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http://dx.doi.org/10.15207/JKCS.2018.9.7.213

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

Koh, Seunghee (Dept. of Business Admin. and Economics and Business Research Center, Sookmyung Women's University)
Publication Information
Journal of the Korea Convergence Society / v.9, no.7, 2018 , pp. 213-222 More about this Journal
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;
Citations & Related Records
Times Cited By KSCI : 8  (Citation Analysis)
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