PER변동의 영향요인에 관한 실증적 연구
An Empirical Study on The Influence Factors of PER Volatility
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>본 연구는 PER의 변동률이 주가수익률과 이익변동률의 계수임을 논리적으로 도출하였다. 또한 선행연구에 근거해서 주가수익률과 이익변동률의 상관계수(PER의 변동률)가 성장성과 회계시스템 노이지에 영향을 받는다는 것과 관련된 2가지의 가설을 설정하고 이를 실증하였다. 실증결과 주식수익률과 이익변동률의 계수는 성장률이 높을수록 클 것이다(가설 1). 그리고 주식수익률과 이익변동률 간의 상관계수는 부채비율이 높을수록 작을 것이다(가설 2). 라는 두 가지 가설을 지지하는 결과를 얻을 수 있었으며, 이러한 결과는 잠재적 혼동변수(기업규모, 산업효과)를 통제한 후에도 일관되게 나타났다.
Abstract
>This study provides logical model and empirical results. The logical model means that PER volatility is the coefficient of returns of security and earnings volatility.According to prior study, This study derive Hypothesis 1, 2. and We find consistent results from empirical tests. We find the growth rate is positively associated with PER volatility(Hypothesis 1) and the association between noise is negatively associated with PER volatility(Hypothesis 2). The hypotheses are tested by using a sample of 560 manufacturing firms listed in the Korean Stock Exchanges from the year of 1994 to the year of 2003.
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