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The Value of a Two-Dimensional Value Investment Strategy: Evidence from the Korean Stock Market

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  • Seong-Soon Cho
  • Jung-Soon Shin
  • Jinho Byun

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.

Suggested Citation

  • Seong-Soon Cho & Jung-Soon Shin & Jinho Byun, 2012. "The Value of a Two-Dimensional Value Investment Strategy: Evidence from the Korean Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 58-81, July.
    • Handle: RePEc:mes:emfitr:v:48:y:2012:i:0:p:58-81
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    Cited by:

    1. Chanhoo Song & Seung Hun Han, 2017. "Stock Market Reaction to Corporate Crime: Evidence from South Korea," Journal of Business Ethics, Springer, vol. 143(2), pages 323-351, June.

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