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This paper studies the difference between AB share dual-listed stocks from a new perspective. Unexpected returns of twin stocks in AB share are decomposed into unexpected cash flow news and unexpected discount rate news. Also, sensitivities, which is known as beta, towards the two news for twin stocks are also studied. The finding is that cash flow news and discount rate news of twin stocks in different markets are not significantly different, however, investors in the two markets act differently towards these news. Besides, stocks are sorted into characterized portfolios and growth and small stocks have both high cash flow beta and discount rate beta. Pricing of cash flow beta and discount rate beta is also examined by three models, two-beta ICAPM model, two-beta CAPM model and two-beta factor model. Two-beta ICAPM model presents better performance, but all three models seem to lose explaining power when recent data is used.

Recently, the importance of natural gas is on the increase. The natural gas has become an abundant energy source because of advances in drilling technology. Specially, The development of shale gas has made traditional resources replace. Moreover, natural gas as a major energy source is much better “environment-friendly” than fossil fuels. Being used, natural gas produces and emits much less CO2 and pollutants than oils and coals. As the efficient management and use of natural gas is a meaningful topic, we focus on the efficient management of Korean city gas in terms of return on assets and capacity utilization. Accordingly, the principal aim of this paper is to measure and decompose return on assets in city gas firms. In particular, the paper confirms that change in return on assets(ROA) is influenced by productivity change, price change, change in capacity utilization, and potential asset turnover. Actually, change in ROA is decomposed using linear programming methods with thirty-one city gas firms for 2012-2014. the main empirical results for the same periods are presented being separated into two periods. Average ROA change(1.871) was decomposed into the inner factors such as average price change(1.077), average productivity change(1.146), average capacity utilization change(0.990), and average potential asset turnover(1.082), respectively for 2012-2013. ROA change was greatly dominated by productivity change. Likewise, Average ROA change(0.743) is explained by average price change (0.782), average productivity change(0.947), average capacity utilization change(1.040), average potential asset turnover (0.926), respectively for 2013-2014. In this period, ROA was greatly influenced by price change. As shown in the results, ROA is mostly influenced by productivity change, price change, capacity utilization change, and potential asset turnover. But the change of capacity utilization was not improved every year. So city gas firms need to increase ROA through the use of excess capacity and the reallocation of inputs and outputs.

This paper examines the relative importance of a shock to expected cash flows (i.e., cash-flow news) and a shock to expected discount rates (i.e., discount-rate news) in credit rating changes. Specifically, we use a Vector Autoregressive model to implement the return decom- position of Campbell and Shiller (Review of Financial Studies, 1, 1988, 195) and Vuolteenaho (Journal of Finance, 57, 2002, 233) to extract cash-flow news and discount-rate news from stock returns at the firm-level. We find that credit rating changes are, on average, more strongly associated with cash-flow news than with discount-rate news, consistent with cash- flow news being more permanent than discount-rate news. We further find that both cash- flow news and discount-rate news are more strongly related to credit rating changes when they convey negative information about firm value. This asymmetric association is consistent with the non-linear nature of default risk and with the fact that rating agencies incorporate bad news sooner than good news into their rating revisions. This paper contributes to the lit- erature by providing evidence on the relative importance of cash-flow news and discount-rate news in the credit rating process.

이 논문에서는 미국 주식시장에 적용된 Campbell(1991)과 Hodrick(1992)의 배당 모형과 추정 방법을 한국 아파트시장에 적용하였다. 이 논문의 주요 추정 결과들은 다음과 같다. 첫째, 아파트수익률에 가장 영향이 큰 설명 변수는 아파트수익률 그 자체의 과거 수익률들이다. 놀랍게도, 아파트가격은 2년 이상 장기간에 걸쳐 상승(하락)하는 지속성 내지는 관성을 가지고 있다. 또한, 아파트수익률은 주식수익률 보다는 예측가능성이 높은 변수이며, 현재의 아파트수익률은 과거 정보에 의해 상당히 예측가능하다는 점에서 한국의 아파트시장은 비효율적인 시장이다. 둘째, 서울 아파트의 경우, 과거의 로그 임대소득/아파트가격 비율은 현재 아파트수익률을 예측하는데 유용한 정보를 제공한다. 서울 아파트의 경우, 과거의 로그 임대소득/아파트가격의 상승(하락)은 현재의 서울 아파트수익률을 상승(하락)시키므로, Campbell (1991)의 배당 모형에서의 예측과 일치한다. 또한, 미래 로그 임대소득/아파트가격 비율에 대한 뉴스의 분산은 예상치 못한 아파트수익률의 분산을 설명하는데 있어서 중요한 역할을 한다. 마지막으로, 이 표본 기간에서는 상대적 실질이자율은 아파트수익률에 장기에 있어서는 중립적인 역할을 한다. 또한, 미래 상대적 실질이자율에 대한 뉴스와 예상치 못한 아파트수익률 간에는 상관관계가 없는 것으로 추정되었다.

Campbell(1991) and Hodrick(1992) applied their dividend model and estimation method to the stock market in the United States. In this paper, their model and methods are applied to the Korean apartment market. The most important variables used to explain the current apartment returns were the past apartment returns. Surprisingly, for periods greater than two years, we noticed a persistence or inertia in apartment price fluctuation. Additionally, apartment returns were more predictable than stock returns, and the Korean apartment market was inefficient. This inefficiency was inferred through the high predictability of current apartment returns from past information. Secondly, the past log-ratio of rental income over apartment price is useful for predicting the current apartment return. In particular, past variation in the log-ratio of rental income over apartment price has caused Seoul apartment returns to vary accordingly. This estimation was consistent with the dividend model prediction of Campbell(1991). Furthermore, predictions of future log-ratio of rental income over apartment price variance played an important role in explaining the variance of unexpected apartment returns. Finally, it was found that, in the long term, the relative real interest rate had a neutral impact on apartment return. In addition, estimations found that predictions of future relative real interest had no correlation with unexpected apartment returns.