{"title":"Alternative Alpha Seeking Strategy with EVA Long‐Short: Evidence from the Korean Stock Market*","authors":"Hyoung‐Goo Kang, Hyunyul Lee, Byungsuk Han","doi":"10.1111/ajfs.12492","DOIUrl":null,"url":null,"abstract":"Economic value added (EVA) is a useful concept for creating investment strategies for fund managers and scholars. This paper analyzes an alpha‐seeking strategy with EVA. We use a long‐short portfolio with high EVA and low EVA stocks. Using the normalized EVA, we construct a portfolio from the first to the fifth quintile and test the effectiveness of the strategy with the Carhart four‐factor model. We find the following: (1) The portfolios with high EVA stocks outperform those with low ones; (2) EVA‐based long‐short portfolio generates 6.5% return per annum. This paper provides an empirical basis for launching a new equity fund with EVA in Korea. This strategy suggestion could also be extended to introduce new EVA investment strategies in other global markets.","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1111/ajfs.12492","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
Abstract
Economic value added (EVA) is a useful concept for creating investment strategies for fund managers and scholars. This paper analyzes an alpha‐seeking strategy with EVA. We use a long‐short portfolio with high EVA and low EVA stocks. Using the normalized EVA, we construct a portfolio from the first to the fifth quintile and test the effectiveness of the strategy with the Carhart four‐factor model. We find the following: (1) The portfolios with high EVA stocks outperform those with low ones; (2) EVA‐based long‐short portfolio generates 6.5% return per annum. This paper provides an empirical basis for launching a new equity fund with EVA in Korea. This strategy suggestion could also be extended to introduce new EVA investment strategies in other global markets.
经济增加值(EVA)是基金经理和学者制定投资策略的一个有用概念。本文分析了一种利用 EVA 追求阿尔法的策略。我们使用一个包含高 EVA 和低 EVA 股票的多空投资组合。利用归一化 EVA,我们构建了从第一到第五五分位数的投资组合,并用 Carhart 四因子模型检验了该策略的有效性。我们发现以下几点:(1) EVA 高的股票投资组合优于 EVA 低的股票投资组合;(2) 基于 EVA 的多空投资组合每年产生 6.5% 的回报。本文为在韩国推出以 EVA 为基础的新股票基金提供了实证依据。这一策略建议也可扩展到在全球其他市场推出新的 EVA 投资策略。
期刊介绍:
Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.