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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제15권 제1호
- 발행연도
- 2013.1
- 수록면
- 63 - 76 (14page)
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초록· 키워드
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This study criticizes the variance decomposition of stock returns yielded by the residual approach. In the residual approach, the dividend growth component is obtained as the residual after the future return component is estimated. This residual approach has two drawbacks. First, it is prone to understate the contribution of dividend growth component if dividend growth rates and discount rates move together. The second problem arises when stock price has a nonlinear relation with dividend. This paper compares the residual approach with the direct approach in which the dividend growth component is estimated directly from the dynamics of dividend. The results are as follows: In the direct approach, the variability in stock return is explained mostly by the dividend growth component. In the residual approach, however, a fraction of future returns can be forecast by the dividend-price ratio, and sometimes a large contribution is assigned to the future return component. When we perform a variance decomposition using the simulation method, we find that the residual approach has a tendency to overstate the contribution of future return component and understate the contribution of dividend growth component as compared to the direct approach.
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참고문헌 (15)
참고문헌 신청
Campbell, J. Y. / 1988 / Smart Money, Noise Trading and Stock Price Behavior
Campbell, J. Y. / 1991 / A Variance Decomposition for Stock Returns, The H. G. Johnson Lecture to the Royal Economic Society / Economic Journal 101 (405) : 151 ~ 179
Campbell, J. Y. / 1993 / What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns / Journal of Finance 48 (1) : 3 ~ 37
Campbell, J. Y. / 1993 / Where Do Betas Come From? Asset Price Dynamics and the Source of Systematic Risk / Review of Financial Studies 6 (3) : 567 ~ 592
Fama, E. F. / 1988 / Dividend Yields and Expected Stock Returns / Journal of Financial Economics 22 (1) : 3 ~ 25
Campbell, J. Y. / 1991 / A Variance Decomposition for Stock Returns, The H. G. Johnson Lecture to the Royal Economic Society / Economic Journal 101 (405) : 151 ~ 179
Campbell, J. Y. / 1993 / What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns / Journal of Finance 48 (1) : 3 ~ 37
Campbell, J. Y. / 1993 / Where Do Betas Come From? Asset Price Dynamics and the Source of Systematic Risk / Review of Financial Studies 6 (3) : 567 ~ 592
Fama, E. F. / 1988 / Dividend Yields and Expected Stock Returns / Journal of Financial Economics 22 (1) : 3 ~ 25
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