Dissertations / Theses on the topic 'Price-to-book ratio'
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1
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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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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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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Arnou, Corentin, and Marcus Hammarstedt. "DOES IT PAY TO BE ESG? : An empirical analysis of sustainability in the Nordic countries from a risk and valuation perspective." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185361.
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In the field of sustainable finance, Environmental-, Social- and Governance-ratings (ESG) have become an acknowledged measurement of a firm's sustainability performance. The increased awareness of sustainability issues in today's society is undeniable. However, based upon contradicting results from previous research, it was uncertain if investors were rewarding a firm’s sustainability efforts in the form of a lower cost of equity. The purpose of this thesis has therefore been to examine the relationship between sustainability, risk and valuation as well as stock-price behavior in times of crisis regarding large firms publicly listed in the Nordic countries. In order to fulfil the purpose, various multiple regression models have been conducted on quarterly data from the period between 2011 to 2020. The approach chosen to examine if ESG has a relation to the cost of equity has been to calculate the implied cost of equity inferred from consensus forecasts of future financial development and stock price at each point in time, also known as the ex-ante cost of equity. Since the independent variable ESG-score was not likely to be the sole variable to affect the independent variables in our multivariate regression models, we have followed previous studies in the choice of control variables. The empirical results of this study showed a significantly negative relationship between a firm’s ESG-score and the cost of equity. In addition, our results showed a significantly positive relationship between a firm’s ESG-score and both the price-to-earnings ratio as well as the price-to-book ratio while no significant relationship between a firm’s ESG-score and the enterprise value to earnings before interest and taxes ratio could be established. Finally, the results of this thesis showed that firms with a greater ESG-score generated excess returns during the latest market turmoil of 2020 caused by the Covid-19 outbreak. This thesis challenges the value-destruction view of ESG-efforts since our results indicate that investors are pricing sustainability risk with a negative risk premium in line with the value creation approach. No causality test has been performed during this study, however several possible mechanisms by which ESG impacts the valuation and crisis resistance have been discussed based upon previous research and the theoretical framework. We argue for the reduced cost of equity to reflect diminished information asymmetry, a larger investor base, improved growth and cash-flow opportunities as well as reduced risk for litigations as aconsequence of a more sustainable business conduct. To the best of our knowledge, no previous study on the topic has been conducted on the Nordic markets. This study fills thus a research gap on the relation between sustainability, risk andequity market valuation and we sincerely hope to have contributed to academia with new approaches.
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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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Olsson, John, and David Svensson. "Investeringsstrategier baserade på multipeln Pris/Bokfört värde : En studie på Stockholmsbörsen under perioden 2004-03-31 till 2015-03-31." Thesis, Linköpings universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-119447.
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Background: There is a general belief that value stocks, historically, have created a greater return of investment compared to growth stocks. Investors can, through key ratios, compare companies to one another and thereby gain a solid appreciation whether a company is overvalued or undervalued relative to other comparable companies. The problem for investors is how to identify these value stocks and exploit mispricing in the market. Aim: The purpose of this study is to analyze investment strategies that are based on the Price-to-Book ratio on the Swedish stock market. Completion: To meet the purpose, the study is based on a deductive foundation with a quantitative method. Two investment strategies are investigated based on the Price-to-book ratio. The first strategy sorts the material following the value of the multiple, whereas the other strategy relies on regression analysis where interest on own capital is used as an explaining variable. Results: To only look at the price-to-book ratio, in order to distinguish undervalued stocks, does not work in the Swedish stock market during the period of 31-03-04 to 31-03-2015. It can be concluded that the combination used in the developed strategy works to identify value stocks that have a significantly higher cumulative return compared to the OMX Stockholm Price Index.Bakgrund: Det finns en övertygelse om att värdeaktier historiskt har skapat högre avkastning än tillväxtaktier. En investerare kan genom värderingsmultiplar och nyckeltal jämföra bolag med varandra och skapa sig en uppfattning huruvida ett bolag är över- eller undervärderat relativt jämförande bolag. Problematiken ligger i hur en investerare skall identifiera värdeaktier och utnyttja felprissättningar på aktiemarknaden. Syfte: Syftet med studien är att analysera investeringsstrategier baserade på multipeln Pris/Bokfört värde på den svenska aktiemarknaden. Genomförande: För att uppfylla syftet utgår studien från en deduktiv ansats med en kvantitativ metod. Två investeringsstrategier undersöks baserade på multipeln Pris/Bokfört värde. Den ena strategin sorterar materialet utefter multipelns värde och den andra strategin genomförs med hjälp av regressionsanalys där räntabilitet på eget kapital används som förklarande variabel. Resultat: Att endast utgå från Pris/Bokfört värde, för att urskilja undervärderade aktier fungerar inte på den svenska aktiemarknaden under åren 2004-2015. Det kan fastställas att kombinationen i den utvecklade strategin fungerar för att identifiera värdeaktier som har en markant högre kumulativ avkastning jämfört med OMXSPI.
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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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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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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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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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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.
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Vassallo, Peter Bruno. "Governance mechanisms and firm characteristics." 2005. http://hdl.handle.net/2100/616.
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University of Technology, Sydney. Faculty of Business.Recent regulatory changes in developed economies have sought to apply uniform standards for corporate governance following a series of high profile corporate collapses between 2000 and 2002. The various regulatory responses raised questions in the governance literature on the appropriateness of a “one size fits all” approach. However, empirical outcomes in this literature do not provide a consistent picture on how, or even whether, governance choices vary with firm characteristics. This thesis addresses the lack in empirical direction by investigating the discriminatory power of a fundamental firm variable, the price-to-book ratio (P/B), that is often applied in Australian and other studies to predict governance outcomes. It evaluates how a joint price-to-book, price-to- earnings, firm classification (P/B, P/E) captures variations in governance choices by Australian firms and compares the results with those using a conventional P/B classification. Choices for two key mechanisms – the level of independence of the board of directors and the quality of its external auditors, are examined as they feature prominently in regulatory reforms. The results show that a joint P/B, P/E classification captures significant differences in the use of both mechanisms confirming that governance frameworks vary with firm characteristics. Consistent with expectations, these differences are recorded for board independence within high and within low P/B firms. Significant variations are also identified in the choice of auditor quality within both P/B classes of firms. By enabling a more parsimonious analysis of firm characteristics through the joint P/B, P/E framework, these results enhance our understanding of the choice of independent directors and high quality auditors. They also lend support to the general proposition that a “one size fits all” governance framework could lead to unnecessary costs for firms as they seek optimal governance arrangements that suit their specific information environments.
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LIAO, LI-SHU, and 廖麗淑. "The Nonlinear Causal Relationship between Each of the Book to Price Ratio, Earning to Price Ratio, and Cash Flow to Price Ratio, and the Stock Price of lululemon." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/s3z9v8.
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碩士國立臺北大學
國際財務金融碩士在職專班
106
This study employs threshold auto regression (TAR) and threshold error-correction model (TECM) elaborated by Enders and Granger(1998) and Enders and Siklos(2001) to empirically investigate the nonlinear causal relationship between each of the three ratios (Book to Price (B/P), Earning to Price (E/P) and Cash Flow to Price (CF/P)) and the stock price of lululemon from 2008 to 2017. The empirical evidence suggests that there is an asymmetric threshold cointegration relationship between each of B/P, E/P and CF/P and the stock price of lululemon. The further findings from TECM Granger-Causality tests show that there exists long-run causal relationship of the stock price to CF/P, when the increase of CF/P higher than the threshold value of CF/P to stock price, but no short-run causal relationship of CF/P to the stock price. Besides, neither short-run nor long-run causal relationship of stock to B/P, E/P, and CF/P exists. However, B/P to the stock price, E/P to the stock price, and CF/P to the stock price are all with long-run causal relationship, and regarding the short-run causal relationship, there is only B/P to the stock price of lululemon.
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Chang, Po-Ya, and 張博雅. "An Empirical Study on the relationship between Firm Size, Price-to-Earnings Ratio, Price-to-Book Ratio, Price Sales Ratio and Taiwan stock returns." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/49424594190978024695.
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碩士崑山科技大學
國際商務與金融研究所
105
This study examines the relationship between the firm size, price-to-earnings ratio, price-to-book ratio, price-to-sales ratio and stock returns in Taiwan market. The main results are as follows: 1. In single-variable investment portfolio, the stock return of the electronic technology stock is the highest in top 20% firm size. The stock return of firm size between 80%-100% is the lowest. In addition, the average returns of stocks of portfolio of top 20% price-to-earnings ratio, top 20% price-to-book ratio and top 20% price-to-sales ratio are the highest. 2. In two-variable investment portfolio, it is found that the stock return of the top 20% firm size and top 20%price-to-earnings ratio portfolio is positive and the highest. The average return of the firm size between 80%-100% and the price-to-earnings ratio between 80%-100% portfolio is underperforming. In addition, the average return of top 20% firm size and top 20% price-to-book ratio portfolio is positive and the highest. The average returns of firm size between 80%-100% and the price-to-book ratio between 80%-100% portfolio is underperforming. Also, the average return of top 20% firm size and top 20% price sales ratio portfolio is positive and the highest. The average return of firm size between 80%-100% and top 20% price sales ratio portfolio is underperforming. In sum, in one-variable investment portfolio, the bigger the firm size, price-to-earnings ratio, price-to-book ratio and price sales ratio, the higher the average return. On the other hand, in two-variable investment portfolio, the bigger the firm size & price-to-earnings ratio, firm size & price-to-book ratio, and firm size & price sales ratio, the higher the average return.
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Hsieh, Fu-Sheng, and 謝福昇. "The Empirical Analysis of Price to Book Ratio, Price to Earnings Ratio And The Market Value on Taiwan Portfolio Performance." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/86981167462816116116.
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碩士南華大學
財務金融學系財務管理碩士班
104
There are many investment strategies in the stock market and the most important issue is how to profit. This study uses price-to-earnings ratio, price-to-book ratio to form value stocks, growth stocks, small-caps, large-caps, and test the excess returns compared to market portfolio. This study has three main results: first, considering all the companies listed at stock exchange or over-the-counter market, in comparison with growth stocks, value stocks gain higher returns .The growth portfolio returns are even worse than the market portfolio. And it shows scale effect in the Taiwan stock market, small-caps are much better than large-caps. Second, under the status to classify electronic and non-electronic groups, on electronic- groups terms, a low PE ratio of return on value stocks are much better than the growth stocks ,in terms of non-electronic groups, value stocks are far superior to the growth stocks ,scale effect of both groups is also consistent with the results of all the companies listed. Third, when the bear market comes, only a low PE ratio of return on value stocks of the electronic groups, are significantly higher than growth stocks and market stocks. This indicates electronics stocks have the connotation of "Valuable stock is not easy to fall in the bear market"
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Vassallo, PB. "Governance mechanisms and firm characteristics." Thesis, 2005. http://hdl.handle.net/10453/20008.
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University of Technology, Sydney. Faculty of Business.Recent regulatory changes in developed economies have sought to apply uniform standards for corporate governance following a series of high profile corporate collapses between 2000 and 2002. The various regulatory responses raised questions in the governance literature on the appropriateness of a “one size fits all” approach. However, empirical outcomes in this literature do not provide a consistent picture on how, or even whether, governance choices vary with firm characteristics. This thesis addresses the lack in empirical direction by investigating the discriminatory power of a fundamental firm variable, the price-to-book ratio (P/B), that is often applied in Australian and other studies to predict governance outcomes. It evaluates how a joint price-to-book, price-to- earnings, firm classification (P/B, P/E) captures variations in governance choices by Australian firms and compares the results with those using a conventional P/B classification. Choices for two key mechanisms – the level of independence of the board of directors and the quality of its external auditors, are examined as they feature prominently in regulatory reforms. The results show that a joint P/B, P/E classification captures significant differences in the use of both mechanisms confirming that governance frameworks vary with firm characteristics. Consistent with expectations, these differences are recorded for board independence within high and within low P/B firms. Significant variations are also identified in the choice of auditor quality within both P/B classes of firms. By enabling a more parsimonious analysis of firm characteristics through the joint P/B, P/E framework, these results enhance our understanding of the choice of independent directors and high quality auditors. They also lend support to the general proposition that a “one size fits all” governance framework could lead to unnecessary costs for firms as they seek optimal governance arrangements that suit their specific information environments.
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CHEN, I.-HUA, and 陳怡樺. "The Empirical Study of Value Investing in Taiwan Stock Market：F-SCORE cooperating with Dividend-to-price ratio, Earnings-to-price Ratio and Book-to-Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/558yg4.
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碩士國立高雄科技大學
金融資訊系
107
The purpose of this study is to examine the relative performance of stocks investment portfolio by using accounting information. The sample of this study is selected from TEJ to test F-SCORE cooperating with Dividend-to–price ratio, Earnings-to-price Ratio and Book-to-Market respectively for the Taiwan stock markets. The sample period is from May, 2008 to May, 2018. The findings of this study are as follows. First, if we choose Dividend-to–price ratio, Earnings-to-price Ratio or Book-to-Market to distinguish from the value and growth portfolio, the value portfolio is significantly better than the growth one. Second, if we choose F-SCORE to distinguish from high and low score, the high score portfolio is significantly better than the low score one. In the final, if we choose F-SCORE respectively compare with Dividend-to-price ratio, Earnings-to-price ratio or Book-to-Market for two-phase screen of stocks on the basis of fundamental financial information, no matter value or growth portfolio strategy, they could increase the performance. The final result showed that when the investor use Dividend-to–price ratio, Earnings-to-price Ratio or Book-to-Market together with fundamental financial information, they could become more profitable or more effectively improve the performance.
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Yen, Wan-Chun, and 顏萬春. "The Study of Association between Intellectual Capital and Market Price-to-Book Ratio." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/75035820166959137030.
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碩士中原大學
會計研究所
96
Abstract Following the rapid development of the knowledge-based economy, invisible assets of a company have often become the key factor in determining the achievements of the company’s operation, including intellectual capital such as manpower, public relationship and company structure. As the traditional financial report fails to reflect the true value of an enterprise, thereby resulting in insufficient provision of financial data, this study has utilized the conceptual structure of intelligent capital to explore the effects of R&D, advertisement and expenses on manpower, on the enterprise. It is expected that investors can obtain more relevant financial data for making the correct decisions. This study took the period from 2001 to 2005 as the study duration, and companies registered in the stock market from various industries in Taiwan were selected as the targets of discussion, accounting for a total of 445 companies as the effective samples. Meanwhile, the significance related to intellectual capital, industry and corporate value (market-to-book value), is discussed, and the empirical results of this study are described as follows: In terms of innovative capital, RD, RDS and MBR have showed positive significant effect, which indicates that companies with higher RD and RDS also possess greater amplitude of MBR improvement. In terms of manpower capital, the SS showed negative significant effect, which indicates that for companies with higher SS, the MBR will not increase accordingly; instead, it will be reduced as a result. In terms of capital for measurement procedures, the AS showed positive significant effect, indicating that adequacy of AS investment affects the improvement of MBR to a great extent. In terms of capital for customer measurement, the SG showed positive significant effect, indicating that corporate value increases when customers’ satisfaction towards the product increases and customers are willing to place further orders. This study found that difference in industrial structure contributed by R&D, advertisement and expense on manpower towards the valuation of an enterprise can act as guidance when the enterprise executes relevant investment on invisible assets, thus helping the enterprise to generate maximum market value.
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Huang, Hui-Jung, and 黃惠蓉. "The Effect of Price to Book Ratio on Investment Strategy: The Evidence on Taiwan Companies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/c48hak.
Full textAbstract:
碩士南華大學
財務金融學系財務管理碩士班
104
Value investment strategy is a deeply concerned issues for investors. The developed countries’ markets, such as the U.S.A, Europe, Japan, after the researchers’ study and they prove that the lower a corporation’s price book ratio is, the reward of the future stock will be higher. However, the researchers have different views, therefore the researchers used to study all listed corporations in Taiwan for the past literature. Furthermore, the researchers only classified into electronics and traditional industry and to study the effect of price book ratio. This study examines listed company and at over-the-counter market and five main industries (Electronics, Financial, Biochemical, Textile, Electric Machinery). Adopting the investment strategy of monthly exchange and BBI (Bull and Bear) index to explore whether the effect of price book ratio exists. The results find that the return of the lower book to price ratio is better than the higher book to price. However, the strategy of BBI, the electronics and textile are not so obvious.
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Luo, Shu-Wun, and 羅淑文. "The Research between Price to Book Value Ratio and Market Reaction of write-off announcement." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/11570315250652867343.
Full textAbstract:
碩士國立雲林科技大學
會計系研究所
94
According to Statements of Financial Accounting Standards (SFAS) No.35 - Accounting for Asset Impairment, this study is focused on as a company price is lower than book value it’s need to take an impairment test for asset, to recognize asset impairment loss in the financial report. It’s believed here that before a company declared its recognized asset impairment loss, its net carrying amount of asset has been shown in the market. So the fluctuation of stock prices affected by the amount of accumulated asset impairment loss recognized in companies of the kind is minor. This study adopts the multiple regression analysis. The sample companies are constrained to 2004 listed companies in Taiwan. The empirical result evidence that the market suggests that reaction of stock market caused by the amount of accumulated asset impairment loss recognized in a company whose total market price is lower than net carrying amount of asset is indeed subtle.
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Ya-Chi, Lei, and 雷雅淇. "Firm Size, Stock Price, E/P Ratio, Book-to-Market Equity, and Abnormal Stock Returns." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/55286472381883218431.
Full textAbstract:
碩士國立中央大學
企業管理研究所
88
This study examines the empirical relation between market value, stock price, book-to-market equity, e/p ratio, and abnormal returns. By applying two-way ANOVA, correlation analysis, and regression analysis, we investigate the individual and net effect of market value, stock price, book-to-market equity, and e/p ratio on the risk-adjusted excess returns. We find stock price is significantly related to returns.
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TASI, HONG-BIN, and 蔡宏賓. "Using the genetic algorithm on RSI, BBAND, Buy and Sell ratio to explore return on investment of the price to book ratio." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/5du995.
Full textAbstract:
碩士國立高雄應用科技大學
資訊管理研究所碩士班
105
With the development of information, the stock market information is gradually transparent, stock information easy to obtain, for investors, the most important thing is how to choose the ideal investment target, and which commonly used as index is price to book ratio and then is how to operate the stock they owned. In recent years, many scholars have put forward empirical research that return on investment of low price to book ratio is better than high price to book ratio, but most of the study using the buy and hold to calculate the return on investment, so this study uses the genetic algorithm to help investors in the stock market to find the best combination of technical indicators to calculate the return rate to prove that the stock of low price to book ratio has a higher profit, to provide investors more accurate investment Suggest. This study found that using genetic algorithm to find the best point of buy and sale to calculate the return on investment of high and low price to book ratio, the return on investment of low price to book ratio is still higher than high price to book ratio, consistent with the results of past scholars.
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Surovec, Martin. "Využití fundamentálních ukazatelů při sestavování akciového portfolia." Master's thesis, 2017. http://www.nusl.cz/ntk/nusl-431843.
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This Master Thesis deals with the usability of fundamental indicators for building a stock portfolio regarding chosen equities from the Prague Stock Exchange. The output of the work is finding that stocks with the lowest values of price to earnings ratio and price to book ratio make higher return than stocks with the highest values of these indicators. These stocks exceed latter with taking lower risk based on standard deviation of returns. The usability of indicators was confirmed by these findings. Another conclusion of this Thesis is finding that stocks with the lowest values of these indicators exceeded benchmark represented by PX-TR index.
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lee, shih-wei, and 李士偉. "Own- and Cross-Autocorrelations and Contemporaneous Correlations of Price-Based and Book-To-Market Ratio-Based Portfolio Returns." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/98875112165148435279.
Full textAbstract:
碩士國立東華大學
企業管理學系
88
Since the lead-lag relation between portfolio returns was raised, the Efficient Market Hypothesis (EMH) has further been challenged. According to previous studies, it was widely believed that inefficient trading structure led to the lead-lag relation. In this paper, we investigate the lead-lag relation in the Taiwan stock market where the trading structure differs from most developed markets. Different from previous papers focusing on the lead-lag relation between size-based portfolios, this paper instead studies the relation between value and growth portfolios, ranked by their book-to-market equity ratios, as well as between low-price and high-price portfolios, ranked by their stock prices. The major results are the following. First, there is no significant leading role of the growth portfolios over the value portfolios and of the high-price portfolios over the low-price portfolios. Second, there is no evidence that the speeds of adjustment of growth portfolios and high-price portfolios are higher than those of value portfolios and low-price portfolios, respectively. Finally, the wider the regulated price limit, the lower the own-autocorrelation of portfolios.
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Lee, Ming-Jen, and 李銘仁. "A Study On the Relationship Between Price-Earning Ratio,Book-to- Market Ratio,and Stock Investment Earning Rate in Both Bear and Bull Market." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/86268033998409217993.
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