재무연구 제 권 호 (2016년 5월)
Asian Review of Financial Research, Vol., No..
pp.2299~2315
pp.2299~2315
Stock Returns Predictable : Some New Evidence from the Korean Stock Market
Hoyoung Ryu Ph.D student, Department of Business Administration, Pusan National University, Korea
Van Hai Hoang Ph.D student, Department of Business Administration, Pusan National University, Korea
Hee-un Ko Ph.D student, Department of Business Administration, Pusan National University, Korea
This paper makes three contributions to the literature on predictability stock returns in the Korean stock market. We focus on out-of-sample forecasting of returns based on industry portfolios are predictability. From the results, we discover that in-sample and out-of-sample test during from 2000 to 2015, predictability is not homogeneous. Furthermore, we examine the determinants of out-of-sample predictability for each sector using industry characteristics and find strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume. We also discover a mean combination forecast approach which has significant out-of-sample performance.
Hoyoung Ryu
Van Hai Hoang
Hee-un Ko
This paper makes three contributions to the literature on predictability stock returns in the Korean stock market. We focus on out-of-sample forecasting of returns based on industry portfolios are predictability. From the results, we discover that in-sample and out-of-sample test during from 2000 to 2015, predictability is not homogeneous. Furthermore, we examine the determinants of out-of-sample predictability for each sector using industry characteristics and find strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume. We also discover a mean combination forecast approach which has significant out-of-sample performance.
