본 논문은 경기변동에 따라 변모하는 기업들의 신용위험과 모멘텀 수익률의 관계를 살펴보고자 한다. 이를 위하여 본 논문은 신용등급별로 국내 기업들을 그룹화하고, 경기 상승기와 하강기에 각 그룹들이 나타내는 모멘텀 수익률 패턴을 검토하였다. 그 결과 투기등급 그룹이 경기 상승기에 강한 모멘텀(momentum) 수익률을 나타내고 경기 하강기에 강한 역행(contrarian) 수익률을 나타내고 있음을 확인하였다. 본 논문에서 발견한 신용등급별 그룹이 나타내는 모멘텀 수익률 패턴은 경기변동에 따른 기업들의 신용등급 변동 폭의 상대적 차이를 이용하여 부분적으로 설명된다. 또한 Fama-French 3요인 모형과 거시요인 모형을 이용하여 위험조정을 수행한 결과, 전반적으로 투기등급 주식그룹의 모멘텀 포트폴리오의 초과수익률이 투자등급 주식그룹에 비해 더 유의하게 나타나고 있음을 확인할 수 있었다. 그리고 이들 모형들에 대한 F-검정 결과, 경기변동과 밀접한 연관을 갖는 거시요인 모형이 모멘텀 초과수익률에 대한 설명력을 제공하는 것으로 나타났다. 이는 모멘텀 수익률이 경기변동에 따른 신용위험을 반영하고 있음을 추가적으로 확인해주는 결과이다. 한편 본 논문에서 발견한 모멘텀 수익률 패턴은 한국 주식시장에서 모멘텀 투자전략이 유효하지 않다는 기존 연구결과들을 부분적으로 설명해준다. 모멘텀 투자전략과 관련하여 경기 상승기의 모멘텀 수익률과 경기 하강기의 역행 수익률이 서로 상쇄된다는 점을 주의 깊게 고려할 필요가 있다. 이와 같은 실증분석 결과는 투자실무 분야에서 매매시점(market timing)과 자산배분(asset allocation)과 관련하여 적극적으로 활용할 수 있는 소재를 제공해준다.

This study investigates the relationship between momentum profits, credit ratings and business conditions in Korean stock market. For this purpose, we classify firms into two groups such as high-grade credit ratings and speculative-grade credit ratings and construct decile momentum portfolios with six month formation and six month holding period for each group. As a result, we recognize that there are large momentum payoffs during expansions for speculative-grade group. On the contrary, we also found large contrarian payoffs during recessions for the same group. On the other hand, we found only weak momentum payoffs for the investment grade stocks through expansions and recessions. We also found weak momentum payoffs for the whole stocks during expansions and we found no contrarian payoffs for the whole during recessions. In addition, we investigate the payoffs of the quintile momentum portfolios of each credit grade group over formation periods of 3, 6, 9, and 12 months and holding periods of 3, 6, 9, and 12 months. In these cases, the same patterns of momentum payoffs as that of decile momentum payoffs appear through different business cycles. These findings confirm the robustness of our empirical findings. We suggest that the payoff variation pattern of momentum portfolios of each credit group can be explained by the relative volatility of the credit ratings changes of the firms in each group along with ups and downs in the business cycle. Business cycles can affect individual entities in different ways that have impact on their credit worthiness. For example, a company with high-grade credit ratings may accumulate enough cash to cushion the risks along with different business conditions. As a result, there is relatively little rating change for the companies with high-grade credit ratings. On the other hand, a company with speculative-grade ratings may not accumulate such a cushion and has relatively larger vulnerability along with the business cycles. Therefore there is relatively large rating change for the entities with speculative-grade credit ratings. The larger variation in credit ratings in speculative-grade group partly explain the larger payoffs of momentum portfolio in this group. These results are partly consistent with existing literature such as Avramov et al. (2007). Fama-French 3 factor model cannot explain the momentum payoff differential across credit rating groups. Firm size and book-to-market ratio does not varies along with business conditions. In contrast, the macro economic factor model which reflects the credit risks variation along with business conditions partly explains the momentum payoffs. These findings provide empirical insights into the understanding the results of existing literature. The momentum profits during expansions and the contrarian profits during recession may be offset each other. These result may also have important implication in respect of market timing and asset allocation in Korean stock market.