S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Decomposing the Book-to-market
장부가치 대 시장가치 요인의 분해분석
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- Book-to-market; Retained earnings; Contributed capital; Accumulated other comprehensive income; earnings-to-price; Value premium; Mispricing
- 학위논문 (석사)-- 서울대학교 대학원 : 경영대학 경영학과, 2018. 2. 최혁.
- 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.