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:Estimating the distribution of enterprise values with quantile neural networks
學年108
學期1
出版(發表)日期2020/01/27
作品名稱Estimating the distribution of enterprise values with quantile neural networks
作品名稱(其他語言)
著者I-Cheng Yeh and Yi-Cheng Liu
單位
出版者
著錄名稱、卷期、頁數Soft Computing https://doi.org/10.1007/s00500-020-04726-w
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.
關鍵字Quantile regression analysis, neural networks, enterprise value, distribution
語言英文(美國)
ISSN
期刊性質國外
收錄於SCI;
產學合作
通訊作者I-Cheng Yeh
審稿制度0
國別美國
公開徵稿
出版型式,電子版
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