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

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      https://www.riss.kr/link?id=A60070173

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      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.
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      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 infor...

      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.

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      참고문헌 (Reference)

      1 김동회, "한국주식시장의 평균수익률과 B/M비율의 관계에 대한재검토" 2011

      2 김동회, "주식수익률의 다요인모형에 관한 연구" 4 (4): 69-91, 2005

      3 정정현, "배당수익률과 E/P 비율의 주식수익률 예측가능성에 관한 연구" 한국금융공학회 9 (9): 61-87, 2010

      4 Vuolteenaho, T., "What Drives Firm Level Stock Returns?" 57 (57): 233-264, 2002

      5 Lintner, J., "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" 47 (47): 13-37, 1965

      6 Banz, R. W., "The Relationship Between Return and Market Value of Common Stocks" 9 (9): 3-18, 1981

      7 Fama, E. F., "The Cross-section of Expected Stock Returns" 47 (47): 427-465, 1992

      8 Fama, E. F., "Size and Book-to-Market Factors in Earnings and Returns" 50 (50): 131-155, 1995

      9 Pontiff, J., "Share Issuance and Cross-sectional Returns" 63 : 921-945, 2008

      10 Fama, E. F., "Risk, Return, and Equilibrium: Empirical Tests" 81 : 607-636, 1973

      1 김동회, "한국주식시장의 평균수익률과 B/M비율의 관계에 대한재검토" 2011

      2 김동회, "주식수익률의 다요인모형에 관한 연구" 4 (4): 69-91, 2005

      3 정정현, "배당수익률과 E/P 비율의 주식수익률 예측가능성에 관한 연구" 한국금융공학회 9 (9): 61-87, 2010

      4 Vuolteenaho, T., "What Drives Firm Level Stock Returns?" 57 (57): 233-264, 2002

      5 Lintner, J., "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" 47 (47): 13-37, 1965

      6 Banz, R. W., "The Relationship Between Return and Market Value of Common Stocks" 9 (9): 3-18, 1981

      7 Fama, E. F., "The Cross-section of Expected Stock Returns" 47 (47): 427-465, 1992

      8 Fama, E. F., "Size and Book-to-Market Factors in Earnings and Returns" 50 (50): 131-155, 1995

      9 Pontiff, J., "Share Issuance and Cross-sectional Returns" 63 : 921-945, 2008

      10 Fama, E. F., "Risk, Return, and Equilibrium: Empirical Tests" 81 : 607-636, 1973

      11 Jegadeesh, N., "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" 48 (48): 65-91, 1993

      12 Rosenberg, B., "Persuasive Evidence of Market Inefficiency" 11 : 9-17, 1985

      13 Fama, E. F., "Multifactor Explanations of Asset Pricing Anomalies" 51 (51): 55-84, 1996

      14 Daniel, K. D., "Market Reactions to Tangible and Intangible Information" 61 : 1605-1643, 2006

      15 Daniel, K. D., "Investor Psychology and Security Market Under- and Overreactions" 53 : 1839-1886, 1998

      16 Basu, S., "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis" 12 (12): 129-156, 1977

      17 Fama, E. F., "Industry Costs of Equity" 43 : 153-193, 1997

      18 DeBondt, W. F. M., "Further Evidence on Investor Overreaction and Stock Market Seasonality" 42 (42): 557-581, 1987

      19 Chan, L. K. C., "Fundamental and Stock Return in Japan" 46 (46): 1739-1764, 1991

      20 Daniel, K. D., "Evidence on The Characteristics of Cross-sectional Variation in Common Stock Returns" 52 : 1-33, 1997

      21 DeBondt, W. F. M., "Does the Stock Market Overreact?" 40 (40): 793-805, 1985

      22 Sloan, R. G., "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?" 71 : 289-315, 1996

      23 Fama, E. F., "Dissecting Anomalies" 63 (63): 1653-1678, 2008

      24 Bhandari, L. C., "Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence" 43 (43): 507-528, 1988

      25 Lakonishok, J., "Contrarian Investment, Extrapolation, and Risk" 49 : 1541-1578, 1994

      26 Haugen, R. A., "Commonality in the Determinants of Expected Stock Returns" 41 : 401-439, 1996

      27 Fama, E. F., "Common Risk Factors in the Returns on Stocks and Bonds" 33 (33): 3-56, 1993

      28 Sharpe, W. F., "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk" 19 (19): 425-442, 1964

      29 Fama, E. F., "Average Returns, B/M, and Share Issues" 63 (63): 2971-2995, 2008

      30 Fairfield, P. M., "Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing" 78 : 353-371, 2003

      31 Barberis, N., "A Model of Investor Sentiment" 49 : 307-343, 1998

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
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      2014-03-25 학술지명변경 외국어명 : Korean Association of Financial Engineering -> Korean Journal of Financial Engineering KCI등재
      2014-03-17 학회명변경 영문명 : The Korean Journal Of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2014-03-14 학술지명변경 외국어명 : The Korean Journal of Financial Engineering -> Korean Association of Financial Engineering KCI등재
      2013-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2010-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2009-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.38 0.38 0.55
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.61 0.66 1.029 0
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