장부가/시가 비율과 주식발행이 주식수익률에 미치는 영향에 대한 연구 -한국 주식시장에서의 실증분석-

We examine whether the origins of the B/M ratio, , in terms of past share issues, , past changes in price and book equity, and and the more distant changes in price and book equity summarized by can be used, in the Korean stock market, to provide better estimates of expected returns than alone. We use monthly data for listed firms on the Korean Stock Market Exchange from June 1987 to June 2005. We choice explanatory variable for firm size(MC), book-to-market ratio, net stock issue, and changes in book value and stock price. We divide all listed firms in Korean Stock Market into two groups, ABM stocks above the 20th percentile of market capitalization, Microcaps stocks below the 20th percentile of market capitalization. We investigate two hypothesis. First hypothesis is that the components of help disentangle the information in the ratio about expected cash flows and expected returns, to enhance estimates of expected returns. Second, Net share issues are a candidate to help information about expected cashflows to better estimate expected returns. Our finds are summarized as follows. First, the average regression coefficient of Book-to-Market ratio is efficient to predict estimates of expected returns. Second, for ABM group, the average regression slopes for , predict more powerful role in expected return estimates(k=12), and for Microcaps group the average regression slopes for , predict more powerful role in expected return estimates(k=12, 35, and 60) In contrast, is a powerful variable in estimates of expected returns for 1987 to 2005. So, We find that our empirical evidence is consistent with the hypothesis but as a limited.