Dissertations / Theses on the topic 'Stock valuation'
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Stansfield, John J. "The valuation of executive stock options that incorporate reset provisions /." free to MU campus, to others for purchase, 1996. http://wwwlib.umi.com/cr/mo/fullcit?p9717181.
Full textJarkasy, Samer. "Valuation bias in the stock market." Thesis, City, University of London, 2005. http://openaccess.city.ac.uk/18931/.
Full textKhalid, Al-abdulqader. "Share valuation and stock market efficiency in the Saudi stock market." Thesis, University of Dundee, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.561297.
Full textYan, Xiaojuan. "Stock market valuation of corporate social responsibility indicators." Thesis, University of Exeter, 2012. http://hdl.handle.net/10036/3594.
Full textArana, Barbier Pablo José. "Stock valuation through long-term financial multiples analysis." Doctoral thesis, Pontificia Universidad Católica del Perú, 2020. http://hdl.handle.net/20.500.12404/16119.
Full textAún existe un debate respecto a qué múltiplos de valorización pueden estimar el precio de las acciones. Sin embargo, los hallazgos previos no han sido considerados en recientes investigaciones, específicamente delimitaciones geográficas y de tamaño de empresa, particularmente para países emergentes. Ello deja a la valorización de acciones basada en múltiplos en una fase “exploratoria” que apunta a múltiplos de valorización aleatoria. Además, hay validaciones estadísticas que han sido dejadas de lado en muchos casos, y faltan análisis de valorización de acciones a largo plazo que lleven a la comprensión del comportamiento de dichos múltiplos. El propósito de esta investigación es determinar qué tan fuertemente los principals múltiplos de valorización explican el precio de las acciones en un mercado emergente como Perú, a través de una regresión lineal múltiple de tipo panel data, utilizando dos modelos: uno compuesto por los múltiplos de valorización preferidos por la literatura, y el otro compuesto por aquellos utilizados en investigaciones en países emergentes. Además, un conjunto de delimitaciones específicas basadas en la literatura fueron consideradas. El estudio tiene un alcance cuantitativo, un enfoque explicativo, un diseño longitudinal y es no experimental. La investigación es significativa por sus principales hallazgos: (a) el modelo compuesto por los múltiplos de valorización de estudios de países emergentes probó ser considerablemente más fuerte, (b) el modelo puede ser reducido a uno muy corto pero estadísticamente solvente, y (c) una nueva variable dummy es propuesta y validada: empresas vinculadas a commodities. El estudio promoverá mayor debate e investigación respecto a la valorización de acciones en países emergentes versus países desarrollados.
Tesis
VISSER, FERNANDO GERVASIO BASTOS. "VALUATION OF EMPLOYEE STOCK OPTIONS WITH STOCHASTIC EXERCISE PRICES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15356@1.
Full textEmployee stock options (ESOs) can be considered one of the most important compensation and retention instruments of the corporate world. The credit crunch crisis of 2008, though, has drawn society’s attention towards certain practices of corporations. In particular, the debate over the compensation packages granted to executives has gained importance. While many stand that ESOs have given incentives to the irresponsible decisions made by large corporation executives, this dissertation takes the economic crisis as a motivator and presents an option that is still barely used: an ESO with an exercise price that follows an index. Even though the value of an indexed ESO is less than the value obtained by a traditional option, its design provides stronger incentives to decisions that maximize shareholder value. In this sense, indexed ESOs appear as an interesting alternative in solving the principal-agent problem, in this case represented by shareholders and executives, respectively. This dissertation presents and develops option pricing models for indexed ESOs that are acceptable under the general guidelines defined by national and international accounting standards; such as premature exercise and option forfeiture. The objective is therefore to motivate corporations in the adoption of more adequate pricing models.
Patel, Kavir. "Employee Stock Option Valuation with Earnings-Based Vesting Condition." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29471.
Full textDong, Ming. "A general model of stock valuation : theory and applications." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272983840.
Full textSvensson, Hanna. "An adjusted Fed-model for valuation of emerging stock markets." Thesis, Stockholm University, School of Business, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6104.
Full textThis paper examines the possible relationship the earnings yield and long term government bond yield for a number of emerging markets. An adjusted Fed-model is used to judge whether stock prices are too high, too low or at their fair value. The paper examines the relationship between return, earnings yield and long term government bond yield as proposed by the adjusted Fedmodel. The difference between the earnings yield and real bond yield is a shorthand measure for expected returns and I examine the predictive power of this measure by regression analysis. The results show that, when it comes to forecasting returns, the model fails.
Wheelock, Kevin R. "An analysis of a Navy Stock Fund inventory valuation model." Thesis, Monterey, California. Naval Postgraduate School, 1991. http://hdl.handle.net/10945/26869.
Full textThe Comptroller General requires federal agencies to determine inventory values in accordance with the lower of cost or market accounting principle. The Naval Supply Systems Command (NAVSUP) is proposing for inclusion into the Department of Defense Stock Fund Regulations a model that determines the value of stock fund inventories in accordance with the Comptroller General's accounting policy. This research makes two recommendations that are intended to improve the proposed NAVSUP model's degree of compliance with the lower of cost or market accounting principle and to approximate the cost of the inventory more accurately. These two recommendations are incorporated into a second model. Using sensitivity analysis techniques, this research examined the differences in final inventory values produced by the two models under varying conditions and assumptions. It was found that under certain conditions the differences in final inventory values could be material
Chang, Chia-yu. "An application of the Bakshi-Chen-Dong stock valuation model." The Ohio State University, 1999. http://rave.ohiolink.edu/etdc/view?acc_num=osu1273855308.
Full textChang, Chia-yu. "An application of the Bakshi-Chen-Dong stock valuation model /." The Ohio State University, 2000. http://rave.ohiolink.edu/etdc/view?acc_num=osu1488190595942821.
Full textRODRIGUES, EDUARDO MONEGALHA. "COST OF CAPITAL VALUATION BEST PRACTICES IN BRAZILIAN PUBLIC STOCK OFFER." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15487@1.
Full textBetween 2004 and 2008, 199 public stock offers were registered in Brazil, of which 111 were initial stock offers, at the São Paulo Stock Exchange, Brazil’s main stock exchange; and 88 public stock offer registered at Comissão de Valores Mobiliários (Brazilian SEC), with several reasons. Using a sample of 50 public offers, we observed the best practices adopted by the main financial appraisers in Brazil. We concluded that these appraisers tend to use the better known models and assumptions accepted in the academic world, according with what is practiced in other countries, adjusted to Brazilian reality. We observed some quantitative differences between the assumptions in the pricing of initial stock offers and public stock offers, where the second one showed more conservative assumptions than the first.
Strolený, Petr. "Ocenění podniku společnosti STOCK Plzeň Božkov." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-19007.
Full textYin, Yu'an. "Essays on financial analyst’s stock picking and relative valuation practices." Thesis, Lancaster University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.444856.
Full textKane, Gregory D. "Accounting data and stock returns across business-cycle associated valuation change periods." Diss., This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-07282008-134006/.
Full textHirsh, Said. "The stock market valuation R&D investments : evidence from the UK." Thesis, University of Bristol, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.559726.
Full textSöderlund, Nathalie. "Equity Valuation : An examination of which investment valuation method appears to attain the closest value to the market price of a stock." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15341.
Full textBohman, Mickael. "Real Estates Stocks' correlation to their underlying property portfolio and the stock market." Thesis, KTH, Fastigheter och byggande, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-183414.
Full textBrimble, Mark Andrew, and m. brimble@griffith edu au. "The Relevance of Accounting Information for Valuation and Risk." Griffith University. School of Accounting, Banking and Finance, 2003. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20030829.120234.
Full textUnderhill, Alison Tate. "Taser International, Inc. Valuation - The Influence of Behavioral Finance on a "News Stock"." Thesis, The University of Arizona, 2015. http://hdl.handle.net/10150/578895.
Full textAbdulai, Mohammed Sani. "Valuation, Pricing, and Performance of Initial Public Offerings on the Ghana Stock Exchange." ScholarWorks, 2015. https://scholarworks.waldenu.edu/dissertations/389.
Full textJamal, Majd. "Using K-Nearest-Neighbor with valuation metrics to detect similarities between stock performances." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-281962.
Full textAlgoritmer har fått en ökad popularitet i aktiemarknaden sedan publikationen av Agent-Human Interactions in the Continuous Double Auction av IBM forskarna Das m.fl. (2001). Många investerare anskaffar sig algoritmer som utför marknadsanalyser och transaktioner när prisnivåer bryts. Detta projekt har en målsättning om att skapa en annan typ av algoritm, där i stället för att predicera aktiepriser så grupperar den aktier som har liknande aktieutvecklingar. Projektet testar även möjligheten om huruvida aktier med liknande nyckeltal och kursutvecklingar fortsätter att utvecklas likadant i framtiden. En KNN-modell lyckades med att gruppera aktier som har liknande kursutvecklingar. Statistik påvisar en moderat positiv korrelation mellan kursutveckling bland aktier och dess närmsta grannar. Vissa aktier fortsatte inte att utvecklas likadant i framtiden, av naturliga skäl, som ändringar i styrelsemedlemmar, eller redovisa finanser som inte bemöter marknadens förväntningar. Dessa faktorer leder till att aktier kan bryta sina mönster och röra sig åt en annan riktning än förväntat, vilket leder till en begränsning när en maskininlärningsalgoritm ska gruppera aktier som förväntas utvecklas likadant i framtiden.
Smith, Nicholas Coady. "Assessing the Effect of Long-Term Growth Uncertainty on Stock Valuations." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/320.
Full textBlomberg, Albin. "Market valuation : Observed differences in valuation between small and large cap stocks, when Dividend Discount Model and Free Cash Flow to Equity is applied in the Swedish stock market." Thesis, Internationella Handelshögskolan, Jönköping University, IHH, Center for Finance and Governance (CFG), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-48686.
Full textBarrett, Stuart. "An investigation into the determinants of UK manufacturing foreign direct investment in the United States." Thesis, University of the West of England, Bristol, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.365143.
Full textFrank, Kimberly Elaine 1968. "The effect of growth on the relevance of financial accounting data for stock valuation purposes." Diss., The University of Arizona, 1997. http://hdl.handle.net/10150/288728.
Full textTe, Wang Yao, and 王耀德. "The Relationship Between Stocks Valuation Models and Stock Returns." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/sqztt8.
Full text國立高雄應用科技大學
金融資訊研究所
102
This study used Peter Lynch Evaluation method, calculate a stock's valuation of prices, with the price of a stock price, if the appraisal price is less than the market price, you can consider investing in the underlying, even the proposal to amend the methods of evaluation, such as the Peter Lynch Evaluation method in the ratings for the "cheap" mode for optional unit is convinced that with its profitable investment effects; but when evaluating the price closer to the market price of stocks, approach is not to buy into, because profits will be greatly discounted the possibility of. Announcement effects of dividend yield, will become the Peter Lynch method added to effect, but was reduced to stock market investing with an effect due to ex-dividend income and investors do not want to participate in the ex-dividend income to form the selling pressure. Peter Lynch evaluation method and net rate of market prices for all effects. When a unit financing balance increases, it is inappropriate to approach investing in the stocks, in contrast, are advised to approach investing in the shares when stock when margin balances increases are advised to approach investing in the stocks, on the contrary, it is inappropriate to approach investing in the stocks. Investment in the three major legal interpretation, the study found that investment trust industry to invest mining higher speculative element, is a short-short corporate and direction of foreign capital and investment dealers trading is the most direct effect on the price of appraisal or market changes, and are directly related.
"Stock valuation: a fundamental approach." Chinese University of Hong Kong, 1997. http://library.cuhk.edu.hk/record=b5889057.
Full textThesis (M.B.A.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (leaves 85-87).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iii
LIST OF ILLUSTRATIONS --- p.v
LIST OF TABLES --- p.vi
ACKNOWLEDGEMENT --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Overview Of Fundamental Analysis --- p.1
Valuation Approaches --- p.2
Information Sources --- p.2
Methodology --- p.2
Chapter II. --- ANALYTICAL FRAMEWORK FOR COMMON STOCKS --- p.4
Chapter III. --- ECONOMIC ANALYSIS --- p.5
International And Domestic Economic Environment --- p.5
Economic Forecasting --- p.6
Chapter IV. --- INDUSTRY ANALYSIS --- p.9
Industry Classification And Industry Life Cycle --- p.9
The Economy And Industry Analysis --- p.10
Porter's Five Competitive Forces --- p.11
Industry Analysis Techniques --- p.12
Information Sources For Industry Analysis --- p.13
Chapter V. --- COMPANY ANALYSIS: MEASURING AND FORECASTING EARNINGS --- p.14
Understanding The Financial Statements --- p.14
Ratio Analysis --- p.15
Influence of Accounting Practices --- p.17
Capital Structure And Dividend Policy --- p.18
Forecasting Earnings --- p.19
Evaluation of The Management Strategy --- p.21
Chapter VI. --- APPLIED VALUATION --- p.23
Intrinsic Value Versus Market Price --- p.23
Determination Of Intrinsic Value --- p.23
Dividend Discount Models (DDM) --- p.23
Free Cashflows To Equity Discount Models (FCFE) --- p.28
Chapter VII. --- CASE STUDY --- p.31
Company Background --- p.31
Birth of Cheung Kong Infrastructure --- p.31
The Restructuring --- p.31
Business of CKl --- p.33
Economic Analysis --- p.33
China's Macroeconomic Environment --- p.34
Regional Economic Conditions --- p.35
Economic Forecasting --- p.37
Industry Analysis --- p.37
Industry Classification --- p.37
The Economy And Industry Analysis --- p.38
Industry Overview And Historical Performance --- p.38
Porter's Five Forces --- p.43
Industry Life Cycle --- p.45
Hong Kong Construction Materials Industry --- p.46
Company Analysis --- p.47
CKI's Businesses --- p.47
Company Strategy Analysis --- p.48
Risk Factors --- p.50
Financial And Operation Analysis --- p.51
Forecasting And Valuation --- p.52
Intrinsic Value vs. Market Price --- p.57
Chapter VIII. --- SUMMARY --- p.59
APPENDIX --- p.61
BIBLIOGRAPHY --- p.85
Li, Haidan. "Stock option compensation and equity valuation." Thesis, 2002. http://wwwlib.umi.com/cr/utexas/fullcit?p3099479.
Full textPei-jing, Kao. "Market Valuation and Employee Stock Grants." 2005. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1107200510324600.
Full textLiao, Feng-Yu, and 廖鳳玉. "The Valuation of Employee Stock Options." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/39489307734734043369.
Full text國立臺灣大學
財務金融學研究所
95
The unique characteristics of employee stock options make traditional option pricing models inapplicable to their valuation without substantial modifications. In this thesis, three extensions are made to the standard binomial tree model. First, the dilution effect is factored into the model. Second, instead of computing the option value based on a specific exercise criterion, the pattern of employees’ exercise behavior is explicitly modeled by the chi-square distribution. The third extension is the addition of a state-dependent employee forfeiture rate. This thesis presents comparative analysis of popular models and the models proposed in this article. Finally, the impacts of the modifications on the fair value of employee stock options are investigated. They lend support to the claim that the proposed models are more realistic.
Kao, Pei-jing, and 高珮菁. "Market Valuation and Employee Stock Grants." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/50424177784777320471.
Full text國立臺灣大學
會計學研究所
93
This thesis investigates a market-valuation-based hypothesis for employee stock grant. It examines how market valuation has affected the decision to grant employee stocks, the amount of stocks granted, and the value of stocks granted. It also examines the distribution of stocks among executives and rank-and-file employees and the influence that professional investors might have on employee stock grant decision. The empirical evidence shows that firms with high market valuation are more likely to adopt employee stock grants and grant more stocks to their employees. Furthermore, top executives tend to grant a larger portion of stocks to themselves relative to rank-and-file employees when they perceive the current market valuation is high. Under th monitoring of professional investors, the possibility of adopting employee stock grant is diminished. This thesis also support that employee stock grant can be used as a method to sell overvalued equity.
Liao, Feng-Yu. "The Valuation of Employee Stock Options." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1807200715355600.
Full textKuo, Tzu-hui, and 郭子慧. "Employee Stock Bonus and Equity Valuation." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/55228438544406284334.
Full text國立中山大學
企業管理學系研究所
91
Abstract The accounting method about employee stock bonus has become popular issue recently. The most disputable problem is: whether employee stock bonus debts expense? Does the employee stock bonus expense measure by face value or market value? If employee stock bonus debts expense, technologic firms have negative affect on net income, even makes them unprofitable. Technologic firms worry about their stock price decreased by recording employee stock bonus expense, so they disagree with this accounting method. To understand investors’ reaction about recording employee stock bonus expense, I link the valuation on cooperate equity with accounting method of employee stock bonus by using Ohlson (1995) valuation model. The period of data is during 2001. I investigate the market’s perception of the economic effect of employee stock bonus on firm value for a sample of 61 profitable technologic companies by using “Retained Earning Method”, “Face Value Method” and “Market Value Method” and observe investors how to value “Employee Stock Bonus Expense”. My results suggest that if technologic firms debt employee stock bonus expense by using “Market Value Method”, market has the highest valuation on firms’ value. In addition, the market appears to value these firms’ “Employee Stock Bonus Expense” not as an expense but as an intangible asset. Key Words: Employee Stock Bonus, equity valuation, Ohlson Model
CHEN, CHIN-YU, and 陳沁妤. "Market Valuation and Earnings Management Prior to Stock-for-Stock Mergers." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/62980983119305906745.
Full textChen, Wei-Ting, and 陳韋廷. "Fundamental Values, Market Valuation and Stock Returns." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/87076530853877482862.
Full text國立中央大學
財務金融學系
104
Mispricing may occur when information on fundamentals is not properly processed by investors. In this study, I propose the use of signed-rank to rank the accounting fundamental on return on asset, sale growth rate and price-to-book ratio, and take the difference between return on asset and price-to-book ratio, sale growth rate and price to book ratio. These two variables were used as the measure of the deviation between the stock fundamental value and market price. I found that these measures are both better than fundamental information in predicting stock returns. It can measure the degree of deviation between fundamental value and market valuation. The higher the deviation are, the stronger the correction of stock price. The price of undervalued stock will increase sharply and the price of overvalued stock will decrease but slowly because of constrain of short.
Lin, Ping-Chen, and 林萍珍. "Multi-Valued Stock Valuation Based on FuzzyGP." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/18237675892740194920.
Full text國立中央大學
資訊管理研究所
92
Stock valuation plays an important role in stock selection for fundamental investors. The Efficient Market Hypothesis (EMH) emphasizes that the intrinsic value of a stock will be reflected by its market price. Previous studies on stock valuation estimate a stock's value as a single-valued number. Different models generate different estimates on the same stock. This may imply that the value of a stock should be multi-valued rather than single-valued. This study develops an intelligent stock valuation model to produce a multi-valued price for a stock by generalizing genetic programming to Fuzzy genetic programming. Since the stock value is estimated by a Fuzzy expression tree which calculates to a trapezoidal Fuzzy number, the stock value becomes multi-valued. In addition, the resulting trapezoidal Fuzzy stock value induces a natural trading strategy which can readily be executed and evaluated.
Hung, Rern-Jay, and 洪仁杰. "The Valuation of American Stock and Stock Index Option in Imperfect Markets." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/86948209708316188627.
Full text國立成功大學
企業管理學系
86
Most studies on option pricing seem to assume that the capital markets areperfect and arbitrage mechanism works completely. However, in a real world,riskless hedge portfolio may not be formed, and arbitrage may be risky. Thereare several factors to interfere in the formation of riskless hedge portfolio.Transaction costs, the discontinuity of security prices, uncertain dividends,the difficulty of simultaneous execution of the orders, rules and regulations,overreactions in capital markets, and the convexity risk and time decay inoption markets are some of them. The term "degree of market imperfection" isused as a proxy of the above mentioned factors in this dissertation. The purposes of this dissertation are: (1) To derive the theoreticalvaluation framework and to describe the basic properties for the degree of market imperfection. (2) To investigate the relationship between the degreeof market imperfection and option parameters by simulation. (3) To derive thepricing models of American stock and stock index options based on the quadraticapproximation method under the structure of "incomplete arbitrage". (4) Toconduct an empirical test on the American put-call relationship and compare thepredictive performances between the American option pricing models based onimperfect and perfect hedge hypotheses, respectively. The major difference between the perfect market model (the Barone- Adesi andWhaley model) and the imperfect market model derived in this dissertation isthat the expected growth rate of the underlying asset, which does not enter theperfect market formula, enters the imperfect market model to reflect the priceexpectation of investors. We argue that the imperfect market model is a moregeneralized model than the perfect market model because of the introduction ofthe degree of market imperfection. The major findings from the simulation are: (1) When rao (the instantaneouscorrelation coefficient of stock index return and call or put return at theinstant the hedge portfolio is formed) decreases, then the degree of marketimperfection increases. (2) When rao decreases, lamda_c, and lamda_p (weight ofwealth allocated to the call and put, respectively, of the hedge portfolio)decrease (in absolute values). (3) lamda_c is always negative and lamda_p isalways positive. (4) The greater the sigma, the greater the lamda_c(in absolutevalue) and lamda_p. (5) The greater the dividend yield, the greater the lamda_c(in absolute value) and the greater the lamda_p. (6) The longer the maturity,the greater the lamda_c (in absolute value) and the degree of marketimperfection for the hedge portfolio consisting of calls; while the longer thematurity, the greater the lamda_p and the smaller the degree of marketimperfection for the hedge portfolio consisting of puts. (7) For thehedge portfolios consisting of calls, the degrees of market imperfection aresmallest for those consisting of out-of-the-money calls and the stock index;while for the hedge portfolios consisting of put, the degrees of marketimperfection are smallest for those consisting of out-of- the-money putand the stock index. The empirical results of the American put-call relationship tests show thatthe right boundary of the American put-call parity relationship is rejected forshorter maturity (T<=30) options, especially for options with T<=3 or T<=5. Onepossible explanation of this violation is that the use of riskless rate ofreturn is not proper. Generally speaking, we find that the mean impliedvolatility from calls estimated by Barone-Adesi and Whaley model is greaterthan that from puts; while the mean implied volatility estimated by imperfectmarket model is in the middle. Finally, the major findings of the predictive performances of the Barone-Adesi and Whaley model and the imperfect market model are summarized asfollows: (1) For the whole data set, the Barone-Adesi and Whaley model with NIVmeasure undervalues call options; while the imperfect market model with eachdifferent volatility measure overvalues calls. However, the predicted errorsfor both model are basically significantly different from zero. (2) For thewhole data set, we find that several mean predicted errors for S&P 100 puts arenot significant different from zero for the periods of 1997 and 1993.The Barone-Adesi and Whaley model with NIV measure undervalues put options.(3) For the whole data set, there seems no specific model outperforms others.The combination algorithms, though reducing the standard deviation of thepredicted errors for both call and put options, do not have significant effectson predictive power. (4) The Barone-Adesi and Whaley model seems toperform better for the nearest-money calls, while the imperfect market modelseems to perform better for the nearest-money puts. (5) Both the Barone-Adesiand Whaley model and the imperfect market model do not perform well fordeep-out- of-the-money calls and for deep-in-the-money puts. (6) The Barone-Adesi and Whaley model with each volatility measure systematically undervaluesthe deep-in-the-money put options, while the imperfect market model with NIVovervalues deep-in-the- money puts. (7) The Barone-Adesi and Whaley model withNIV undervalues the short maturity call options, while the imperfectmarket model with NIV overvalues the short maturity call options. However, itseems that the imperfect market model with NIV performs, generally speaking,better than the Barone- Adesi and Whaley model with NIV for short maturityoptions. And the predicted errors are smaller for shorter maturity options thanfor longer maturity options. (8) Overall speaking, it seems that both theBarone-Adesi and Whaley model and the imperfect market model performbetter for the short maturity put options than for the short maturity calloptions. (9) The Barone-Adesi and Whaley model with NIV measure undervaluesthe longer maturity call options, while the imperfect market model withNIV overvalues the longer maturity call options. (10) Both the means andstandard deviations of the predicted errors for calls of the Barone-Adesi andWhaley model with NIV are larger during the bullish market period thanthose during the placid market period. Although we can not find a best model for the estimation of option prices;however, from the results of the American put-call relation tests and theresults of significant differences of the implied volatilities estimatedseparately from the calls and puts by the perfect market model, we still thinkthat the imperfect market model has the potentiality. Using moreweighting schemes for the estimation of implied volatility and the impliedgrowth rates, and using the intra-day data or transaction data may help solvethe myth. This should leave for farther research. In addition, it should beof interest to further investigate on the topic of the degree of marketimperfection. For example, we can treat the degree of market imperfectionas an explanatory variable to explain the mispricing behavior of perfect marketmodels. We can also try to compare the degrees of market imperfection acrossmarkets and across countries.
Tsao, Chia-Ming, and 曹家銘. "Taiwan Stock Valuation With Time-Varying Discount Factor." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/08621887934773251536.
Full text國立交通大學
經營管理研究所
100
In contrast with the model of Chow [2], which implied that the logarithm stock price is a linear function of expected log dividends and the expected rate of growth of dividends under the assumption of the adaptive expectation, we have attempted to provide a general approach to estimation of models with stock price in this paper. This research includes four models designed to investigate how dividends, growth rate of dividends, nominal risk-free rates and risk premiums affect individual stock prices by using the different kinds of data for stocks. Following the theoretical framework of Chow [2], our researches use the individual stock of the stock market index as well as the individual stock of the eight major sectors as data in four models. The preliminary findings are: (1) Only the individual stock of TWSE Taiwan Dividends+ Index, Cement &; Ceramics, Foods, Electric &; Machinery, Construction and Finance sectors are consistent with the assumption of adaptive expectation. (2) The data which are not fit the adaptive expectations may suggest that the investors of these data do not take the historical information into consideration. (3) Furthermore, we discover that the coefficients α for Etdt are practically zero in the data, which are consistent with the adaptive expectations. Similar to the results of Chow [29], which used the Hang Seng Index, the empirical phenomena suggest that the overall pessimistic view of investors in these data. (4) For individual stock of the eight major sectors, merely the individual stock of the Electric &; Machinery and Construction are consistent with the adaptive expectation hypothesis and can be explained by the expected level of log dividends. (5) We further discover that the unrestricted β coefficients are similar in the Cement &; Ceramics, Foods, and Electric &; Machinery sectors in model 1. This result indicates that behaviors in these sectors are identical. (6) According to the statistical test, we have strong evidence that the expected nominal free-risk rates and expected risk premiums have significant effect to contribute the current pricing. Besides, we find statistical evidence supporting the general model of stock price formation.
Zhao, Yunjie. "Utility-based valuation for underwater employee stock options." Thesis, 2011. http://hdl.handle.net/2152/ETD-UT-2011-12-4728.
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Chun, ping Kuo, and 郭君平. "valuation of unlisted stock for estate tax purpose." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/76395437917676715767.
Full text國立臺灣大學
法律學研究所
93
According to the Taiwaneese treasury regulation, valuation of unlisted stock for estate tax purpose is based on the value of corporation''snet asset.The court has traditionally been supporting this method, regardless of the fact that Taiwan Constitution demand that such matter should be written in the code itself, and the method of valuation should accord with the true economic benefit which the tax payer receive through inheritance. The author tries to set a more reasonable way of calculating corporation''s net asset specially for estate tax purpose, but still argue that market value or EPS are more representative in the valuation of unlisted stock
Klein, Daniel [Verfasser]. "Executive stock options : exercises and valuation / Daniel Klein." 2010. http://d-nb.info/1009369776/34.
Full textWu, Guo-Cheng, and 吳國丞. "Canonical Valuation and Hedging of Taiwan Stock Index options." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/09541695252583714614.
Full text淡江大學
產業經濟學系博士班
96
This study applies nonparametric Canonical Valuation to TAIEX options, adds constraint to the model, and uses futures as the underlying of TAIEX options, in order to investigate the performance of option pricing and hedging. We find the returns of futures violent the assumptions of normality B-S model. Thus the constrained canonical model outperforms B-S model. The result of hedging shows that the unconstrained canonical model is the most efficient in hedging. This may be that adding constraint to the model reduces the accuracy in delta estimating. Moreover, the regression of pricing errors shows that the additional constraint in these two models decreases pricing errors.
Chen, Shih-Yung, and 陳詩詠. "The Study of Option to Stock Repurchase andCorporation Valuation." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/98675325650330567073.
Full text國立高雄應用科技大學
金融資訊研究所
95
Stock repurchase programs (SRPs) have long been important means used by managers at publicly-listed companies to support stock prices. The main reasons for companies to execute SRPs include improving capital structure, tax avoidance, raising earnings per share, and supporting stock prices. Literature documented that when a company announces to execute SRPs, it creates an option to repurchase its own stocks for future returns, thus leading to increase firm value. The main purpose of the study is to evaluate the value of option to repurchase stocks. Since the firm will not purchase their stocks at too high prices, we consider the option to repurchase stocks as barrier options, specifically up-and-out calls. The data are filtered from Taiwan Stock Repurchase Database since the year of 2000, including 374 companies and 1269 stock repurchase events. The main contribution of the research is actually the first study in Taiwan to specifically evaluate how the announcement of SRP leads to an increase in firm value. In the presence of corporate option value, the implication for investors is that they could profit from the announcement of SRPs to obtain abnormal returns.
Tain, YuRen, and 田育任. "Evolutionary Stock Valuation Model Based on Nonlinear Capital Allocation." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/17306261426087692082.
Full text國立高雄應用科技大學
資訊管理研究所碩士班
95
The financial market in Taiwan has been producing new financial goods that are available to investors’ needs in recent years. Furthermore, Technology Index and Arbitrage Model are also developed for various financial goods by academics and practitioners. However, all of the models show commerce critical only and do not figure out investment weights. For this reason, most investors can not get acquainted with market situation to tackle the correct asset allocation resulted in investment capital loss as traditional arbitrage model used. The problem of more remaining cash occur higher idle cash flow in stock market; whereas less remaining cash occur a capital deficiency as buying critical appear. Therefore, this paper uses Genetic Algorithms (GA) to calculate the best interval index with Cubic Spline to form the best stock price interval assets allocation curve (BSPIAAC) that is involved in each point connected. The purpose of paper is to make an assets allocation effectively which is available to investors and simultaneously solve idle cash or shortage. According to the result of this research, the model shows the more excellent returns than Taiwan Stock Exchange (TSE). And, one can be use to get extra benefit and make the investment strategy
Amy and 戴婉淳. "The Valuation of Stock Loans under Stochastic Interest Rate." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/39512685932824416564.
Full text國立清華大學
計量財務金融學系
102
Abstract A stock loan or securities lending is a loan which borrowers have a share of stock can use it as collateral. However, closed form solution is not available for perpetual America options, the valuation of stock loan is an optimal stopping problem related to a perpetual American option. As Xia and Zhou (2007) published their work about stock loans. The stock loan pricing problem has thus attracted a great deal of attention since their work. Our purpose is that under interest rate is stochastic to find an optimal exercise boundary. As a result, we focus on the stochastic process about stock and interest rate as well as the correlation between both. Finally, we use Variational Inequality to figure out the optimal stopping time which indicates the optimal exercise price.
Cheng, Mei-Ai, and 鄭美愛. "The valuation relevance of employee stock-based compensation information." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/85392951573663338090.
Full text淡江大學
會計學系碩士在職專班
94
The employee stock-based compensation (ESC) is an effective tool to encourage employees to manifest their potential or ability in their works. However, ESC may increase outstanding stockholders’ shares and devalue the market price. This study is aimed to evaluate the relevance of employee stock-based compensation (ESC) to the stock valuation of a firm. Two types of Ohlson models (1995, 1999) are selected to compare the equity valuation implications and to estimate four methods of ESC and their variances. The sample period runs from 1999 to 2004. By applying Ohlson model and the specified ESC computing method to the firms in a specified industry, the empirical results are corresponding to the previous findings. Yet, the dilution effect of ESC is more prominent in electronic sector than in conventional industries. The investors usually consider the cash bonus of employees and directors/supervisor compensation as part of corporate expense. The disclosure of pro-forma EPS (deducted by employees’ bonus and directors/supervisor compensation) has been mandated since 2002. A comparative analysis is conducted following the regulation and various effects of market valuation for different industries and computational methods of ESC are observed. Empirical results also illustrate that more investors have positive view on ESC, cash bonus of employees and directors/supervisor compensation in the bull market rather than in the bear market. But some sophisticated investors always focus on the dilution effect of ESC and consider dilution effect to be more evident in electronic sector than in other sectors.
Lin, Chao-Hsiang, and 林朝祥. "Forecasted performance of valuation methods in Taiwan stock market." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/15393553003877522900.
Full textFroidevaux, Pascal S. "Fundamental equity valuation : stock selection based on discounted cash flow /." 2004. http://www.gbv.de/dms/zbw/488889561.pdf.
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