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    題名: Estimating the distribution of enterprise values with quantile neural networks
    作者: Yeh, I-Cheng;Liu, Yi-Cheng
    關鍵詞: Quantile regression analysis;neural networks;enterprise value;distribution
    日期: 2020-01-27
    上傳時間: 2020-09-15 12:10:27 (UTC+8)
    出版者: Springer
    摘要: The probability density function of enterprise values may be more precise and useful in the cases of corporate investment, financing, or transactions. Although the quantile regression analysis can generate a set of models for a series of quantiles, it cannot generate the probability density function of the dependent variable. Therefore, this paper proposes a novel method of employing prediction results of the quantile neural networks to build probability density functions with which we can effectively assess enterprise values. Empirical evidence reveals that the estimated cumulative lognormal distribution curves of the Price-to-Book value ratio (PBR) and the data are well-matched. In addition, the corporate market value is equal to the PBR multiplied by the corporate stockholders equity. Thus, the corporate market value is also a lognormal distribution. PBR distributions of building and construction industries are more tilted to the left, implying that enterprise values of building and construction industries are lower than those of other industries with the same stockholders equity and return on equity.
    關聯: Soft Computing 24, p.13085–13097
    DOI: 10.1007/s00500-020-04726-w
    顯示於類別:[土木工程學系暨研究所] 期刊論文

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