การลงทุนแบบสไตล์โดยใช้การเติบโตของสินทรัพย์

Abstract

Objective of this study is to study Style Investing that used asset growth (AG) and market value of common stocks (Size) created a 5x5 AG-Size style portfolios and used the past 6- and 12- month average return of 5x5 AG-Size style portfolios to predict the future return of individual stocks inside that portfolios. Then, use this relationship applied to the momentum strategy to measure how much the benefits that investors can earn. The result shows that the past 6- and 12-month average return of 5x5 AG-Size style portfolios are jointly predict future 6- and 12-month individual stock returns significantly and have a negative relation. While the explanatory power of the past average return of Size-BM style portfolios totally disappears. Moreover, if there are not past individual stock return variable in the models, the past average return of AG-Size style portfolios remains predictability power in 6- and 12-month future return of individual stocks. Since the relationship between the past average return of AG-Size style portfolios and future return of individual stocks are opposite direction and momentum profit cannot be generated based on these assumptions. However, investors can use the contrarian strategy (buy loser and sell winner portfolio) to generate significantly raw returns up to 31% in 12 month holding periods.