주식수익률과 배당성장률에 대한 배당수익률의 예측력: 한국, 중국, 대만 주식시장의 비교

As Cochrane (2001, 2008) stresses, stock returns are predictable by the dividend yield while dividend growth rates are not for the U.S. market. This paper examines predictability of stock returns and dividend growth rates by using dividend yield in Korea, China, and Taiwan. Empirical findings are summarized as follows: First, only market returns can be predicted by the dividend yield in Korea. However, the predictability of dividend growth rate is found for small stocks. Second, for China, we obtain the results as for Korea, namely predictability of market returns and unpredictability of dividend growth rates. In contrast, dividend growth rates are predictable for small or low profitability firms. Finally, for Taiwan, the dividend yield plays no role in explaining future market returns and dividend growth rates, whereas dividend yield can predict future dividend growth for small or value stocks. The contributions of this paper is that we examine the predictability of stock returns and dividend growth rates by using firm characteristic-based portfolios, and compare the empirical results between Korea, China, and Taiwan that have different financial environments.