주식수익률에 대한 BM비율효과 분석 = Expected Common Stock Returns and BM Factor

다국어 초록 (Multilingual Abstract)

The book-to-market ratio, BM, is a noisy measure of expected stock returns because BM also varies with expected cashflows. Our hypothesis is that the evolution of BM itself, in terms of past changes in book equity and price, contains independent information about expected cashflows that can enhance estimates of expected returns. We examine whether the origins of BM(t), in terms of the more distant changes in price and book equity summarized by BM(t)-k, past change in price and book equity, and past share issues can be used to provide better estimates of expected returns than BM(t) alone. According to analysis, the following results can be obtained. Firstly, for total sample stocks, we can not find reliable evidence that BM can improve estimates of expected returns and changes in book equity have marginal forecast power. Secondly, Big stocks produce even stronger evidence that forecasting returns with BM(t)-k enhances estimates of expected returns but that the other components of BM(t) does not enhance the estimates of expected returns. For ABM stocks, we find that BM(t)-k enhances estimates of expected returns and forecast power is improved by changes in price.

참고문헌 (Reference)

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