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Decomposing the Book-to-market
장부가치 대 시장가치 요인의 분해분석

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Authors
원지수
Advisor
최혁
Major
경영대학 경영학과
Issue Date
2018-02
Publisher
서울대학교 대학원
Keywords
Book-to-marketRetained earningsContributed capitalAccumulated other comprehensive incomeearnings-to-priceValue premiumMispricing
Description
학위논문 (석사)-- 서울대학교 대학원 : 경영대학 경영학과, 2018. 2. 최혁.
Abstract
We explore the relation between book-to-market and stock returns by decomposing the ratio into balance sheet subcomponents: retained earnings, contributed capital and accumulated other comprehensive income. Taking account of the explicitly different natures of these subcomponents, we propose that they potentially contain independent information about stock returns. In 2001 to 2016 Korean stock market, we find that book-to-market as a whole predicts the cross-section of stock returns better than its subcomponents. Retained earnings-to-market has a positive relation with stock returns. Contributed capital-to-market and accumulated other comprehensive income-to-market do not seem to provide unique and valuable information about stock returns. Of the three subcomponents, only retained earnings-to-market subsumes (partially) book-to-market's return predictability. Lastly, both book-to-market and retained earnings-to-market fail to significantly absorb the return predictability of earnings-to-price.
Language
English
URI
http://hdl.handle.net/10371/141262
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College of Business Administration/Business School (경영대학/대학원)Dept. of Business Administration (경영학과)Theses (Master's Degree_경영학과)
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