비기대EVA의 주가설명력에 관한 연구
The Effect of the Unexpected EVA on the Stock Price Returns
김명균(국민대학교); 김응한(미시간대학교); 이재경(국민대학교)
16권 5호, 1313~1331쪽
초록
The information contents of the EVA estimated for 570 non-financial firms in the Korea Stock Exchanges from 1992 to 1996 are analyzed and compared with accounting profits. According to empirical results, the EVA explained stock returns much better than other performance measures - net income, ROE, sales, and total assets. The unexpected EVA has higher correlation with excess returns than the unexpected accounting profits. Futhermore, the multiple regression shows that the coefficient of the unexpected EVA is significantly positive while the coefficient of the unexpected accounting profit is negative, when both the unanticipated EVA and the unanticipated accounting profit are included in the regression as independent variables. These results support the argument that the EVA is a more precise measure for the profitability than the accounting profit.
Abstract
The information contents of the EVA estimated for 570 non-financial firms in the Korea Stock Exchanges from 1992 to 1996 are analyzed and compared with accounting profits. According to empirical results, the EVA explained stock returns much better than other performance measures - net income, ROE, sales, and total assets. The unexpected EVA has higher correlation with excess returns than the unexpected accounting profits. Futhermore, the multiple regression shows that the coefficient of the unexpected EVA is significantly positive while the coefficient of the unexpected accounting profit is negative, when both the unanticipated EVA and the unanticipated accounting profit are included in the regression as independent variables. These results support the argument that the EVA is a more precise measure for the profitability than the accounting profit.
- 발행기관:
- 대한경영학회
- 분류:
- 경영학