하락시장에서의 상관계수와 기대수익률

This study conducted empirical tests on the effectiveness of the portfolio strategy based on correlation coefficient information. The objective of this study is to demonstrate that a part of the factor structure in stock returns reflects variations in correlation coefficient information in the declining Korean stock market.Data was collected from the KSRI, KIS-FAS, and ECOS to construct portfolios of stocks sorted by various characteristics of returns. This study's attention to ordinary common stocks listed on Korea stock exchange(KSE) for the period covering January 1st, 1981 to December 31st, 2003. Initially, 511 companies were chosen.According to the Ang et al.(2001), stocks with high correlation with the market have high expected return in declining U.S. stock market. They also suggest that downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and rising markets. Following the Ang et al. methodology, this study tries to test the effectiveness of correlation information in the declining Korean stock market.This paper shows that stocks with low correlation with the market have high expected return in falling Korean stock market. Furthermore, controlling for the market beta, and the size effect, it is found that the performance of investment strategy based on the correlation information is significant in the declining Korean stock market.