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한국 주식시장에서 기대수익률의 결정요인에 관한 연구

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Alternative Title
The Cross-Section of Expected Stock Returns : Evidence from the Korean Stock Market
Abstract
본 연구는 국내 주식시장에서 기업의 기대수익률을 설명할 수 있는 결정요인에 관해 실증적 분석을 하는 데 연구목적을 두고 있다. 이러한 연구목적을 위해 설명변수로 규모, 장부-시장가치비율, 위험, 주가수익비율, 주가수익비율가변수, 배당수익률, 과거주식수익률, 판매액-주가비율의 8개 대체적 변수를 이용하고, 독립변수로는 년별 주식수익률, 1월 주식수익률, 그리고 2-12월 주식수익률을 이용하여 횡단적 다중회귀분석을 하였다.

년별 주식수익률에 대해 횡단적 회귀분석 결과는 모든 설명변수가 가설적 명제와 일치하는 유의적인 통계치를 보였다 1월 주식수익률에 대한 회귀분석에서 위험과 과거주식수익률이 유의적 설명변수로 나타났고, 과거주식수익률의 모수추정치는 반전현상을 보였다. 반면, 2-12월 주식수익률에 대한 회귀분석에서는 규모, 장부-시장가치비율, 주가수익비율, 그리고 배당수익률이 유의적 설명변수로 나타났다. 이러한 대립적 분석결과는 과잉반응이 1월에 발생했으며, 주식수익률의 설명하는 데 계절적 요인이 추가적 설명변수임을 의미한다. 우리 나라 주식시장에서는 효율적 시장가설과 과잉반응가설에서 제시하는 명제가 부분적으로 함께 성립한다고 해석된다.
This paper examines the relation between stock returns, measures of risk, and several financial characteristics, including firm size, book-to-market equity ratio, dividend yield, earning-to-price ratio, earning-to-price dummy, sales-to-price ratio, and prior returns. Because of seasonal patterns detected in prior returns, we explore relations in January versus the remainder of the year.

All explanatory variables appear to be significant for annual returns. Risk and prior returns are shown to be significant for January but insignificant for February through December. Returns and size, book-to-market equity ratio, earning-to-price and dividend-to-price are significantly related in February through December. In particular, prior returns are significantly negatively related with returns in January. Such a significant negative reversal in January is consistent with overreaction, which is not subsumed by size, book-to-market equity ratio and risk.
This paper examines the relation between stock returns, measures of risk, and several financial characteristics, including firm size, book-to-market equity ratio, dividend yield, earning-to-price ratio, earning-to-price dummy, sales-to-price ratio, and prior returns. Because of seasonal patterns detected in prior returns, we explore relations in January versus the remainder of the year.

All explanatory variables appear to be significant for annual returns. Risk and prior returns are shown to be significant for January but insignificant for February through December. Returns and size, book-to-market equity ratio, earning-to-price and dividend-to-price are significantly related in February through December. In particular, prior returns are significantly negatively related with returns in January. Such a significant negative reversal in January is consistent with overreaction, which is not subsumed by size, book-to-market equity ratio and risk.
Author(s)
유범준
Issued Date
2000
Type
Research Laboratory
URI
https://oak.ulsan.ac.kr/handle/2021.oak/3660
http://ulsan.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000002025039
Alternative Author(s)
Yu, Beom-Joon
Publisher
경영학연구논문집
Language
kor
Rights
울산대학교 저작물은 저작권에 의해 보호받습니다.
Citation Volume
7
Citation Number
2
Citation Start Page
1
Citation End Page
23
Appears in Collections:
Research Laboratory > Journal of management
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