that tax-loss selling creates a downward price pressure on loser stocks in December and a price rebound in January. Lakonishok, Shleifer, Thaler, and Vishny (1991) find that pension funds dump prior loser stocks at the end of every quarter. However, these studies explored only the turn-of-the-year period or the end of each quarter. Our finding shows that the seasonal pattern of the style returns is not limited to January or the end of each quarter. Small stocks perform poorly in August and the Big/Down portfolios beat the market in July.
We employed the style rotation strategy suggested by Choi(2014) using the seasonal patterns among style returns. We take the long positions of styles with good performance in a specific calendar month and the short positions of styles that have done poorly in the same calendar month. For example, we rank the twelve style portfolios according to their average returns during the previous five Januaries to construct a zero investment portfolio for the next January. We repeat this for each of twelve calendar months. The strategy yields profits across all calendar months except August. Specifically, the mean profit in January alone is 5.8 percent. Overall, our seasonal strategy yields economically and statistically significant profits of 14.2 percent per year. The possible source of the profit from our strategy is seasonal autocorrelation in style returns (predictability component) or cross-sectional variation (dispersion component) in mean style returns as suggested by Lo and MacKinlay (1990) and Conrad and Kaul (1998). The decomposition of the profit shows that the main source of the profit is the predictability component. The predictability component explains more than 90 percent of the profit in every calendar month.
In order to check the robustness of seasonal regularities in st...

국문 초록 (Abstract)

본 연구에서는 자산 배분의 중요한 기준점이 되는 스타일 포트폴리오 수익률의 계절적 주기성을 확인하고 이를 활용한 투자전략에 대해 알아보고자 한다. 이를 위해 1982년부터 2013년까지 기업 규모와 장부가치-시장가치 비율을 기준으로 여섯 개의 스타일 포트폴리오를 나누고 기업의 규모와 과거수익률을 기준으로 또 다른 여섯 개의 스타일 포트폴리오를 나누어 월별 수익률을 계산하였다. 그 결과 소형주로 구성된 포트폴리오는 잘 알려진 양(+)의 1월 효과뿐만 아니라 8월과 9월에 평균수익률보다 작은 음(-)의 계절적 효과가 있었다. 둘째, 횡단면적으로 스타일 포트폴리오의 수익률을 살펴본 결과 6월에 가장 작고 12월에 가장 큰 계절적 변동성의 패턴을 보여주었다. 이를 전략적으로 잘 활용할 수 있는지에 대해 조사한 결과 본 연구에서 제시한 무자본 스 타일 전환 투자전략은 연 평균 14.2%의 수익률을 내었다. 이러한 투자 수익률을 Lo and MacKinlay (1990)과 Conrad and Kaul (1998)의 방법에 따라 예측성 지수(predictability index)와 확산성지수(dispersion index)로 분해해본 결과 예측성 지수가 98.5% 가량의 투자수익률을 설명하는 것으로 분석되었다. 강건성 검증을 위해, 한국표준산업분류9차(대분류)에 따른 산업별 포트폴리오를 구성하여 무자본 산업 전환 투자전략 수익률을 구해 확인한 결과 연평균 23%에 달하는 수익을 얻었으며, 이러한 수익의 97% 이상은 예측성지수에 의해 설명되었다.

참고문헌 (Reference)

1 윤영섭, "한국주식시장에서의 주가변동 특성과 계절적 이례현상에 관한 연구" 한국증권학회 17 (17): 121-166, 1994

2 장영광, "한국주식시장에서 가치투자전략의투자성과와 그 원천" 한국증권학회 32 (32): 165-208, 2003

3 김태혁, "한국주식시장에 있어서반전거래전략과 계속거래전략의 경제적 유용성에 관한 비교연구" 14 (14): 73-111, 1997

4 오봉록, "펀드 특성과 성과에 관한 실증연구" 한국기업경영학회 18 (18): 21-40, 2011

5 고봉찬, "위험프레미엄과 상대적세력 투자전략의 수익성" 한국재무관리학회 14 (14): 1-21, 1997

6 안성연, "우리나라 증권시장에서주가수익률의 이상 현상에 관한 연구-1월효과를 중심으로" 한국기업경영학회 6 (6): 183-208, 1997

7 감형규, "모멘텀 효과를 이용한 투자전략의 성과에 관한 연구" 한국기업경영학회 18 (18): 265-278, 2011

8 김병준, "가치투자전략의 장기적 성과 분석: 한국의 12월 결산 거래소 상장법인을 대상으로" 한국증권학회 35 (35): 1-39, 2006

9 Lakonishok, J., "Window Dressing by Pension Fund Managers" 81 (81): 227-231, 1991

10 Lo, A. W., "When Are Contrarian Profits Due to Stock Market Overreaction?" 3 (3): 175-205, 1990

11 Roll, R., "Vas Ist Das? The Turn-of-the-Year Effect and the Return Premia of Small Firms" 9 : 18-28, 1983

12 Levis, M., "The Profitability of Style Rotation Strategies in the United Kingdom" (Fall) : 73-86, 1999

13 Reinganum, M. R., "The Anomalous Stock Market Behavior of Small Firms in January : Empirical Tests for Tax-Loss Selling Effects" 12 : 89-104, 1983

14 Asness, C. S., "Style Timing : Value versus Growth" 2000 : 50-60, 2000

15 Barberis, N., "Style Investing" 68 : 161-199, 2003

16 Lucas, A, "Stock Selection, Style Rotation, and Risk" 9 : 1-34, 2002

17 Keim, D. B., "Size-Related Anomalies and Stock Return Seasonality : Further Empirical Evidence" 12 : 13-32, 1983

18 Heston, S. L., "Seasonality in the Cross-section of Stock Returns" 87 (87): 418-445, 2008

19 Choi, H. S., "Seasonality Based Style Rotation Strategy in Major Stock Markets" 11 (11): 178-188, 2014

20 Carhart, M. M., "On Persistence in Mutual Fund Performance" 52 (52): 57-82, 1997

21 Chan, L. K. C., "New Paradigm or Same Old Hype in Equity Investing?" 56 (56): 23-36, 2000

22 Wang, K. Q., "Multifactor Evaluation of Style Rotation" 40 (40): 2005

23 Peng, L., "Investor Attention, Overconfidence, and Category Learning" 80 : 563-602, 2006

24 Jegadessh, N., "Evidence of Predictable Behavior of Security Returns" 45 (45): 881-898, 1990

25 Fama, E. F., "Common risk Factors in the Returns on Stocks and Bonds" 33 (33): 3-56, 1993

26 Dyl, E. A., "Capital Gains Taxation and the Year-end Stock Market Behavior" 32 (32): 165-175, 1977

27 Conrad, J., "An Anatomy of Trading Strategies" 11 (11): 489-519, 1998

28 Branch, B., "A Tax Loss Trading Rule" 50 : 198-207, 1977