earticle

영어

The relationship between dividend yield and stock returns has been extensively studied, particularly in the U.S. market. Prior research, including Campbell and Shiller (1988) and Fama and French (1993), suggests that dividend yield predicts future stock returns. However, studies on the Korean stock market have produced mixed results. While some, such as Kim and Kim (2004) and Jung and Kim (2010), find no predictive power, others, like Oh (2021), provide empirical evidence supporting its significance. Given these conflicting findings, this study aims to clarify the issue by examining whether dividend yield predicts stock returns at specific dividend-related events, hypothesizing that its predictive power varies depending on event timing. To address this question, this study analyzes dividend-paying firms listed on KOSPI and KOSDAQ from January 2010 to October 2024, using financial and stock market data from FnGuide. Dividend yield is measured at four key dividend-related events: the ex-dividend date, the announcement date, the record date, and the payment date. The ex-dividend date marks the point at which shareholders eligible for dividends are determined. The announcement date is when firms publicly disclose their dividend decisions. The record date finalizes the dividend amounts, and the payment date is when dividends are distributed to shareholders. To examine whether dividend yield can predict stock returns, this study employs Fama-MacBeth (1973) cross-sectional regressions while controlling for firm characteristics such as profitability, asset growth, market capitalization, book-to-market ratio, and past stock returns. Additionally, five portfolios ranked by dividend yield are constructed to analyze return patterns across different yield levels. The results indicate that dividend yield significantly predicts stock returns under certain conditions. Specifically, dividend yield strongly predicts stock returns around the ex-dividend and announcement dates, with firms offering higher yields experiencing greater subsequent stock returns. This relationship remains statistically significant even after controlling for the Fama-French three-factor model and momentum effects. However, dividend yield does not predict stock returns around the record or payment dates, suggesting that market reactions occur primarily when dividend information is disclosed rather than when dividends are distributed. This study also examines whether dividend yield’s predictive power depends on payment frequency. The results show a strong and statistically significant relationship for firms with annual dividends, but not for those issuing quarterly or interim dividends. Furthermore, an industry-level analysis reveals that the predictive power of dividend yield is not confined to specific industries but applies broadly across the market, reinforcing its relevance in explaining stock return variations. To ensure robustness, this study tests alternative definitions of dividend yield, including expected future dividends rather than past dividends. The results remain consistent, confirming that the observed predictive effect is not driven by a specific measurement method. These findings provide strong empirical support for dividend yield as a meaningful indicator of stock return predictability in the Korean market. This study makes several key contributions to the literature on dividend yield and stock returns. First, it reconciles conflicting findings by distinguishing dividend yield’s effects at different event dates. By demonstrating that dividend yield significantly predicts stock returns around the ex-dividend and announcement dates, this study clarifies when dividend yield provides valuable information for investors. Second, it provides empirical evidence that dividend yield can enhance portfolio investment strategies, suggesting that investors can improve decision-making by incorporating dividend yield into stock selection criteria. Third, it challenges the notion that dividend yield is solely an industry-specific factor or a function of a firm’s dividend policy. Instead, it plays a crucial role in explaining stock return variations, reinforcing the idea that dividends are not just a mechanism for distributing earnings but also a valuable source of market information. This study also has policy implications for ongoing discussions on dividend reforms in Korea. As the Korean government seeks to enhance transparency and align domestic dividend policies with global standards, this study highlights the importance of clear and timely dividend announcements. By demonstrating that dividend yield contains meaningful information about future stock returns, it provides empirical support for policies encouraging firms to disclose dividend-related information timely and consistently. Improved disclosure practices could help investors make more informed decisions and enhance overall market efficiency. In conclusion, this study offers valuable insights for both policymakers and market participants. For investors, the findings suggest that dividend yield can be a useful tool in constructing profitable stock portfolios. For regulators, the study highlights the need for policies promoting better dividend disclosure. By addressing these issues, it contributes to a deeper understanding of dividends’role in stock return predictability and offers practical implications for investment strategies in the Korean stock market.

한국어

국내 주식시장에서 배당이 주식수익률에 대한 예측력을 가지는지에 있어 학계에서는 상반된 의견들이 대립해왔다. 이에 본 연구는 2010년부터 2024년 10월까지 KOSPI 및 KOSDAQ 배당주들의 월별 실적자료를 대상으로 배당 관련 주요 시점 (배당 기준, 공시, 확정 및 지급일)에 따른 배당수익률과 주식수익률간의 관계를 실증분석하였다. 그 결과, KOSPI 및 KOSDAQ 주식시장에서는 배당 기준일과 배당 공시일을 기점으로 배당수익률과 주식수익률간 통계적으로 유의한 관계가 나타나고 있음을 확인하였다. 또한 배당수익률과 다음달 주식수익률 간의 이러한 유의한 관계는 연간배당 기업들을 대상으로 발견되며, 배당수익률 상위 또는 하위 산업군에 국한되어 있거나 배당수익률의 개념에 따라 유의미함이 변동하는 것이 아닌 일관된 효과라는 결과를 얻었다. 한편 금융위원회에서는 작년 초 배당절차를 개선하겠다고 발표한 이래, 현재 기업들이 개선된 배당절차를 적극 채택할 수 있도록 유도하고 있다. 주주들에게 배당이 주기적으로 수익을 제공하는 원천일 뿐만 아니라 국내 주식시장에서 배당수익률을 기반으로 포트폴 리오 구성시 주가 차익도 얻을 수 있음을 나타내고 있는 본 연구결과는, 배당을 투자의사 결정에 영향을 미치는 의미 있는 요소로 활용할 수 있는지를 실증적으로 제시하고 있다는 점에서 더욱 그 의미가 부각되는 바이다.