價値 프리미엄에 대한 收益率 豫測 可能性 측면의 연구

The value premium in equity is detected more strongly in Korea than in the United States,which makes the Korean stock market a fertile ground for empirical research regarding valuepremium. This study compares the results based on stock market data of these two countries,and tries a new approach to understanding the value premium phenomenon. We argue that theway we interpret return predictability, rather than the verdict whether the market is rational ornot, is more appropriate in understanding value premium. When a stable relationship betweendividend and book value is assumed to be maintained, value premiums found by the book-to-marketratios could be the result from the predictability of dividend/price ratios. Therefore, we many needtime-serial predictability of dividend/price ratios to detect value premium which is a cross-sectionalphenomenon. We interpret predictability based on a predictive regression with dividend/price ratioas a independent variable. The empirical results show that portfolios classified by both size andbook-to-market ratio are sensitive to the dividend, and that the dividend-price ratio has a strongpredictability for returns of value stocks. Our stusy has an advantage of looking at the combiningeffects of value premium and the predictability of dividend-price ratio..