Contents
Korean evidence on the implied cost of equity / 황이석 ; 이우종 ; 임승연 1
ABSTRACT 1
개요 2
I. Introduction 3
II. Alternative models for estimating the cost of equity capital 7
2.1. Ohlson and Juettner-Nauroth (2005) operationalized in Gode and Mohanram (2003) : RGM(이미지참조) 8
2.2. The modified price-earnings growth (MPEG) ratio model in Easton (2004) : RMPEG(이미지참조) 9
2.3. Claus and Thomas (2001) : RCT(이미지참조) 10
2.4. Gebhardt, Lee, and Swaminathan (2001) : RGLS(이미지참조) 10
III. Data and sample selection 11
IV. Estimates of the implied cost of equity capital 12
V. Simultaneous estimation of the expected rate of return and growth for a portfolio of stocks 16
5.1. Expected rate of return (r) and expected long-term growth in residual income (g) 17
5.2. Expected rate of return (r△agr) and long-run change in abnormal growth in earnings (△agr)(이미지참조) 19
VI. Impact of analyst forecast properties on implied risk premia 20
VII. Sensitivity of implied risk premium to speed of incorporating information into prices 23
VIII. Summary 26
REFERENCES 27