Growth and value hybrid valuation model based on mean reversion

淡江大學機構典藏 > 工學院 > 土木工程學系暨研究所 > 期刊論文 > Item 987654321/115496

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/115496

題名:	Growth and value hybrid valuation model based on mean reversion
作者:	Yeh, I-Cheng;Lien, C. H.
關鍵詞:	Growth;value;stock price;valuation model;mean reversion
日期:	2017-03-06
上傳時間:	2018-11-01 12:11:05 (UTC+8)
摘要:	This article proposes a novel valuation model, growth and value hybrid model, to estimate the stock price. This proposed model combines the essence of the asset-based approach, the income-based approach, and the principle of mean reversion to develop the theoretical closed-form formula consisting of three coefficients: value coefficient, value support coefficient, and growth coefficient. Regression analysis is employed to fit market data to determine these coefficients. Moreover, this study proposes the double sorting method to build the quantile regression models of the formula to estimate the stock price at a specific quantile. The results show that the predictive capability of the hybrid valuation model is superior to the model without using value support coefficient, which supports the assumption that the PBR is not associated with the ROE when the ROE is less than a threshold. In different time periods of the stock market, no significant difference exists on the value support coefficient. However, the variations of the value coefficient and the growth coefficient are significant.
關聯:	Applied Economics 49(50), p.5092-5116
DOI:	10.1080/00036846.2017.1299104
顯示於類別:	[土木工程學系暨研究所] 期刊論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
index.html		0Kb	HTML	127	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章