After the opening of Korean stock market to foreign investors, we have experienced the changes of investment decision pattern. Especially, Investors regard the intrinsic value of stocks as an important investment indicator. The PER, PBR, and the PSR are the typical investment indicators that are used in practice, But they have some limitations and problems in reality. Also Firm-Size effects have been studied in explaining anomalies. The purpose of this study is to examine the investment of those(PER, PBR, PSR)portfolios through some empirical analyses and to evaluate the performance of each portfolio by realized returns and to know which investment indicators are useful in the Korean Stock Market.
The empirical results of this study are as follows;
1) The low PER Portfolios did not show the good performance result compared with the high PER portfolios.
2) The low PBR portfolios produced a higher return than the high PBR portfolios.
3) The low PSR portfolios did not show the good performance result compared with the high PSR portfolios.
4) The small firm-size portfolios produced a higher return than the big firm-size portfolios.
5) Comprising the PBR and the firm-size portfolios to evaluate the performance, the low PBR portfolios and the small firm-size portfolios show the good performance result.
In conclusion, The PBR and the Firm-Size are the significant variables in explaining the excess return of stocks. The PBR and Firm-Size effects were existed in Korean Stock Market during the period of study.
