유형 및 무형의 정보와 미래의 수익률과의 관계

In logs, the change in book-to-market ratio can be expressed as the difference between the change in the total book value of equity and the change in the total market value of equity. This paper shows that the change in the total book value of equity is decomposed into three components such as the return on equity, the dividend yield, and the growth rate in net share issuances, which are measured by the book value per share, as the change in the total market value of equity is decomposed into three components such as the realized return, the dividend yield, and the net share issuance measure. This paper examines the relationship between the future return and the return on equity, the intangible component of realized return, the dividend yield, or the net share issuance measure. Primary empirical result in this paper is that a stock's future return is unrelated to tangible information measured by the return on equity, but it is strongly negatively related to the intangible return, the component of its realized return that is orthogonal to the firm's past performance. Secondary result is that in the all-but-microcaps stocks, future return is also strongly negatively related to the net share issuance measure, and strongly positively related to the dividend yield. This paper also shows that the exact control for cash dividends and net issuances is important in cross-sectional regressions that relate future returns to tangible information measured by the book return, the change in market value per split-adjusted share, or the change in total book value of equity.