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1
Vieira, Pedro Nuno Rino Carreira. "Efeitos dimensão e book to market ratio revisitados : o caso inglês." Master's thesis, Instituto Superior de Economia e Gestão, 2005. http://hdl.handle.net/10400.5/601.
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Mestrado em GestãoUma das correntes teóricas centrais do universo da investigação em finanças assenta na Efficient Markets Hipothesys, segundo a qual os mercados são eficientes e os investidores racionais, na lógica do pensamento de Markowitz e do modelo CAPM. No entanto, têm vindo a ser identificadas na literatura diversas anomalias, nomeadamente overeraction, underreaction, efeito earnings value, efeito dimensão e efeito book to market, entre outros. O estudo destas anomalias tem vindo a ser levado a cabo sobretudo no contexto do paradigma Behavioural Finance. Fama e French (1992) identificam o efeito dimensão e o efeito book to market como os mais relevantes para a explicação da evolução dos preços dos activos financeiros, desenvolvendo com base neles um modelo multi-factor para a explicação das respectivas rendibilidades. Para o efeito, assumem os respectivos indicadores como proxies de factores de risco (Fama e French, 1993). Por contraposição, Daniel e Titman (1997) apresentam evidência de que a dimensão e o book to market explicam a rendibilidade dos títulos por serem características relevantes da empresa e não por constituírem proxies de factores de risco. Resultados que Davis, Fama e French (2000) rebateram com um conjunto de dados diferente e com uma nova metodologia de tratamento. Quem terá razão? Eis a nossa dúvida inicial. No entanto, a nossa surpreendente e inesperada evidência para o mercado inglês começa por contrariar o modelo proposto por Fama e French (1993) e mostra grandes contradições na relação entre os efeitos dimensão e book to market, por um lado, e rendibilidade e volatilidade na Inglaterra e nos EUA. Surgiram aparentes irracionalidades, de tal forma que as bases de suporte da nossa questão deixaram de fazer sentido. Uma coisa parece certa: os resultados confirmam, no mínimo, a má-especificação do CAPM e, no máximo, sugerem que os mercados financeiros não são de todo eficientes.
The Efficient Markets Hypothesis is one of the mainstream theories in the financial world. Financial markets are supposed to be efficient and its players rational as defined by Markowitz (1959) and assumed by the CAPM. However, several anomalies, such as overreaction, underreaction, earnings value, size effect or book to market effect, have been reported during the last 25 years, especially in the 80's. Many of the academic working in this subfield regards their results as strong evidence against the Efficient Markets Hypothesis. This approach is usually known in the financial markets academic community as the Behavioural Finance paradigm. In work published in 1992, Fama and French have studied all these anomalies concluding that size effect and the book to market effects are the most relevant ones. With these two variables and a market factor P they have proposed a multifactor model to explain the stock return. They assume that all market value and Book to Market Ratio are proxies to some distress factor. However, Daniel and Titman (1997) show that these factors can not be understood as distress factor proxies, but as relevant characteristics that can actually explain the cross section variation in stock returns. On their work Davis, Fama and French (2000) refuse these results using a different set of data and another methodology. The question is Who's right? This was our initial focus. However, we have found surprising and unexpected evidence against the Fama-French Model in the United Kingdom market and challenging about the size and market to book effects in both UK and USA. Some irrationality has come up making our initial question irrelevant under the Daniel and Titman (1997) and Davis, Fama and French (2000) methodologies. One issue remain certain: our results, at least, support a bad CAPM specification and, at most, suggest that financial markets are not efficient, at all.
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Dimmock, Stephen G. "The book-to-market ratio and Schwert-Seguin type tests of volatility." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0019/MQ54300.pdf.
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Oler, Mitchell Jon. "The continuing existence of firms with a market-to-book ratio less than 1 /." Thesis, Connect to this title online; UW restricted, 2006. http://hdl.handle.net/1773/8715.
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AlShammasi, Naji Mohammad. "The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc848132/.
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The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage.
Modern finance theory and efficient market hypothesis suggest that security prices, at equilibrium, should reflect their fundamental value. If the market price deviates from the intrinsic value, then a risk-free profit opportunity has emerged and arbitrageurs will eliminate mispricing and equilibrium is restored. This arbitrage process is characterized by large number of arbitrageurs which have infinite access to capital. However, a better description of reality is that there are few numbers of arbitrageurs to the extent that they are highly specialized; and they have limited access to capital. Under these condition arbitrage is no more a risk-free activity and can be limited by several factors such as arbitrage risk and transaction costs.
Other factors that are discussed in the literature are availability of substitutes and financial constraints. The former arises as a result of the specialization of arbitrageurs in the market in which they operate, while the latter arises as a result of the separation between arbitrageurs and capital. In this dissertation, I develop a measure of the availability of substitutes that is based on the propensity scores obtained from propensity score matching technique. In addition, I use the absolute value of skewness of returns as a proxy of financial constraints.
Previous studies used the limits of arbitrage framework to explain pricing puzzles such as the closed-end fund discounts. However, closed-end fund discounts are highly affected by uncertainty of managerial ability and agency problems. This study overcomes this problem by studying the effect of limits of arbitrage on publicly traded securities. The results show that there is a significant relationship between proxies of limits of arbitrage and firm specific mispricing. More importantly, empirical results indicate that stocks that have no close substitutes have higher mispricing. In addition, stocks that have high skewness show higher mispricing.
Subsequent studies show that the S&P 500 stocks have different levels of liquidity, analysts’ coverage and volatility. These characteristics affect the ability of arbitrageurs to eliminate mispricing. Preliminary univariate tests show that S&P 500 stocks have, on average, lower mispricing and limits of arbitrage relative to non-S&P 500 stocks. In addition, the multivariate test shows that S&P 500 members have, on average, lower mispricing relative to non-S&P 500 stocks.
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Liu, Chang. "Two essays on corporate liquidity management." Kent State University / OhioLINK, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=kent1525891031065629.
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Eriksson, Axel, and Sofié Enlund. "Sambandet mellan market to book ratio och framtida lönsamhet : En jämförelse under åren 1980 till 2004." Thesis, Uppsala University, Department of Business Studies, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-126902.
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Nurmenniemi, S. (Sami). "Usefulness of book-to-market ratio and strength of future residual incomes to predict future stock returns." Master's thesis, University of Oulu, 2015. http://urn.fi/URN:NBN:fi:oulu-201505211552.
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In the past academic research have displayed strong evidence that stocks with the relatively low valuation earn higher future returns than stocks with relatively high valuation. This kind of value anomaly seems to exist for example between firms with high and low book-to-market ratio. In addition there is a lot of evidence that future stock returns can be predicted by analyzing past financial information. Especially the value relevant fundamentals which are usually the main components of equity valuation models seems to consist useful information about the future stock prices.
In this thesis it is investigated if the investment strategy based on book-to-market valuation ratio and the main fundamental components of residual income valuation model can generate abnormal future stock returns. Strategy focuses on high book-to-market firms which past financial information indicates strong future residual incomes for these firms. These pieces of information are recognized by analyzing the return on equity and expected return on equity which are the main components of residual income model.
The results shows that investment strategy based on book-to-market ratio and strength of future residual incomes generates higher mean returns than equally weighted market portfolio in the U.S markets during the years 1970–2010. Furthermore the strategy outperforms high book-to-market portfolio by mean return margin of 11.5%-points. Strategy seems to be quit robust across time as well when it is outperforming equally weighted market and high book-to-market portfolios almost 80% of the time. The returns appears to be highest among firms with the smallest market value and lowest among the large-sized firms. However the benefits of using fundamental based screening are stronger among medium-sized firms which indicates that superior return performance of the investment strategy is not driven by small firm effect.
It seems also that the superior returns are not at least fully compensation for extra risk. Actually the strategy prefers the stocks with the low earnings variability and leverage together with high liquidity which are argued to be appropriate proxies for risk. Also the explanation of Fama and French (1992) which argues that abnormal returns of high book-to-market firms are due high distress of these firms is not supported by results presented in this thesis. In fact the strategy prefers firms with low distress and still generates higher mean returns than high book-to-market firms on average. This indicates that there could be undervalued stocks in the market which are successfully identified by investment strategy based on valuation ratio and analyzing past financial information.
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Svensson, Tobias, and Didrik Björkeroth. "Intellektuellt kapital - En svårfångad värdeskapare." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-196491.
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Intellektuellt kapital anses av många vara en av de största drivande faktorerna till företags framgång och i litteraturen värderas den ofta som skillnaden mellan ett företags marknadsvärde och dess bokförda värde. Market-to-book ratio är det relativa måttet som beskriver denna skillnad och gör det möjligt att jämföra detta värde med andra företag. Målet med denna uppsats är att undersöka hur företag redogör för sitt intellektuella kapital och utreda hur detta reflekteras i företags market-to-book ratio. Frågeställningarna som besvaras är huruvida det finns något samband mellan ett företags market-to-book ratio och dess redogörelser för intellektuellt kapital i dess årsredovisningar och om det finns något samband mellan dessa redogörelser och förändringar i market-to-book ratio. För att mäta redogörelser för intellektuellt kapital gjordes innehållsanalyser. Totalt undersöktes 60 företags årsredovisningar på Stockholmsbörsens Large- och Mid Cap. Resultatet tyder på att samband mellan företags market-to-book ratio och dess redogörelser för intellektuellt kapital saknas, undersökningen fann inte heller något samband mellan redogörelser för intellektuellt kapital och förändringar i market-to-book ratio.
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Martin, Kris Rowland. "The Effect of Accounting Method Choice on Earnings Quality: A Study of Analysts' Forecasts of Earnings and Book Value." Diss., Virginia Tech, 2002. http://hdl.handle.net/10919/29240.
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Whether the quality of a firm's reported earnings affects investors' ability to predict
future earnings and stock returns is still a subject of much debate among accounting researchers.
Lev (1989) suggests that low quality earnings may be causing the relatively low correlation
between reported earnings and stock returns (or the market's evaluation of future earnings). This
dissertation used the valuation model described in Ohlson (1995) and Feltham and Ohlson
(1995) to explore the possible links between accounting method choices and the ability of
investors to use reported earnings to predict future earnings. The results demonstrate that prior
researchers' assumptions regarding which accounting methods are generally conservative or
liberal are reasonably accurate over large numbers of firms. The results also show that one
group of analysts (Value Line Investment Survey) is able to predict future earnings more
accurately over medium-term and long-term forecast horizons for firms using generally
conservative accounting methods than those firms employing generally liberal accounting
methods.
This research adds to the prior "quality of earnings" research by showing that analysts
can predict earnings more accurately for certain classes of firms (i.e., firms using conservative
accounting methods), thus increasing our knowledge of what constitutes high-quality earnings.
The research also explores the effects of growth on the quality of earnings question, the effects
of firm size, leverage, and industry membership on the relationship, and the robustness of the
Feltham and Ohlson Model to alternative definitions of key components of the model.Ph. D.
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Abdel-Jalil, Tawfiq Hasan. "Book-to-market value of equity ratios and earnings realization." Thesis, Bangor University, 2000. https://research.bangor.ac.uk/portal/en/theses/booktomarket-value-of-equity-ratios-and-earnings-realization(48ae90b1-c8a9-44c9-b2ca-e030783c2f04).html.
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This thesis increases our understanding of the book-to-market ratio via a detailed examination of how and when earnings are realised in relation to firms' "capitalisation" and "average useful-life of assets". Book-to-market ratios (BMRs) are regressed as a function of changes in market value of equity ratios for British industrial companies registered on the London Stock Exchange from 1987 to 1996. Data from a prior period (1976-1986) is also employed to stabilise for effects of earnings realisation before the regression period. The "average useful-life assets" for the firms in the sample determines the time horizon of the analysis. The path of abnormal earnings over this horizon reflects the pattern of expiration of the useful-lives of assets in place. The analysis finds that an accrual measurement effect dominated in BMRs increases over the analysis period and also that accrual measurement is more influential in BMRs for firms with short than with long "average useful-life assets". Changes in market value ratios are found to inform about future earnings up to at least six years, except for highlycapitalised firms with long useful-life assets (for which the relationship lasts up to 4 years). The length of the informative period is found to be inverse to the average useful-life of firms' assets. The effect of differences between annual changes in market value of equity ratios on BMRs across time diminishes soon (two years) after the initial market shock' occurs. Long useful-life assets have no further effect on BMRs evolution at more distant lags. Contrary to previous research (in the USA), changes in market value of equity ratios (for UK firms) are found to be associated more with short than with long useful-life assets. Although not specially tested for, this result supports the notion of "short-terminism" of which the UK stock market is sometimes accused. The apparent "short-terministic" outlook by investors in UK firms coincides with improved predictability of BMRs in the UK compared with the US market. The high coefficients of determination from changes in market value of equity ratios as a function of BMRs, identified in the study, motivates a further test for a prediction model which is able to predict 29.2% of the variation in book-tomarket value of equity ratios 8 years in advance.
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Celiker, Umut. "Cross Sectional Determinants Of Turkish Stock Market Returns." Thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/12605243/index.pdf.
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This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
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Markus, Drevelius, and Jonas Sormunen. "A study of value investment strategies based on dividend yield, price-to-earnings and price-to-book ratios in Swedish stock market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40688.
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As the existence of value premium has been showed in previous studies, this paper focuses on studying strategies for capitalizing this value premium in Swedish stock market. This paper studies the possible gains and risks of value investing strategies constructed with dividend yield, price-to-earnings (P/E) and price-to-book (P/B) ratios in Swedish stock market during 2006-2016.The findings show that the studied value portfolios offered abnormal returns during the studied time-period. Moreover, value stocks performed better than growth stocks when dividend yield and P/B-ratio were used as criteria. However, the paper could not confirm the same effect in P/E-ratio as high P/E tended to work better than low P/E. Out of the studied ratios, the best risk-adjusted returns were received from companies with the lowest P/B-ratios.The findings in this paper also indicate that including more ratio-based criteria in to an investment strategy does not offer more risk-adjusted returns.
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Cazavan-Jeny, Anne. "La reconnaissance des immatériels par la compatibilité et les marchés financiers : une étude des sociétés cotées françaises." Jouy-en Josas, HEC, 2003. http://www.theses.fr/2003EHEC0004.
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Cette thèse cherche à comprendre en quoi les éléments immatériels (dépenses de R&D, de formation, de marketing, immobilisations incorporelles et goodwill) peuvent représenter un défi à la comptabilité dans sa représentation de l'entreprise et en quoi les marchés financiers y apportent une réponse. En effet, l'absence (ou la faible) prise en compte des immatériels dans les états financiers peut expliquer une partie de la différence qui existe entre la valeur comptable d'une société et sa valeur de marché. Ainsi après avoir défini l'immatériel, étudié sa reconnaissance comptable sur un plan international, ainsi que sa gestion par les entreprises (chapitre I), nous avons placé la question de l'immatériel au sein du champ de la recherche comptable financière et plus particulièrement celui de la mesure de l'utilité des informations comptables, appelé value relevance (chapitre II). Nous avons construit six indicateurs de l'intensité immatérielle et testé leur lien avec le ratio market-to-book (mesure de la différence entre valeur comptable et valeur de marché), sur un échantillon de 63 sociétés cotées françaises de 1994 à 1999 (chapitre III). Notre analyse empirique montre un lien statistique fort du goodwill inscrit à l'actif avec le ratio market-to-book, mais n'indique aucune association avec les mesures de l'intensité des dépenses immatérielles ou l'intensité des actifs incorporels (chapitre IV). Nos résultats, en partie contraires aux études américaines antérieures, soulignent certaines limites de la recherche en comptabilité financière. Les liens entre l'information comptable et la valorisation boursière peuvent être de nature contingente. La rationalité des agents et l'hypothèse des marchés efficients, postulats de la recherche positive en comptabilité financière, sont discutables. Enfin, nous questionnons le bien fondé de l'application d'une méthodologie de recherche nord américaine (la value relevance) dans des contextes européens (chapitre V).
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Islam, Silvia Zia, and silvia islam@rmit edu au. "Choice of financing method with market timing and liquidity: evidence from Australia." RMIT University. Economics, Finance and Marketing, 2009. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20091029.135938.
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This thesis examines the capital structure choice of Australian firms with an emphasis on the impact of market timing and liquidity considering 1438 available firms for the period, 1997 to 2005. The relationship between capital structure and its determinants is the main focus of this thesis, with four empirical analyses. These analyses are all conducted within the Baker and Wurgler (2002) and Hovakimian (2006) models with both pooled ordinary least squares (OLS) and fixed effect panel analysis. The theory of market timing introduced by Baker and Wurgler (2002) has received considerable attention in recent years. Baker and Wurgler (2002) contend that past market timing has a long lasting impact on capital structure and thus, capital structure is the cumulative outcome of the past attempts at equity market timing. This thesis examines the Baker and Wurgler (2002) argument in an Australian context. It is found that the variation in leverage was explained by the market-to-book ratio and the effect of market-to-book ratio was explained by equity issues as market timing theory implies. However, the results are sensitive to data sample choice with variation in the strength of the negative relationship observed between external finance weighted average market-to-book and leverage. This suggests that while market timing appears to affect capital structure choice, it does not support the hypothesis that past market timing decisions have a long lasting impact on Australian firm capital structure. Hovakimian ( 2006) questions the Baker and Wurgler (2002) conclusion about firm behaviour and finds evidence that past market-to-book ratio has a significant impact on current financing decisions because it contains information about growth opportunities, not captured by the current market-to-book ratio. This thesis also examines the Hovakimian (2006) argument and finds evidence to support the argument of Hovakimian (2006) that, growth opportunities provide a reasonable explanation for the past market-to-book ratio effect for Australian firms. Analysis also focuses on broad industry differences. And it is found that there are significant differences between mining and non-mining firm in the determinants of capital structure. Finally, the impact of liquidity on Australian capital structure choice is analysed within the context of the Baker and Wurgler (2002) and Hovakimian (2006) models. It is found that liquidity is important to a firm's leverage choice. There is evidence that liquid firms tend to have lower leverage. Further, while liquidity has little effect on the sensitivity of leverage to market-to-book for Baker and Wurgler (2002) filtered data, a liquidity effect is evident in a broader set of four standard deviation filtered data. It is also found that greater liquidity is associated with less sensitivity of leverage to cash flows and that the asset tangibility relation with leverage is also sensitive to liquidity. Finally, there is evidence that more liquid firms are more sensitive in their tendency to revert to some long run leverage value.
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Björkman, Lovisa, and Caroline Nilsson. "Företagstyp och kapitalstruktur: finns det ett samband? : En studie på svenska börsnoterade företag." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30734.
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Purpose and aim By studying swedish public companies and their annual reports through the years of 2005-2015, the purpose of this study is to determine whether there are any similarities in the capital structure of companies with homogenous market-to-book ratio and tangible assets. A comparison on industry level will also take place. Previous research and theories The main research in this research is the previous study by Wu and Yeung about public american companies. They argue that a combination of market- to-book ratio and tangible assets can build a certain capital structure. Other previous researches are Aggarwal, who says that capital structure differ between countries and industries, and also Harris and Raviv who argue that leverage ratio is constant within the specific industry. The theories that have been used in this study are the pecking order theory, asymmetric information, market timing theory, buy-and-hold theory and financial architecture. Methodology A quantitative method have been used, where collection of data happens through studies of companies annual reports in a similar way of Wu and Yeung. The population is all of the companies that have been publicly introduced on either Aktietorget or Nasdaq OMX Stockholm during the years of 2005-2015. The selection from the population are 77 companies. Conclusion Swedish pharmaceutical companies who possess a high market-to-book ratio in combination with a low rate of tangible assets: are persistent within its company type (G3), finance through issues of equity, follows the market timing theory, have a leverage ratio under 10 %, have no dividends, shows a negative profitability indicator during the years 0-2, have high cash holdings and a high rate of intangible assets, have stockholders who don’t bother about dividends, have low asymmetric information between management and stockholders, and they also have stockholders who see growth opportunities with investing in pharmaceutical companies. Keywords Capital structure, market-to-book ratio, tangible assets, pecking order, asymmetric information, swedish companies
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Yang, Yue, and Viorica Gonta. "The relationship between volatility of price multiples and volatility of stock prices : A study of the Swedish market from 2003 to 2012." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet (USBE), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-72769.
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The purpose of our study was to examine the relationship between the volatility of price multiples and the volatility of stock prices in the Swedish market from 2003 to 2012. Our focus was on the price-to-earnings ratio and the price-to-book ratio. Some previous studies showed a link between the price multiples and the volatility of stock prices, this made us question whether there should be a link between the volatility of the price multiples and the volatility of the stock prices. The importance of this subject is accentuated by the financial crisis, as we provide investors with information regarding the movements of price multiples and stock prices. Moreover, we test if the volatility of the price multiples can be used to create a prediction model for the volatility of stock prices. Also we fill the gap in the previous researches as there is no previous literature about this topic. We conducted a quantitative research using statistical tests, such as the correlation test and the linear regression test. For our data sample we chose the Sweden Datastream index. We first calculated the volatility using the GARCH model and then continued with our statistical tests. The results of our tests showed that there is a relationship between the volatility of the price multiples and the volatility of the stock prices in the Swedish market in the past ten years. Our findings show that the correlation coefficients vary across industries and over time in both strength and direction. The second part of our tests is concerned with the linear regression tests, mainly calculating the coefficient of determination. Our results show that the volatility of the price multiples do explain changes in the volatility of stock prices. Thus, the volatility of the P/E ratio and the volatility of the P/B ratio can be used in creating a prediction model for the volatility of stock prices. Nevertheless, we also find that this model is best suited when the economic situation is unstable (i.e. crisis, bad economic outlook) as both the correlation coefficient and the coefficient of determination had the highest values in the last five years, with the peak in 2008.
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Garcia, Oscar. "TARP: Indication of a Potential Target? Evaluating Market to Book Ratios and Their Relationship to TARP." Oberlin College Honors Theses / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=oberlin1368456033.
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Yeoh, Daniel Ghee Chong, and danielyeoh@cimb com my. "An Empirical Examination of Physical Asset Expenditure Announcements in Australia: Growth Opportunities, Free Cash Flow and Capital Market Monitoring." The Australian National University. Commerce, 2001. http://thesis.anu.edu.au./public/adt-ANU20010702.160428.
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This thesis examines the stock market price variations associated with physical asset expenditure announcements in Australia. With the exception of the study of Chen and Ho (1997) in Singapore, most capital expenditure studies in other markets investigate the announcement effects associated with changes in budgeted capital expenditures. The fact that there is almost never any firm level capital budget announcement in Australia presents a unique opportunity to examine individual physical asset expenditure announcements.
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Three primary hypotheses pertaining to growth opportunities, free cash flow theory, and the capital market monitoring argument are developed and tested. These arguments are formulated to explain the abnormal return variations associated with physical asset expenditure announcements. The growth opportunities hypothesis posits that the abnormal returns at physical asset expenditure announcements are positively related to a firm's growth opportunities. Both free cash flow theory and capital market monitoring hypothesis postulate that the abnormal returns at physical asset expenditure announcements are negatively related to a firm's free cash flow, and cash flow respectively. Other control explanators are incorporated from the merger and takeovers literature.
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Event study methodology is used to examine the abnormal returns associated with physical asset expenditure announcements. Two sets of data, intraday and daily, are used to investigate the market reaction. Intraday returns are calculated on a time-weighted approach and two methods are used to calculate intraday abnormal returns. The first method defines abnormal returns as the difference between actual returns and market returns. The second method defines abnormal returns as the difference between market-adjusted returns and market-adjusted returns on a control portfolio. Daily abnormal returns are calculated using the market model.
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Both univariate and multivariate analyses provide strong support for the growth opportunities hypothesis. The results suggest the quality of firms' growth opportunities is the key variable determining the direction and magnitude of the abnormal returns at announcement. Support for the capital monitoring argument and the free cash flow theory is mixed, generally with a lack of support. The free cash flow variable is found to be significantly negatively related to abnormal returns, only when a finer dummy is used in the multivariate regression. All other control variables are found to be insignificant in explaining the stock market variations once the growth opportunities variable is included in the regression.
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This thesis makes the following contributions. First, this thesis presents the initial empirical evidence concerning physical asset expenditure announcements in Australia. Second, the thesis shows that the quality of a firm's growth opportunities is the key factor in determining the direction and magnitude of abnormal returns around physical asset expenditure announcements. These results also suggest that the equity market in Australia reacts to physical asset expenditure announcements which contain information pertaining to growth opportunities rather than the relative size of the physical asset expenditure transactions to firm value. Third, support for the capital monitoring argument and the free cash flow theory is not strong. Fourth, all other control variables are found to be insignificant in explaining the stock market variations once market to book ratio is included in the regression. Fifth, the results suggest that prior research which fails to segregate market to book ratio and free cash flow proxy into finer partitions may have possibly underestimated the market to book and the free cash flow effects.
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Cordeiro, Rebeca Albuquerque. "A influência do índice Book-to-Market e do ROE na explicação dos retornos das ações brasileiras." Universidade Federal da Paraíba, 2011. http://tede.biblioteca.ufpb.br:8080/handle/tede/3790.
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This study aimed to analyze the influence of future expectations of book-to-market ratio (B/M) and Return on Equity (ROE) as additional variables to the current B/M ratio in explaining the returns of the Brazilian capital market. Primarily, we investigate the contribution of these three fundamentalist variables in explaining changes on stock returns. Comparatively, was also analyzed the explanatory power of traditional asset pricing models formed with proxies for risk factors: beta, size, B/M ratio, momentum and liquidity. Finally, we verified the consistency of the fundamental variables after combinations of these control variables. The population consisted of all non-financial companies with shares traded on the Bolsa de Valores de São Paulo - BOVESPA from January 1995 to December 2010. The forecast variables were estimated by a linear dynamic panel (ARELLANO, BOND, 1991) with a lag. To analyze the contribution of the variables in explaining the returns of the Brazilian market, we used panel data regressions between annual stock returns and the two groups of explanatory variables. Referring to the fundamentalist variables analyzed, we found that when they were used separately as a multifactor model, the future estimates of the B/M ratio and ROE were not statistically significant and had low explanatory power, suggesting that they have no relevance to the explanation of Brazilian stock returns. The expectations of B/M ratio and ROE were also combined with the current B/M ratio, forming an aggregate forecast variable. It was found that this variable was statistically significant and provided a considerable increase in the explanatory power of models that included it. Thus, Hypotheses 2 and 3 that the future expectations of B/M ratio and future expectations of ROE explain part of the variations on stock returns in Brazil cannot be rejected. The B/M ratio was tested as fundamentalist variable as proxy for risk factor, representing an overlapping variable between the two approaches. The results showed that the B/M ratio was positive and statistically significant in both the fundamental approach and the risk factors approach. Furthermore, when combined in the joint models, it contributed as a risk factor and as a component of the aggregate forecast variable. Thus, the Hypothesis 1 that B/M ratio explains part of changes in Brazilian stock returns cannot be rejected. With respect to the proxies of risk factors, we verified the existence of the B/M effect, a reversed momentum effect and a liquidity premium in the Brazilian capital market. In contrast, there was not found a size effect in the period analyzed. Moreover, the results obtained in this dissertation might contribute to the establishment of investment strategies in the stock market, since the B/M ratio plus the forecasts of the B/M ratio and ROE for the following year were able to explain some of the variations on stock returns for the same period.
Este trabalho teve como objetivo analisar a influência das expectativas futuras do índice book-to-market (B/M) e do Retorno sobre o Capital Próprio (ROE) como variáveis adicionais ao índice B/M atual, na explicação dos retornos do mercado de capitais brasileiro. Inicialmente, buscou-se investigar a contribuição dessas três variáveis fundamentalistas na explicação dos retornos das ações. Comparativamente, também foi analisado o poder explicativo de modelos de precificação tradicionais, formados por proxies para fatores de risco: beta, tamanho, índice B/M, momento e liquidez. Por fim, verificou-se a consistência das variáveis fundamentalistas, após combinações com essas variáveis de controle. A população foi composta por todas as empresas não-financeiras, com ações negociadas na Bolsa de Valores de São Paulo BM&FBOVESPA, no período de 1º de janeiro de 1995 a 31 de dezembro de 2010. As variáveis de previsão foram estimadas por meio de um painel linear dinâmico (ARELLANO; BOND, 1991), com uma defasagem. Para a análise da contribuição das variáveis na explicação dos retornos do mercado brasileiro, foram utilizadas regressões com dados em painel entre os retornos anuais das ações e os dois grupos de variáveis explicativas. Quanto às variáveis fundamentalistas analisadas, verificou-se que, quando utilizadas separadamente, na forma de modelo multifatorial, as estimativas futuras do índice B/M e do ROE foram estatisticamente não significativas e apresentaram baixo poder explicativo, não se mostrando relevantes para a explicação dos retornos das ações brasileiras. As expectativas do B/M e do ROE também foram combinadas com o índice B/M observado, formando uma variável de previsão agregada. Constatou-se que essa variável foi estatisticamente significativa e proporcionou um aumento considerável na capacidade explicativa dos modelos que a incluíram. Diante disso, as hipóteses 2 e 3 da dissertação, de que a expectativa futura do índice B/M e a expectativa futura do ROE explicam parte das variações dos retornos das ações brasileiras, não podem ser rejeitadas. O índice B/M foi testado como variável fundamentalista e como proxy para fator de risco, constituindo uma variável de sobreposição entre as duas abordagens. Os resultados evidenciaram que o índice B/M foi positivo e estatisticamente significativo, tanto nos modelos da abordagem fundamentalista, como nos modelos de fatores de risco. Além disso, quando inserido nos modelos conjuntos, verificou-se a sua contribuição como fator de risco, bem como componente da variável de previsão agregada. Dessa forma, a hipótese 1, de que o índice B/M explica parte das variações dos retornos das ações brasileiras, não pode ser rejeitada. Com relação às proxies de fatores de risco, verificou-se a existência do efeito B/M, de um efeito momento invertido e de um prêmio de liquidez no mercado de capitais brasileiro. Em contrapartida, não se observou a existência de um efeito tamanho, no período analisado. Ademais, ressalta-se que os resultados obtidos nesta dissertação podem contribuir para estabelecimento de estratégias de investimento no mercado de ações, uma vez que a combinação entre o índice B/M atual e as previsões do índice B/M e do ROE, para o ano seguinte, foram capazes de explicar parte das variações dos retornos das ações no mesmo período.
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Du, Ruixue. "Intangible Assets Valuation in the Hospitality Industry." Diss., Virginia Tech, 2013. http://hdl.handle.net/10919/50577.
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Market value of firms and book value of firms are rarely the same. The difference, which is attributed to unrecorded or unrecognized intangible assets, has increased significantly since the 1970s. The issue of appropriately valuing these intangible assets, however, still remains unresolved. The purpose of this study is to address this lack of understanding of valuing intangible assets in the hospitality industry. Five intangible asset investments: Research and Development, Training, Advertising, Labor, Pension, and one business model, Franchising, are chosen as the valuation constructs in this study based on previous research in the hospitality industry. The valuation models for the casual dining restaurant industry and the quick service restaurant industry are compared.
The sample of this study includes 13 casual dining restaurant firms and 12 quick service restaurant firms. Compustat North America is the primary data source for this study. The annual data for casual dining restaurant firms from 1980 to 2011 is collected from this database. There are 238 firm-years in total. Two firm-years are excluded due to systematic missing values, and 15 firm-years are excluded due to missing share price information. Thus, the final count of data points for casual dining restaurant firms usable for analysis purposes is 221. The annual data for quick service restaurant firms from 1980 to 2011 is also collected from the Compustat North America database. There are 251 firm-years in total. Eight firm-years are excluded due to systematic missing values, and 47 firm-years are excluded due to missing share price information. Thus, the final count of data points for quick service restaurant firms usable for analysis purposes is 196.
Pearson correlation and multivariate analyses are performed to answer the four research questions in this study. Two hypotheses are supported while one hypothesis is not supported and one hypothesis remains unanswered due to Multicollinearity issues identified in multiple regression models. The results of this study show that 1) R&D, training, advertising, labor and pension are all important valuation constructs in the hospitality industry, and 2) there are some differences, however, between casual dining restaurant firms and quick service restaurant firms. This study fills the gap in the current literature by providing a quantitative method to value intangible assets in the hospitality industry that uses the valuation constructs identified in previous hospitality research. The practical implications of this study will provide managers in the hospitality industry with helpful insights for strategic decision making, specifically in regards to research and development, advertising and employee compensation.Ph. D.
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Larsson, Nyheim Robin, and Nyheim Kim Larsson. "THE CAPITAL REQUIREMENT DIRECTIVE IV : A study of national divergences in Sweden, Denmark and Germany´s financial markets and the ability to implement the CRD IV." Thesis, Högskolan i Halmstad, Sektionen för ekonomi och teknik (SET), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-19771.
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The global financial market has been under a lot of stress in the past years. With the financial crisis that started in 2008, in the US and spread around the world, it created awareness that the world’s financial market requires more regulation to withstand such a crisis. Therefore a new recommended framework for the global financial market was developed by the Basel Committee on Banking Supervision; Basel III. Basel III presented a new era with stricter supervision of banks and tighter regulations. As the European Union is one of the world’s most integrated regions, it strives to be the first to implement the Basel III framework. In order to achieve this, the European Union created its own legislative package, the Capital Requirement Directive IV.The research purpose of this dissertation is to examine how divergences in Sweden, Denmark and Germany’s national financial markets will affect their ability to implement the new CRD IV regulations. Based on the research the conclusion is that our Swedish respondent is most prepared in meeting the new regulations of our three respondents; the characteristics of the Swedish financial market seem well fit to meet the new requirements. Both Germany and Denmark seems to be experiencing problems; the characteristics of their financial markets create obstacles when implementing the new regulations. Denmark has difficulties with their mortgage lending market due to their unique mortgage model. Germany will have problems with the leverage ratio and their inflexible three pillar banking system. Germany’s government has been skeptical to the new CRD IV regulations and this might also have affected our German respondent in a negative way. With the implementation of the regulations the European Commission aims to improve the banking sector in the member states, so that they will be able to endure stress periods better and help to prevent another financial crisis. However, the implementation of the new regulations puts a lot of pressure on the banks and how well they can perform during the implementation process. With this research a questionnaire is created that will help understand how three major banks in Sweden, Denmark and Germany will be affected by the new regulations and if the characteristics of their national financial markets will give them advantages or disadvantages when implementing them. The answers also give us a conclusion to which of the new regulations each respondent will have the most difficulty of implementing. Future research is suggested to be done into the Danish mortgage lending market and their unique mortgage model, to see if it can co-exist with the new CRD IV regulations. Also an in-depth research into the German three pillar banking system can be interesting, to find out if they are able to maintain it or if they have to restructure it.
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Abrahamsson, Isak, and Malin Karlsson. "Värdeinvestering – en hållbar strategi för överavkastning? : Ett test av investeringsstrategin F_SCORE på värdeaktier med hög book-to-market kvot." Thesis, Högskolan i Gävle, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-26119.
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Syfte: Det huvudsakliga syftet är att testa om Piotroskis F_SCORE tillämpat på aktier med hög book-to-market kvot kan överavkasta marknadsportföljen samt, som en konsekvens av detta, undersöka vilken grad av marknadseffektivitet som föreligger. Det sekundära syftet är att tillföra ett kunskapsbidrag till företagsledare om relevansen i book-to-market kvoten. Metod: Detta är en kvantitativ studie som utgår från ett positivistiskt synsätt och en hypotetiskt-deduktiv ansats. Statistiska tester i form av regressionsanalyser har utformats för att bestämma resultatets signifikansnivå. Den empiriska datan har inhämtats från databasen Thomson Reuter Datastream och sammanställts i Excel för att sedan analyseras i statistikprogrammet Stata. Resultat & slutsats: Studiens resultat visar att värdeportföljen överavkastar marknadsindex samt att den gör det över en längre tidsperiod. Det går också att fastställa att den riskjusterade avkastningen för värdeportföljen är högre än för marknaden, vilket tyder på att överavkastningen inte beror på en högre risk. Det går dock inte att avgöra om den effektiva marknadshypotesen råder eller ej, däremot går det att utesluta att den starka och semi-starka formen av marknadseffektivitet gäller. Förslag till fortsatt forskning: För att studera vidare huruvida den svaga formen av marknadseffektivitet råder är ett förslag till vidare forskning att göra en studie utifrån Contrarian modellen för att använda teknisk analys som endast tar hänsyn till historiska kursrörelser för att förutspå framtida avkastning. Ett annat förslag till vidare forskning är att genomföra en liknande studie som denna men då bortse från book to market kvoten och istället köpa aktier med ett F_SCORE högre eller lika med 5 samt att blanka de aktier som har ett F_SCORE under 5. Det tredje förslaget är att studera vidare kring sambandet mellan avkastning och anomalier som småbolagseffekten, likviditet och beteendefinans för att få en tydligare förståelse för vad som orsakar överavkastningen. Uppsatsens bidrag: Det teoretiska bidraget är att den aktuella investeringsstrategin överavkastar marknadsindex för vald tidsperiod utan en nödvändigtvis högre risk. F_SCORE antar en normalfördelningskurva där de bolag som har F_SCORE över fem generellt presterar bättre. Resultatet visar även att book to market kvoten är ett användbart nyckeltal för bolagsvärdering. Det praktiska bidraget är att det kan vara av vikt för företagsledare att fokusera på book to market kvoten för att locka investerare. För investerare är bidraget att denna investeringsstrategi kan slå marknadsindex utan att risken i portföljen ökar.Aim The main aim is to test if Piotroskis F_SCORE applied on stocks with high book-to- market ratio outperforms the market portfolio and therefore determine the level of market efficiency. The secondary aim is to provide knowledge to business executives about the relevance of a book-to-market policy. Method This study is a quantitative research which assumes a positivistic research philosophy with a deductive approach. Several regression analyses have been used to confirm the statistical significance of the different estimated parameters. The empirical results give answers to two hypotheses based on the aim of this research. The empirical data have been collected from Thomson Reuter Datastream, compiled in Excel and analyzed with the statistical software Stata. Result & Conclusions The empirical results of this study show that the value portfolio has a higher return than the market index. The risk-adjusted return for the value portfolio is higher compared to the market portfolio. This indicates that the higher return of the value portfolio is not due to a higher risk. By the results of this study there is not possible to determine whether the market is fully efficient or not. It is only possible to exclude the strong and semi-strong form of market efficiency. Suggestions for future research For future studies, we suggest further research about the weak form of market efficiency. Using historical data to determine future return, as Contrarian model, is one suggestion to reach further evidence of market (in)efficiency. Since F_SCORE assumes a normal distribution and because of the poor performance of the low F_SCORE firms another suggestion is short-sell these stocks to see if the return ca be increased. This empirical field needs further research about which factors that causes the higher return for these stocks. The small firm effect, liquidity and behavioral finance are just a few anomalies that may have a relationship with excess return. Contribution of the thesis The investment strategy in this research shows a higher excess return compared to the market index as well as a higher risk-adjusted return over the given period. This is not only a contribution to investors but also in a theoretical field due to the efficient market hypothesis. F_SCORE have a normal distribution curve where the stocks with F_SCORE of 5 or higher generally have a higher mean return. Another contribution is the relevance of book to market ratio as a useful strategy for valuating companies. The practical contribution gives business executives better understanding about the relevance of a book-to-market policy when attracting investors.
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Forss, Gabriel. "What Characterises Successful Stocks? : A case study of Swedish companies between 1995 and 2005." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7043.
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This paper discusses the indicators of financial success for Swedish companies from 1995 until 2005. Quarterly data on 42 Swedish companies were collected from the Datastream data base and analysed by using both portfolio analyses and parametric analysis. In this study, financial success is measured by using the acclaimed concepts of the Sharpe ratio and the Jensen’s Alpha. The Sharpe ratios of the companies are studied between 1995-2005 and this discussion is complemented by analysis of the Jensen’s Alpha in the second half of that time period i.e. 2000-2005. The relationship between these performance metrics and certain company-characteristics such as the book-to-market ratio, the ROA measure and capital structure is studied. The conclusion is that companies that have a high degree of profitability and maintain high book-to-market ratios outperform other companies in terms of generating excess returns to shareholders. Another interesting observation is the fact that company size does not have any significant relationship to company performance.
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Porwal, Anmol. "Drivers of Australian merger waves industry shocks, mis-valuation, and capital liquidity : a thesis submitted to Auckland University of Technology in partial fulfilment of the requirements for the degree of Master of Business (MBus), 2008." Click here to access this resource online, 2008. http://hdl.handle.net/10292/648.
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The purpose of this thesis is to test the extended industry shock hypothesis, which accounts for a macro-economic capital liquidity element, in determining the drivers of merger waves. Various theories have been extended by the literature and these are broadly classified under the neo-classical theory of merger waves and the behavioural theory of merger waves. Behavioural theories have explained merger waves by taking into account the psychology of stock markets and the occurrence of merger waves during a stock market boom. The industry shock hypothesis (a neo-classical theory) however, argues that merger waves are due to the clustering of industry shocks that affect an industry’s operating environment. Along with this shock, the mis-valuation caused by a stock market boom increases asset values, thereby lowering transaction costs and hence increasing capital liquidity in the economy. This capital liquidity factor causes merger waves to cluster even if industry shocks do not. The findings in this study show that industry level merger waves exist in Australia and they occur when there is sufficient capital liquidity in the economy. The industry shock variables are found to be insignificant; however they do improve the explanatory power of the explanatory variables used in predicting the start of a merger wave. The mis-valuation variables used in this study: market-to-book ratio, 3-year return and standard deviation of the 3-year return, are insignificant and do not have any explanatory powers in predicting the start of a merger wave. Merger and acquisition announcements made to acquire Australian firms listed on the Australian Stock Exchange (ASX), are collected and analysed for the period from 1996 to 2007. The methodology used in this study is adopted from Harford (2005), which uses legit models to predict the start of merger waves. The explanatory variables are also adopted from Harford’s (2005) study and include proxies for mis-valuation, industry shock and capital liquidity. Overall, the results obtained for the Australian merger and acquisition data are inconclusive as to whether industry shocks because industry merger waves as Harford (2005) documented for the US merger and acquisition data. However, industry level merger waves do exist, as there is clustering in time of firm-level mergers within industries. Moreover, sufficient capital liquidity must be present to accommodate the necessary transactions.
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Akolly, Kokou S. "Looking in the Crystal Ball: Determinants of Excess Return." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/math_theses/87.
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This paper investigates the determinants of excess returns using dividend yields as a proxy in a cross-sectional setting. First, we find that types of industry and the current business cycle are determining factors of returns. Second, our results suggest that dividend yield serves a signaling mechanism indicating “healthiness” of a firm among prospective investors. Third we see that there is a positive relationship between dividend yield and risk, especially in the utility and financial sectors. And finally, using actual excess returns, instead of dividend yield in our model shows that all predictors of dividend yield were also significant predictors of excess returns. This connection between dividend yield and excess returns support our use of dividend yield as a proxy for excess returns.
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Morresi, Ottorino. "L'impresa familiare :modello di governance vincente? Una verifica empirica sulle imprese italiane quotate." Doctoral thesis, Università degli studi di Trieste, 2008. http://hdl.handle.net/10077/2640.
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2006/2007L’obiettivo di fondo del presente lavoro è quello verificare se l’impresa familiare, come struttura proprietaria e di governance, possa costituire una determinante della performance aziendale e, in particolare, della valutazione che il mercato le attribuisce, definita attraverso il market-to-book ratio. L’ipotesi di fondo dalla quale origina lo studio prende le mosse dal complesso di caratteristiche “uniche” che questa forma di governance possiede. Caratteristiche, tanto positive quanto negative, delle quali si vuole analizzare l’eventuale impatto che esse possono avere sulla percezione che il mercato ha dell’impresa. L’indagine è condotta su un campione di 119 imprese italiane quotate non finanziarie, analizzate dal 2000 al 2004, per un totale di 595 osservazioni. Il carattere familiare dell’impresa viene osservato sia sotto il profilo della proprietà che dal punto di vista del coinvolgimento dei familiari nella gestione, attraverso differenti variabili dummy. Oltre alle variabili che identificano l’impresa familiare vengono impiegate diverse variabili di controllo: performance contabile, rischio dell’impresa, età e dimensione dell’impresa, proxy della struttura finanziaria, variabili proxy della potenziale presenza di problematiche di agenzia tra azionisti di maggioranza e minoranza. I risultati mostrano l’esistenza di un legame negativo e significativo tra impresa familiare e performance di mercato, che appare determinato, prevalentemente, dalle imprese familiari che hanno un CEO familiare, le quali mostrano le performance peggiori. L’evidenza, comunque, non appare molto robusta: l’uso di metodi econometrici alternativi confermano la debolezza dell’evidenza.
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Svanberg, Johan, and Daniel Max. "The Moat of Finance : Does Complexity Reward the Private Investor?" Thesis, KTH, Fastigheter och byggande, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254858.
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This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. In this paper, three single-ratio strategies are investigated along with three multi-ratio strategies, chosen on the basis of popularity among private investors, according to our observations. We also compare these strategies’ returns to the returns of the ten best performing funds, over the last ten years, found on SEB’s and Handelsbanken’s fund lists. We find that both multi and single-ratio strategies generated alpha values and that single-ratio strategies performed well, relative to multi-ratio strategies, considering their simplicity. The current portfolio composition from screening stocks based on low P/E, P/B and high dividend yield alone are also associated with less risk, expressed in volatility, than portfolios that would be composed based on the multi-ratio methods. We even find that one of the more complex strategies, Graham Screener, underperformed single-ratio strategies, when comparing yearly alpha values over 15 and 17 years, respectively. The funds’ alpha values are also very poor compared to both single and multi-ratio strategies considering the managers’ likely investment experience and complex investment systems. In sum, our empirical data suggests that excess returns were indeed attainable during the investigated time-periods by following a rule-based investing philosophy in conjunction with single or multi-ratio strategies, and unless the investor has sublime experience and knowledge, he or she is probably better off using this type of investing rather than making investment decisions in a discretionary manner.We also conclude that the Stockholm Stock Market probably suffered from lower market efficiency, from the perspective of the Efficient Market Hypothesis, and lower screening abilities and tools, such as Börsdata, among investors in the beginning of the testing periods, which could be one reason as to why these ratio strategies worked as well as they did. However, the results are still interesting because complexity does not seem to imply value (extra alpha generation) of significant magnitude, if at all. What does seem to imply value, are the minimization of human interactions with investment models and emotional stability.
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Lundgren, Anton, and Sara Ahlgren. "P/B i kombination med marknadsvärde : En studie på Stockholmsbörsen 2006 - 2016." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138819.
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Bakgrund: Denna studie är ett test av investeringsstrategi baserad på relativvärdering av multiplar. Den multipel som kommer att studeras som investeringsstrategi är Price-to-Book (P/B). Valet av multipel på P/B beror på att det är en väl omskriven multipel som fortfarande väcker frågeställningar avseende betydelsen av bokfört värde i kombination med marknadsvärde. Syfte: Syftet med denna studie är att undersöka och analysera multipeln P/B som investeringsstrategi för aktier. Vidare syftar studien till att undersöka aktier med låga respektive höga P/B från de olika börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Genomförande: Sex portföljer skapas baserat på låga respektive höga P/B från de marknadsvärdemässiga börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Portföljerna ombalanseras årligen och följs mellan 2006 och 2016. Resultat: Fyra av sex portföljer har högre ackumulerad avkastning än jämförelseindex före och efter riskjustering. Dock hindrar svag statistisk evidens påvisande av överavkastning över tid. På motsvarande vis finnes svaga säkerställda skillnader i avkastning mellan låga och höga P/B. Ej heller förefaller det förekomma signifikanta skillnader i avkastning och risk mellan portföljer på Small, Mid och Large Cap.Background: This study is a test of an investment strategy based on relative valuation of multiples. The multiple to be studied is Price-to-Book (P/B). P/B is chosen because although previously researched, the implications of book values paired with market values are still not well understood. Aim: The aim of this study is to examine and analyze the multiple P/B as an investment strategy for stocks. Moreover, this study intends to examine stocks with low and high P/B: s from the Small, Mid and Large Cap on the Stockholm Stock Exchange. Completion: Six portfolios are created based on low and high P/B: s respectively from the market value-based stock exchange lists Small, Mid and Large Cap on the Stockholm Stock Exchange. The portfolios are rebalanced annually and are followed between 2006 and 2016. Results: Four out of six portfolios exhibit higher levels of cumulative returns than the chosen stock index before and after adjusting for risk. However, weak statistical evidence prevent conclusive showings of excess returns over time. Similarly, we find weak support for differences in returns between low and high P/B: s. Neither does there seem to exist significant differences in return and risk between the Small, Mid and Large Cap.
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Service, Bruce Dale. "What Goes Up Must Come Down: The Relationship between the Housing Market Boom and the Subsequent Economic Downturn: Evidence from the MSA Level." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1502.
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Using MSA level data, the paper shows, that geographic areas which experienced the largest housing bubble generally suffered a more serious subsequent economic downturn. More specifically, the paper establishes that MSAs with larger declines in housing permits had larger increases in unemployment. There also appears to be strong evidence of a correlation between the magnitude of a housing boom and the timing of the decline in housing permits. MSAs which experienced larger real housing inflation offered early indications of the subsequent Great Recession.
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Bona, Sergio de. "Ações de valor e crescimento: novo estudo para o mercado brasileiro base IBrX-50, período de 2003 a 2011." Universidade Presbiteriana Mackenzie, 2012. http://tede.mackenzie.br/jspui/handle/tede/588.
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Previous issue date: 2012-08-13Fundo Mackenzie de Pesquisa
The Brazilian economy has experienced significant structural changes that have caused the Central Bank of Brazil to reduce interest rates. In addition to maintaining inflation rate close to target for the country it has contributed to the reduction of risks premiums. In this context of low interest rates and risks, evaluation and study of value (high book-to-market ratio) and growth (low book-to-market) type stock portfolios may represent a decisive factor in achieving superior financial returns. As discussed and researched in international markets, we analyzed in the Brazilian market if value stock portfolios have higher returns than growth type when maintained for long term, on a one-year basis. Faced with this prospect, this study analyzed and compared, based on the methodology proposed by Fama and French (1992, 1993), the performance of value and growth type portfolios built from the stocks that comprise the IBrX-50 of the São Paulo Stock Exchange, for the period from 2003 to 2011. For the statistical analysis of the portfolio s returns we used the three-factor pricing model: the market risk (beta), as defined by CAPM, the company size, measured by the market value of the stocks and the book-to-market index, represented by the ratio between the company s books and the market value of equity. The results demonstrated that investments in the value type portfolios in Brazil during this period have provided higher returns than investments in growth type, confirming also the perspective and results from Fama and French s (1992) analysis and published studies in international markets and Brazilian market. This confirmation may result in investment opportunities for investors and financial players on the market.
A economia brasileira tem apresentado mudanças estruturais significativas que tem determinado de parte do Banco Central do Brasil a redução das taxas de juros. Adicionalmente a manutenção da taxa de inflação próxima da meta estabelecida para o país tem contribuído para a redução dos prêmios de risco. Neste contexto de baixos juros e riscos, a avaliação e estudo das carteiras compostas por ações do tipo valor (alta relação livro-mercado) e crescimento (baixa relação livro-mercado) pode representar um fator decisivo para obtenção de retornos financeiros superiores. Assim como analisado e pesquisado em mercados internacionais, buscou-se analisar no mercado brasileiro se as carteiras compostas por ações do tipo valor apresentam retornos maiores do que as do tipo crescimento quando mantidas no longo prazo por períodos de um ano. Diante de tal perspectiva, este estudo analisou e comparou, com base na metodologia proposta por Fama e French (1992, 1993) o desempenho de carteiras do tipo valor e crescimento formadas a partir das ações que compõem o índice IBrX-50 da Bolsa de Valores de São Paulo, tomando como base o período de 2003 a 2011. Para a análise estatística dos retornos das carteiras utilizou-se o modelo de três fatores: o risco mercado (beta), conforme definido no CAPM; o tamanho da empresa, medido pelo valor de mercado das ações e o índice book-to-market, que representa a relação entre o valor contábil e o valor de mercado do patrimônio líquido. O resultado foi que os investimentos em carteiras do tipo valor no Brasil, durante este período, incorreram em retornos superiores aos investimentos em carteiras do tipo crescimento, confirmando assim a perspectiva e resultados de análise realizada por Fama e French (1992) e de outros estudos realizados tanto para os mercados internacionais quanto para o mercado brasileiro. Esta confirmação pode resultar em oportunidades de investimentos aos investidores e agentes financeiros do mercado.
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Bargman, Daniil, and Lisa Hansmann. "IFRS Implementation in Germany and the UK : And its Effects on the Quality of Accounting Information from an Investor Perspective." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15534.
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This thesis investigates whether IFRS adoption has led to an increase in the relevance of accounting information for investment decisions. Furthermore, the effects of IFRS are implicitly compared across accounting traditions. As such, the effects of IFRS on the “quality” of financial reporting are measured based on the cases of listed firms in Germany and listed firms in the UK. This study approaches the effects of IFRS on the quality of financial reporting from two angles. First a review of the academic literature is done to determine whether there has been a general consensus about the effects of IFRS adoption on financial reporting of listed firms in Germany and the UK. As a result of this literature study, a number of propositions are deduced about the effects of IFRS. Subsequently, the investigation of the effects of IFRS takes a statistical perspective. Financial and accounting data are obtained for two samples, one of German listed firms and another of UK listed firms. A number of empirical models are used to determine the quality of financial reporting, including the earnings-returns association (Lev ,1989; Lev & Zarowin, 1999), asymmetric sensitivity of earnings and asymmetric persistence of earnings (Basu, 1997), and the market-to-book ratios (Roychowdhury & Watts, 2003). Additionally, a new tool is introduced for a joint interpretation of the econometric test results, leading potentially to a new method of financial report analysis under dynamic regulatory conditions. Significant statistical evidence is found suggesting a drastic reduction (to the point of complete elimination) in income smoothing in Germany corresponding to the transition from the German national GAAP to IFRS. Additionally, with the introduction of IFRS, the information content of accounting earnings in German firms appears to have increased substantially, while market-to-book ratios have converged towards “1”. On the other hand, the introduction of IFRS in the UK corresponds to statistical evidence consistent with a shift from asymmetric timeliness of earnings under UK GAAP to a significant downward bias in earnings under IFRS. The study also shows significant inter-industry differences in the effects of IFRS that suggest that the inconsistencies in the results of previous studies may have been due to the significant noise created by diverse samples, or due to biased industry representations in the data.
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Wong, Tze Sun. "Characteristics of Stocks and Individual Investor Herd Behavior: A Causal-Comparative Study." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/5814.
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Some individual investors follow institutional investors in trading, a phenomenon called herding, that leads to excess market volatility and mispriced stocks. Individual investors who herded suffered from inferior investment performances and monetary losses, and the impact is broader in an individual investor dominant market such as Taiwan. Behavioral finance is the theoretical base of herd behavior. The purpose of this causal-comparative study was to examine individual investor herd behavior as related to characteristics of stocks in the Taiwan stock market. The research questions addressed what differences in individual investor herd behavior, if any, existed by market capitalization, price-to-book (P/B) ratio, and industry affiliation. The target population was the individual investors who traded in Taiwan Stock Exchange (TWSE) between January and December 2016. Participants were a purposive sampling of the target population with the exclusions of individual investors who traded illiquid stocks or exchange sanctioned stocks only. Data were collected through a subscription of TWSE data. The extent of individual herding estimated with Lakonishok, Shleifer, and Vishny's measure was 0.04. The 3 characteristics of stocks were separately and as a whole related to individual herding. The findings confirmed more serious sell-herding than buy-herding. The result from the logistic regression extended the knowledge of more serious herding in low P/B ratio stock with other variables controlled and different extents of herding by industry affiliation. The findings may improve individual investor financial literacy that may result in the positive social change of the alleviation of both herding and inferior investment performance.
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Jämtander, Jämtander. "Models explaining the average return on the Stockholm Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40360.
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Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.
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Creswell, Philip N. "Market microstructure : the automated order book." Thesis, University of Edinburgh, 2004. http://hdl.handle.net/1842/24500.
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This thesis examines the efficiency and implications of the market microstructure provided by the London Stock Exchange (LSE), extending the framework of O’Hara (1995), Parlour (1998) and Madhavan (2000) to accommodate the idiosyncrasies of the Stock Exchange Trading System (SETS) and the Stock Exchange Automated Quotation System (SEAQ). First, we offer a comparison of the two trading platforms using the methodology of Haung and Stoll (1996) and Venkataraman (2001) to show that the SETS order book is a more efficient platform, although it has a limited ability to cope with large orders. We compare the results with those from other exchanges described in Biais et al (1995) and De Jong et al (1995). We then give a detailed analysis of the SETS order book, the aggregate behaviour of traders, and a look at an investor’s order choice between aggressive market orders and passive limit orders. Building on theories described in Glosten (1992), Keim and Madhavan (1995), Harris and Hasbrouk (1996), Griffiths et al (2000) and Grinblatt and Keloharju (2001) we ask such questions as, when and in what way does the spread and depth vary? How do market conditions affect the choice of orders and vice versa? And how do the official order book market and the unofficial dealer market coexist? We analyse the aggressiveness of orders sent to SETS, as Beber and Caglio (2003) and Ellul et al (2003) do for the NYSE, and explain how spread, depth and asymmetry of depth affect the choice between limit orders and market orders. We find that, as the market moves from a bull phase to a bear phase, overall order activity ‘increases, the proportion of trading going through the order book increases, the quoted spread seems unaffected but the asymmetry of depth increases. We also find that daytime returns are higher during the bear market, due to the speculative nature of the continuous market (compared to the actions of the off market traders and the price set during the opening call auction). We differentiate between the behaviour of sellers and buyers; buyers are more heterogenous, and their decisions are more reliant on the time of day and market conditions. Finally we differentiate investors by trading volume and show that while medium sized traders conform to modern theory, larger traders use aggressive orders to manipulate the market and hide information, and small traders pay little attention to the method of execution.
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Bergqvist, Gabriel, and Aristizábal Diego Fernando Botero. "E-book market adoption in Sweden." Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-16717.
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The purpose of this thesis is to contribute to the knowledge about why customers select e-books, paper books or audiobooks, and what differences exist for different customer groups. Considering that publishing is a really old business, well established hundreds of years before the internet, it is not surprising that disruptive new concepts as e-books, audiobooks and the internet require the companies to change their way of doing and looking upon business. Organisations need to alter their dominant logic in an appropriate way in order to be able to compete with newcomers that are not attached to an “old” dominant logic. Even though Swedish people are tech-savvy, the e-book market account for a very small proportion compared to the total book market. One important reason for the low proportion of e-books and digital audiobooks is that it is a relatively new market. It takes time for a new market to expand. Another reason is that many companies believe that profitability is too low. The fact that e-books and audiobooks have to pay 25 percent in VAT while the VAT on paper books is 6 percent doesn’t help. The impact of eBooks and audiobooks on the book market is related to the ease or difficulty of potential readers to utilise the available technical aids. This question has been analysed in the context of three partially overlapping theories about the individual's adoption of new technology. They are Technology Acceptance Model (TAM), the United Theory of Acceptance and Use of Technology (UTAUT) and Intrinsic and Extrinsic Motivation Theory. Furthermore, some theories for understanding of individuals' adoption of technical innovations in the book market are used. These are the Adoption-Diffusion Theory and the Innovation-Decision process. In order to gain increased knowledge about determining factors for readers' choice of eBook and paper book, a survey was conducted. Aspects such as demographics, reading habits, willingness to use eBook related services and interest in self-publishing a book were analysed. In our survey, we limit ourselves to an analysis of various individual factors that influence the individual's choice between e-books/audio books and paper books. The survey provides a lot of interesting findings. "Early adopters" in our survey are those who prefer the electronic option, but at the same time read many paper books. It is in this group we find the most frequent readers, not among the traditional paper book readers. Moreover, a low price of e-books relative to paper books makes it easier for readers to adopt e-books. We also found that the group of books who prefer paper books are de facto interested in e-books, but only if they are free or by subscribing to them. The technical conditions for expanding the market for e-books and audiobooks in Sweden are very good. The digital maturity and technical infrastructure are at the top of the world. Virtually all households have the technical equipment needed for digital books, especially among younger people. However, the market for e-books and audiobooks is quite new, which means that it is still very small compared to paper books. However, the rate of growth is high, especially in the form of subscription services.
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Ibrahim, Muhd Kamil. "Market value, book value and goodwill." Thesis, Bangor University, 1999. https://research.bangor.ac.uk/portal/en/theses/market-value-book-value-and-goodwill(51c367e7-9e9d-4acb-bcf7-e33933c4b76c).html.
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This thesis examines the value relevance of goodwill that has been eliminated through reserves in the year of acquisition. Specifically, it investigates the association beiween goodwill reserve write-off and the value placed on the firm by the stock market. In so doing, the thesis describes the relationship between the implied value of purchased goodwill and that of other assets, and we seek to explain the underlying paffern of the amortisation of goodwill over time. The empirical method uses cross-sectional equity valuation models for the period 1994- 6. Based on the modified balance sheet identity, the equity valuation model parameterises purchased goodwill and other assets separately, and a more meaningful interpretation is given of the intercept term than in previous studies relating to purchased goodwill. The results confirm that the market incorporates information on the goodwill reserve write-off in the valuation of a firm, and the results also show that the market: book ratio is similar to tangible assets but its behaviour suggests a relatively higher amortisation rate. Although the present study provides evidence supporting the requirement in FRS 10 (Goodwill and Intangible Assets) to capitalise purchased goodwill, the findings also show that the incremental value of capitalised goodwill declines far more quickly than FRS1O suggests, thus placing particular importance on the impairment test required by FRS 10.
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Ivanova, Yulia. "The entry strategy to Belarussian book market." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-74039.
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The thesis demonstrates the entry strategy of a fundamentally new product - the magazine-catalogue of business books through the publishing house - to the B2B Belarusian book market. This product will help companies to make a better choice in the market of business literature. Customers will enjoy an overview and easy access to the titles, will have a quick reference about the content and prices, and will be able to place purchase orders online. The central issue is the optimization of courier service in the capital city Minsk and the surrounding area based on the customer demand. Therefore there is a need to introduce a new product, which will help to order books through catalogue and having them delivered by post, saving both, time and energy. The thesis is based on actual experience and its conclusions can be used in business practice.
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Klaassen, Jan-Aaron. "Knowledge Society and the Book Market in Egypt." St. Gallen, 2005. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02606903001/$FILE/02606903001.pdf.
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Meilūnaitė, Vaišvilienė Alina. "Influence of advertising on customer in book market." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100527_135200-04112.
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Paper represents the research of influence of advertising and its results. The research was conducted in two stages: an experiment to evaluate influence of advertising, trademark, and other factors on the choice of books, and a research to interpret the obtained data – influence of advertising was interpreted in the context of respondents’ experience, system of influence of advertising in book market was established, factors differentiating influence of advertising were singled out. The research also analyses theories of advertising influence and estimates the relation between advertising and book business. Theories of the influence of advertising fall into four groups. From theories of market response that bring no transitional effects it is proceeded to theories of persuasion. The relation of advertising and individual experience, and advertising and information was looked into in the framework of publicity and experience. In the second part, book advertising theory was analysed, preceding scientific research and approach to advertising in scientific research of publishing sector were studied, and market research conducted in various countries were analysed to estimate the relation between advertising and book business. Theoretical part of the investigation addresses traits of book market that shape communication of advertising, and subjects of book advertising are estimated from the point of view of influence.Disertacijoje nagrinėjama reklamos ir knygų verslo sąveika, nustatomi knygų reklamos poveikio vartotojui būdai, išskiriami poveikį diferencijuojantys faktoriai. Išnagrinėjus reklamos poveikio teorijas, nustatomi bendrieji reklamos poveikio principai. Reklamos poveikio teorijos suskirstytos į keturias teorijų grupes, – nuo rinkos atsako teorijų, kurios neturi pereinamųjų efektų, pereinama prie įtikinimo teorijų, kurių ribose ilgą laiką plėtotos racionalaus poveikio teorijos buvo peržiūrėtos emocinio poveikio aspektu. Populiarinimo ir patirties teorijų ribose apsvarstytas reklamos ir informacijos, reklamos ir individo patirties santykis. Siekiant įvertinti reklamos ir knygų verslo sąveiką, analizuota knygų reklamos teorija, nagrinėti mokslo darbai, tyrę knygų reklamos ir rinkodaros klausimus, rinkos tyrimai. Teoriniame tyrime svarstomi knygų rinkos bruožai, formuojantys reklamos komunikaciją, poveikio aspektu nagrinėjami knygų reklamos objektai. Reklamos poveikio tyrimas buvo vykdomas dviem etapais, – pirmajame etape atliktas eksperimentas, kurio metu buvo vertinama reklamos, prekės ženklo ir kitų faktorių įtaka knygų pasirinkimui; antrajame etape atliktas tyrimas gautiems duomenims paaiškinti – reklamos poveikis išnagrinėtas individo patirties kontekste, nustatyta reklamos poveikio sistema knygų rinkoje, išskirti reklamos poveikį diferencijuojantys veiksniai.
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Malik, M. A. A. "Limit order book dynamics and market impact estimation." Thesis, University of Essex, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.571506.
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This thesis focuses on two closely related areas of liquidity and market impact. The historic limit order book of Stock Exchange Trading Sys- tem (SETS) operated by the London Stock Exchange (LSE) is rebuilt using this framework for empirical analysis of information contained in the limit order book. The concept of Notional Volume Weighted Average Price (NVWAP) is introduced to construct liquidity supply and demand curves based on real time bid and ask schedules of the full length of the limit or- der book. This unique approach is used to determine how the order book behaves and I find consistent wave-like patterns between up- ward and downward price trends. Regression coefficients of the slope of the curves for each market event are estimated using an exponen- tial model. Four statistics are defined to identify bullish and bearish trends without prior knowledge of the market price. Detailed analy- sis shows that these statistics correctly identify market conditions for 88% to 97% of the observations. The intraday patterns of regression coefficients are revealed using a nonparametric kernel regression model. These intraday patterns are not found to be consistent between stocks over time. A resampled and deseasonalised set of estimated regression coefficients is analysed for temporal dependence using a multivariate vector autoregression (VAR) model. Inferences drawn from marginal probabilities regarding Cranger-causality do not show significant impact of slope coefficients on the opposite side of the limit order book implying that each side of the market is simultaneously rather than sequentially influenced by prevailing market conditions. The VWAP concept is extended to estimate the average shape of the limit order book and average market impact. The average market impact estimates are found to be superior than the order imbalance based approach. A time-of-day market impact for a given aggregate volume is estimated using a multivariate kernel regression model with monotonicity constraint. The estimated market impact shows stock- specific and wave-like impact that is asymmetric for buyers and sellers.
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Coultas, Andrew. "Is the price-to book/return on equity ratio constant across sectors?" Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/10321.
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This research paper investigates whether or not the Price-to-Book/ Return on Equity ratio is constant across the banking, retail, pharmaceutical and manufacturing sectors. The study makes use of statistical tests to determine if the ratio is constant. In addition, the research paper investigates the explicatory powers of the DuPont model, the Federal interest rate, and Consumer price inflation of the Price-to-Book/ Return on Equity ratio. This research documents evidence that the Price-to-Book/Return on Equity ratio is not constant across sectors and that the explicatory powers of the DuPont model differ from sector to sector. The implications of these findings are that investors cannot apply the same Price-to-Book/ Return on Equity ratio across sectors when evaluating stocks relative to each other.
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Osterrieder, Jörg Robert. "Arbitrage, the limit order book and market microstructure aspects in financial market models." kostenfrei, 2007. http://e-collection.ethbib.ethz.ch/view/eth:29478.
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Luthuli, Sandile. "A study into the relationship between the price earnings ratio and the price book ratio on the JSE Securities Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52143.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always sought to identify with certainty, factors that determine investment returns and share price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier, made the revelation that share price movements followed a random pattern, i.e. they could not be predicted with certainty. Through continual research, two schools of thought emerged - fundamental and technical analysis. The fundamentalists' perspective is that through thorough due diligence analysis of current and historical data, one will be able to identify good investment prospects.The latter stipulates that future price movements can be predicted from previous price movements, i.e. historical patterns replicate themselves over time. The random walk theory suggested by Kendall was followed by the Capital Asset Pricing Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black (1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The CAPMremains the backbone of modern financial theory and is the basis against which all new developmentsare measured. Subsequent studies have attempted to find other explanatory variables of return other than beta. Banz (1981) found evidence of a relationship between size and returns later referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk factors, the size effect did not yield high returns adequately, thus challenging Banz's findings. In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that given more accurate estimates of beta, no sized-based differences in returns could be observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size, leverage also played an important explanatory role of returns. Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh (1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size and other non-market factors. The combination of these factors led to the conclusion that the CAPM model had been misspecified. Fama and French (1992 and 1995) expanded the research and sought to establish the multi-dimensionality of beta. They found, inter alia, that equities with a high book value vis-a-vis their price realised higher returns than their counterparts. They further found profitability to be positively related to size. This led to a new ratio in financial analysis, the price book ratio (PB). The PB ratio has never emerged as a prominent analytical tool in the financial sector and has historically been superseded by the price earnings (PE) ratio. The author therefore seeks to establish the raison d' etre for the status quo by undertaking an empirical study of the JSE Securities Exchange for the period commencing 1989 and ending 1998. Using financial data obtainable from annual financial statements, the author proceeded to calculate PE and PB ratios. Tracing the mathematical derivation of the two ratios and using the Pearson correlation coefficient, trend analysis and the Spearman Rank correlation test, the author found that there exists prima facie evidence to suggest that the PE ratio could be used as a proxy for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio as an explanatory tool.
AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In 1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid voorspel kan word nie. Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en tegniese analise. Fundamentele ontleding veronderstel dat winsgewende beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel, dat patrone hulself oor 'n sekere periode herhaal. Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel (MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is. Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe ontwikkelings gemeet word. Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen (1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se bevindinge bevraagteken. In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het. Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n belangrike bydrae lewer in die bepaling van opbrengste. Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die gevolgtrekking dat die MPM model verkeerd gespesifiseerd was. Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB). Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu. Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem. Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek verhoudings bereken. Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot- boek verhouding as 'n verklarende veranderlike.
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MONNERAT, RENATA SILVINO. "THE GAPS IN THE MARKET: DESIGNERS AS BOOK PUBLISHERS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=30705@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO
A dissertação apresenta o trabalho de designers-editores de livros, profissionais que possuem conhecimentos da área do Design e atuam no mercado editorial na função de editor. Evidencia o diferencial que a personagem do designer-editor traz ao contexto atual do mercado editorial e ao campo do Design. Diante das transformações ocorridas no entorno do universo editorial, profissionais da cadeia produtiva do livro e editores têm suas funções desafiadas e novos conhecimento são exigidos. Habilidades voltadas para a busca por inovação, criatividade e gestão da complexidade com que se estrutura o mercado são necessárias. O trabalho teve como objetivo identificar quais os conhecimento adquiridos a partir do DESIGN diferenciam o EDITOR na sua atuação no MERCADO como editor de livros. Para isso, foram estabelecidos os contextos da editoração do Brasil, aspectos históricos e culturais, delimitada a função do editor de livros no mercado contemporâneo e caracterizadas as competências e habilidades que capacitam o designer. A dissertação documenta três experiências editoriais: André Villas-Boas e a 2AB editora; Vitor Barreto e as editoras Novas ideias e 2AB; e Christiano Menezes e a DarkSide books. São analisadas as biografia dos três editores, o histórico de formação das editoras, as linhas editoriais propostas, os catálogos constituídos e as obras representativas editadas. E ao final, delimitadas as influências da experiência em Design sobre o exercício da função editorial.
The dissertation presents the work of designers-book publishers, professionals who have knowledge of Design and act in the book publishing market as a publisher. It seeks to highlight the differential that the designer-book publisher brings to the current context of the book publishing market and the field of Design. Faced with the transformations that have occurred in the surroundings of the publishing world, professionals in the production chain of the book and publishers have their functions challenged and new knowledge is required. Skills aimed at the search for innovation, creativity and management of the complexity with which the market is structured are necessary. The work aims to identify which knowledge acquired from DESIGN differentiates the EDITOR in its work in the MARKET as a book publisher. For this, the research establishes the contexts of Brazilian publishing, historical and cultural aspects, delimits the function of the book publisher in the contemporary market and characterizes skills and abilities that enable the designer. The dissertation documents three editorial experiences: André Villas-Boas and 2AB editora; Vitor Barreto and the Novas Ideias and 2AB editora; and Christiano Menezes and DarkSide books. Then, it analyzes the biographies of the three editors, the history of publishing houses, the editorial lines, the catalogs and representative works. Finally, it delimits the influences of the experience in Design on the exercise of the editorial function.
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Heang, Rasmey. "BOOK REVIEW: THE USE OF MARKET INTELLIGENCEIN COMPETITIVE ANALYSIS." Thesis, Högskolan i Halmstad, Akademin för ekonomi, teknik och naturvetenskap, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-33508.
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Most of managers are concerning on the practical work of making a good strategic planning for their company, but they pay a little attention in theories where it is helpful for them to build the insights of competitive analysis. This paper aims to provide managers with understanding the insight of market intelligence and how market intelligence will be used in building the competitive analysis through industry analysis, company analysis, competitor analysis, business intelligence, and marketing intelligence. This study will be useful, practical and able to provide guidance for the practical application of ideal concepts in real situation. This paper is not only applicable for managers but also it is useful for business school faculty and students since they could find this book to be a supplement to the more academic articles available.
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Yam, Chan-yin Rua, and 任燦賢. "Earnings/price ratio anomaly of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1988. http://hub.hku.hk/bib/B31264190.
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Lee, Siu Kuen Raymond. "An analysis of value relevance of book value and earnings." HKBU Institutional Repository, 2001. http://repository.hkbu.edu.hk/etd_ra/307.
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Shih, Chun-yu, and 施純玉. "An Investigation on Book-to-Market Ratio." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/21492351345017275649.
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碩士國立臺灣大學
財務金融學系
85
Many researchers have documented that stocks'' excess returns, afteradjusting for the market risk by the CAPM, are positively related to thebook-to-market ratios. Some researchers [Fama and French 1992,1995] arguedthat those firms with high book-to-market ratios were expected to have lowerreturns on capital than those firms with low book-to-market ratios. Buyingstocks that have high book-to-market ratios, due to these distressed firmsbeing more sensitive to economic conditions, tend to have higher risk. Thehigher excess returns are simply a compensation for this risk which is notaccounted for by the traditional CAPM. However, some researchers have raisedalternative explanations for this CAPM anomaly. For example, Dreman and Berry(1995) proposed a mispricing-correction hypothesis, stated that the differingreturns for different book- to-market stocks may result from a correctivereeaction to significant mispricing. The empirical research is conducted first to determine whether excessreturns are found for high book-to-market stocks, by using the market mode toto adjust for systematic risk. Second, we are to examine whether the excessreturn are related to the earnings prospects of the firms, or from the marketmispricing. The major findings of this research presented are:1. A significant positive excess returns are found for high book-to-market stocks, by using marketmodel to adjust for systematic risk. 2. Firms with high book- to-market ratios do not possess poorer earnings prospects than those of firms with low book-to-market ratios. 3. Differing returns for different book-to-market stocks are not result from differing risk of those firms. 4. The results presented in this research is found to be consistent with mispricing correction, and investors tend to overreact in Taiwanese stock market.
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Yau, Ming-Ching, and 姚明慶. "Book-to-Market Ratio and Expected Return." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/57112369058817701615.
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Ting, Wen Lee, and 李丁文. "Price-to-Book Ratio Strategy and Market States." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/68855736224371422150.
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碩士國立中正大學
財務金融研究所
101
In this study, I test whether the price-to-book ratio of the stock affects return of the stock, and the profit of portfolios constructed by different price-to-book ratios. I apply four models to test if there is abnormal return for these portfolios constructed by different price-to-book ratios. And presents the profitability of these portfolios on condition of different market states. Finally this study find the stocks whose price-to-book ratios around 1 generate significant abnormal returns at UP market state but most of them can’t generate significant abnormal return at DOWN market state.