재무연구 제 권 호 (2017년 5월)
Asian Review of Financial Research, Vol., No..
pp.1101~1129
pp.1101~1129
Are Cash-Flow betas Really Bad?
Ming Wu College of Business Pusan National University
Kiyool Ohk College of Business Pusan National University
Kwangsoo Ko College of Business Pusan National University
This study evaluates the relative importance of cash-flow news and discount-rate news based on the log-linear model for pan-Chinese stock markets (i.e., China, Hong Kong, and Taiwan). Although they belong to the same cultural region, they have different capital market regulations and practices. In this context, we find that the discount-rate beta is bad in Hong Kong and Taiwan, while the cash-flow beta is bad in China. These findings are consistent with each market’s ownership structure, dividend policy, and tax system. However, as in the U.S., risk premiums are significantly higher in down markets than in up markets.
Ming Wu
Kiyool Ohk
Kwangsoo Ko
This study evaluates the relative importance of cash-flow news and discount-rate news based on the log-linear model for pan-Chinese stock markets (i.e., China, Hong Kong, and Taiwan). Although they belong to the same cultural region, they have different capital market regulations and practices. In this context, we find that the discount-rate beta is bad in Hong Kong and Taiwan, while the cash-flow beta is bad in China. These findings are consistent with each market’s ownership structure, dividend policy, and tax system. However, as in the U.S., risk premiums are significantly higher in down markets than in up markets.
Log-linear model,Pan-China,Cash-flow beta,Discount-rate beta,Market status
