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

Seong-Soon Cho, Jung-Soon Shin and Jinho Byun

Emerging Markets Finance and Trade, 2012, vol. 48, issue 0, 58-81

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.

Keywords: book-to-market ratio; FSCORE; glamor stocks; value investment; value stocks (search for similar items in EconPapers)
Date: 2012
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