教師資料查詢 | 類別: 期刊論文 | 教師: 葉怡成 YEH, I-CHENG (瀏覽個人網頁)

標題:Growth and value hybrid valuation model based on mean reversion
學年105
學期2
出版(發表)日期2017/03/06
作品名稱Growth and value hybrid valuation model based on mean reversion
作品名稱(其他語言)
著者Yeh, I-Cheng; Lien, C. H.
單位
出版者
著錄名稱、卷期、頁數Applied Economics 49(50), p.5092-5116
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.
關鍵字Growth;value;stock price;valuation model;mean reversion
語言英文
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版,紙本
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