경기순환국면별 산업의 주가수익률

The purpose of this study is to investigate the relationship between business cycle and industry stock return. Each industry stock returns and risk adjusted returns which are measured by market adjusted return and Jenesn’s α, were analyzed whether the industry returns were different across the business cycle. The result of this study can be used for confirming the conventional wisdom about the sector rotation strategies. The business cycle was divided into 5 stages according to the Korean business cycles which had been reported by the Bank of Korea. Each industry stock return and risk adjusted returns were compared across business cycle stages. The results of this study are as follows：First, though in many industries the stock returns were different across the business cycle stages, the difference came from the high return of stage Ⅰ. Second, the market risk(β) of cyclical stock which is suggested to invest during expansion period by the conventional wisdom, was higher then that of non－cyclical stock. Third, the risk adjusted returns which were measured by market adjusted return and Jensen’s α were not different across the business cycle stages. As a result, the stock returns and risk adjusted returns of each industry were not different across the business cycle stages. This results show that the conventional wisdom about the sector rotation across the business cycle may not be a good investment strategy.