Dissertations / Theses on the topic 'Stock valuation'

In our first study (Chapter 3) we investigate valuation bias in the UK. stock market by examining the valuation of new stocks relative to survivor stocks as new stocks have relatively higher valuations with the valuation gap increases in: bullish markets and vice versa. The value explanatory model and individual fundamental factor tests developed provide evidence of a negative significant relation between age and value. This does not seem to be backed by any known economic rationale given that new stocks showed lower profitability levels, no concrete evidence of materialised higher growth or lower risk which is inconsistent with their relatively higher valuations indicating that valuation bias could well be present. The evidence in the first study does not imply that valuation of survivor stocks is rational or otherwise. Hence, in our second study (Chapter 4), we seek evidence on valuation bias at the stock market aggregate level where the occurrence of major divergences between stock prices on one side and economic growth and equity invested capital on the other, followed by subsequent price falls (corrections) is evident. The evidence obtained shows: (a) low earnings yields using theoretical and empirical models under plausible scenarios, (b) no changes in corporate profitability pattern that could explain stock price levels, (c) a cyclical gap between implied growth and economic growth, (d) that implied growth was almost always higher than both economic and earnings realised growth, and finally (e) the implied average equity risk premium compared with the evidence in the literature and the market unbiased expected return appears to underestimate risk revealing a paradox of high return expectations driving prices up implying lower equity risk premium. The evidence on balance, suggests that stock price levels in the UK. during 1989-2002 cannot be explained by fundamentals and the idea of temporary mispricing is not supported by strong evidence leaving the door open to argue the presence of overvaluation on average during 1989-2002. One of the implications of valuation bias and stock age is that investors are relatively more limited in exaggerating the potential of survivor stocks because of the better investment knowledge available about them compared to new stocks. Thus, in our third study (Chapter 5), we seek evidence for the role of 'investment knowledge' in 'stock price rationalisation' from property investment stocks exploiting the special investment characteristics of their underlying assets and operations. We establish the presence of a significant and enduring market discount to the underlying value for property investment stocks. We test the hypothesis that property investment stocks discount is a reflection of investment knowledge-based rationality that limits valuation bias for these stocks. In testing the hypothesis, we establish knowledge-based rational explanations for property stocks market valuation or discount. The evidence from return differential, operating expenses, capital gains risk, leverage risk, and the stability of property stock prices, unlike the overall stocks market, relative to the economy and the underlying value leads towards not rejecting the null hypothesis.

Renneboog et al (2008) argue that it remains to be seen whether corporate social responsibility (CSR) can be priced. In light of this, this thesis tests the performance and market valuation of CSR indicators by using a comprehensive set of KLD indicators. Chapter Three of this thesis examines the effect of CSR on financial performance by incorporating CSR into the investment process. As no clear break point is found for the normalised KLD score, the net KLD score is used as an alternative portfolio metric. In addition, most KLD indicators are found to have insignificant alphas for the high-scoring, low-scoring, and long-short portfolios—meaning that investors do not earn abnormal returns through a long-short strategy. Moreover, insignificant alphas are recorded for most of the indicators under the best-in-class approach—meaning that the application of industry classification does not affect results. Finally, both the conditional Ferson and Schadt (1996) model and conditional three-factor model are used as robustness checks, with most indicators having insignificant alphas for these conditional models. As such, the results imply that there is neither outperformance nor underperformance when using portfolios formed with CSR scores; however, there are significant differences in factor loadings between high-scoring and low-scoring CSR portfolios. Chapter Four uses a framework consistent with the Peasnell (1982) and Ohlson (1995) model to examine whether CSR is reflected in share prices. The CSR indicator is treated as the “other information” variable, and the association between CSR and market price is estimated by controlling for book value of equity, net income and dividends. Although the market is found to value different KLD indicators differently, most of the indicators are found to have positive impact on market value (except for corporate governance and human rights). R&D and advertising expenditure are both added to the valuation model for robustness checking purposes. Some of the CSR indicators—and especially for the case of environment—are not valued during the earlier stages, but become increasingly valued over time. The ten industries are also found to have varying effects on market valuation. In summary, high-scoring CSR firms display higher valuations than low-scoring CSR firms, and thus it can be concluded that a socially responsible agenda does not conflict with maximising shareholder value. Since most of the CSR indicators in Chapter Four lead to positive market price valuations, Chapter Five aims to disaggregate the value effect into the separate components of ROE ratio, the implied cost of capital (ICC) and growth rate. Three different methodologies are used to test the relationship between CSR, ICC and the long-run growth rate. The relationship between CSR and growth rate is positive with all of the methodologies. However, the different methodologies return differing results for the relationship between CSR and ICC, which may be due to the different assumptions made by each approach. Furthermore, it suggests that long-run growth rate differences in general may be more important than ICC differences. Finally, most KLD indicators are found to have significantly higher P/V and ROE1 ratios for the high-scoring CSR portfolios than for the low-scoring CSR portfolios.

There is still a debate regarding which valuation multiples can estimate the price of a stock. Nevertheless, previous findings have not been considered in recent research, specifically geographic and company size delimitations, particularly for an emerging country. That leaves the valuation based on multiples still in an “exploratory” phase that targets multiples randomly. Besides, statistical validations have been left aside in several cases, and there is a lack of longterm valuation analysis that leads to understand the behavior of those multiples. The purpose of this investigation is to determine how strongly do the main valuation multiples explain the price of the stock in an emerging country such as Peru, through a panel data multiple linear regression, using two models: one composed by the most preferred valuation multiples among the literature, and the other one composed by those used by investigations in emerging countries. Also, a set of specific delimitations based on the literature are considered. The study has a quantitative approach, an explanatory scope, a longitudinal design and is non-experimental. The research is significant because its main findings: (a) the model composed by valuation multiples from emerging countries’ studies proves to be considerably stronger, (b) it can be reduced to a very short but statistically solvent model, and (c) a novel dummy variable is proposed and validated: the commodity-related business. The study will promote further debate and research regarding stock valuation in emerging versus developed countries.
Aún 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

As employee stock options (ESOs) podem ser consideradas um dos instrumentos de remuneração e retenção mais importantes do mundo corporativo. Contudo, a crise financeira internacional desencadeada em 2008 despertou a atenção da sociedade para antigas práticas das empresas. Em particular a discussão a respeito dos pacotes de remuneração dos executivos tem ganhado cada vez mais importância. Enquanto muitos defendem que as ESOs forneceram incentivos à tomada irresponsável de decisões por parte dos executivos das grandes corporações, o presente trabalho tomou a crise mundial como motivador para apresentar uma modalidade de opção ainda pouco utilizada: a ESO com preço de exercício atrelado a um índice. Ainda que seu valor seja menor que o de uma opção tradicional, seu desenho fornece incentivos mais poderosos à tomada de decisões que visem à maximização de valor para o acionista. Neste sentido, ESOs indexadas figuram como uma interessante possibilidade na resolução do problema entre principal e agente, neste caso representado pelos acionistas e executivos, respectivamente. O presente trabalho apresenta e desenvolve modelos de apreçamento para ESOs indexadas em linha com as diretrizes gerais definidas pelos padrões contábeis nacionais e internacionais, tais como a política de exercício antecipado e o cancelamento de opções. O objetivo é, portanto servir como motivador para a utilização de modelos de apreçamento mais precisos por parte das empresas.
Employee 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.

The valuation of employee stock options has become a key requirement due to the rapid growth in the use of these options as a means of employee compensation. IFRS 2 Share-based Payment stipulates that these instruments must be valued and expensed on the date the awards are issued. This dissertation aims to value an employee stock option, in a case where both the equity and vesting (performance) condition are based on a reported earnings process. The equity dependency on earnings stems from the fact that we are primarily concerned with the valuation of employee stock options that are issued by a private firm. We implement a capital structure framework provided by Goldstein, Ju and Leland (2001). In this framework, equity and debt are derived from an underlying EBIT process that is governed by a geometric Brownian motion. The model also accounts for taxation and bankruptcy. The research aim is addressed by incorporating the capital structure model into our employee stock option pricing framework.

This 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.

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The 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

No período de 2004 a 2008, foram registradas, no Brasil, 199 ofertas públicas de ações, sendo 111 ofertas iniciais de ações, basicamente abertura de capital registrada na Bolsa de Valores de São Paulo; e 88 ofertas públicas de ações registradas na Comissão de Valores Mobiliários, com finalidades diversas. Utilizando uma amostra de 50 ofertas públicas, observamos as principais práticas de avaliação de empresas adotadas pelos principais agentes financeiros que atuam no país. Concluímos que as avaliações respeitam os principais modelos e premissas discutidas no meio acadêmico, aplicando-os à prática, assim como com o que é praticado em outros países, ajustando-se a realidade brasileira. Observamos algumas diferenças quantitativas entre as ofertas iniciais de ações e as ofertas públicas de ações, sendo que o segundo grupo se mostrou mais conservador quanto às premissas adotadas.
Between 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.

The aim of the diploma thesis is to determine the value in use of the company Stock Plzeň-Božkov s.r.o. to 1.1.2009. The thesis consists of 5 parts -- financial analysis, strategic analysis, generators of value and financial plan. The value of the company is determined by the method DCF entity. There are 3 scenarios of future development (pessimistic, realistic, optimistic).

This thesis considers the short term stock market reaction to the launch of R&D projects, the implications to the risk characteristics of the announcing firms, and the long term market valuation ofR&D active firms in the UK's stock exchange. As part of the work a survey of the literature on the valuation of R&D investments and expenditures is carried out. The results show that in the short-term, the market reacts positively to R&D project announcements although the magnitude of the reaction is larger for firms with high R&D intensity. However, contrary to the predictions of real options theory, there is no evidence that these announcements result in a change in risk characteristics. Meanwhile, in relation to the long term valuation of R&D in the UK's stock markets, the results show that the market does account for R&D expenditures over the period 1996 to 2006. However, there is still uncertainty around R&D active stocks. The overall aim of this work is to contribute to the literature on R&D in the UK and provide empirical evidence with the small data that is available and the short cycle that technology stocks have experienced.

PURPOSE- This paper empirically evaluate the ability among various types of parsimonious equity valuation models in order to ascertain which model represents the value of equity the best and thereby manage to withstand factors causing valuation errors. The more complicated models applied, the more underlying assumptions are needed. The trade-off here, which will be investigated, is if the benefit of using more difficult models outweighs the cost of including the extra assumptions. Further on the empirical research´s results will be compared with the results provided by this previous studies examinating American companies. METHOD- Six valuation models using a discounting valuation method are evaluated; the Present Value of Expected Dividends (PVED), Residual Income Valuation (RIV), Residual Income Valuation Terminal Value Constrained [RIV(TVC)], Abnormal Earning Growth approach (AEG), Abnormal Earning Growth Terminal Value Constrained approach [AEG(TVC)]  and Free Cash Flow to the Firm model (FCFF). The five latter investment models are all based on the first model. FINDINGS- The aim of finding the smallest absolute valuation error in the empirical study is given to PVED, a model including little underlying assumptions and inputs. Hence, the implication of the application of valuation models can be summarized as that there are no clear benefits of applying complex models for Swedish companies, and the trade-off between using more complex models and thereby including more assumptions is not compelling given that the benefit does not exceed the cost. All the earnings methods are all found to be superior to the FCFF model, while the constrained RIV and AEG methods provide higher valuation errors than the unconstrained versions. The superiority of the PVED model is inconsistent with the previous results examining American firms, in which the RIV model is preferred. One of the reasons for the difference is the use of different accounting standards in the counties, and thereby the companies´ capital structure and the inputs used in the investment valuation may be somewhat unlike.

A key theme in capital markets research examines the relationships between accounting information and firm value. Two concerns relating to the value relevance of accounting information are: (1) concerns over the explanatory and predictive power of the evidence presented in the prior literature (Lev, 1989); and (2) the evidence of a deterioration in the association between accounting information and stock prices over the past four decades (Collins, Maydew and Weiss, 1997; Francis and Schipper, 1999; Lev and Zarowin, 1999). These concerns provide the key motivation for this thesis which examines: (1) the usefulness of the clean surplus accounting equation in valuation; (2) the role of accounting information in estimating and predicting systematic risk and; (3) the changing nature of the relationship between accounting information, stock prices and risk over time. The empirical research provides evidence of the value-irrelevance of the clean surplus equation and that controlling for the functional form of the earnings-returns relationship is more important. Evidence is also provided that accounting variables are highly associated with M-GARCH risk betas and also possess predictive ability relative to these risk measures. Finally, the relationships between stock prices, risk models and accounting information are shown to have not deteriorated over time, contrary to prior evidence. Rather, the functional form of the relationship has changed from linear to a non-linear arctan association. Overall, accounting information continues to play the central role in the determination of stock prices and risk metrics.

During the course of the 2014-2015 academic year, I was involved in the Chartered Financial Analyst (CFA) Investment Research Challenge, representing the University of Arizona. This challenge required that a team in undergraduate or graduate education value the company Taser International, Inc. and deliver a buy, hold, or sell recommendation to CFA professionals and sell-side analysts. After conducting a fundamental analysis of the company, we delivered a sell recommendation. The 12-month target price that we calculated to be the true value of TASR was $20.82, a 22.3% decrease from the stock's January 21, 2015 closing price of $26.80 (this was the date where we turned in our recommendation to the CFA Society of Phoenix for grading). In our valuation, one of our main arguments to sell the stock was that it's price was heavily influenced by news headlines. This paper analyzes the behavior of investors as they incorporate rationality (rather irrationality, in this case) in their stock selection, and how biases like judging the value of a company based on headlines will provide an artificially inflated market price, as it did in our valuation of Taser International, Inc.

In recent years, the initial public offerings (IPOs) on the Ghana Stock Exchange (GSE) witnessed some level of undersubscriptions. The purpose of this research was to investigate the extent to which valuation, pricing, and performance of prior IPOs listed on the GSE contributed to this state of undersubscriptions. The research was informed by the valuation and pricing framework of Roosenboom. The research questions addressed whether IPOs on the GSE were under/overpriced and whether the projected and pre-issue financials were free from forecasting errors and earnings management. A cross-sectional, explanatory research design was employed to examine a dataset of 30 sampled IPOs. The dataset, obtained from IPO prospectuses, trading data, and financial statements, was analyzed using both logistic and multiple regressions. IPO valuation methods, first-day returns (R(1st day)), absolute forecast errors (AFE), and discretionary current accruals (DCA) served as dependent variables and firm characteristics of size, age, profitability, dividends, price-to-value (P/V) ratios, owner-manager, and auditors' reputation served as independent variables. Results revealed that firm characteristics were not significant predictors of the choice of IPO valuation methods, IPOs were underpriced and their R(1st day) were significantly predicted by P/V ratios, the financial projections were over forecasted and their AFE were not predicted by the independent variables, and the pre-IPO financials experienced earnings management and their DCA were significantly explained by the owner-manager variable. This research contributes to positive social change by assisting regulators, investment bankers, corporations, and institutional investors in improving their respective roles in the valuation and pricing of IPOs on the GSE, thus reducing the observed IPO undersubscriptions in the stock market.

Algorithmic trading has increased in popularity since the publication of Agent-Human Interactions in the Continuous Double Auction by IBM researchers Das et al. (2001). Today many investors acquire algorithms that act on their behalf on the stock markets. Most of the algorithms have worked on predicting stock prices and making transactions when price thresholds are triggered. This project has a different objective and aims to construct a machine learning algorithm to cluster stocks with similar stock performances, and ultimately test the possibility if such stocks continue to perform similarly in the future. The KNN-model succeeds in its mission to cluster stocks with similar market performances. Statistical measurements highlighted a moderate correlation amongst stocks and their neighbors. Furthermore, some stocks did not continue to perform similarly in the short-term future, and the main reason has been of natural causes, such as management changes, and not meeting market expectations. Those factors impose a possibility for stocks to break their developing pattern at any time and move in a different direction than expected, which imposes a substantial limitation when clustering stocks that are expected to perform similarly in the future
Algoritmer 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.

This paper uses stock market data from 2000-2010 to examine the role long-term growth (LTG) uncertainty plays in equity valuations. In theory, the convex relationship between LTG and per-share value suggests a positive relationship between LTG uncertainty and analysts’ price targets, with higher levels of LTG uncertainty leading to higher, less accurate price targets. However, this paper finds conclusive evidence that analysts are not incorporating LTG uncertainty into their pricing models. This leaves uncertainty regarding the discount rate and the perpetuity growth rate as the only remaining potential sources of upward pressure on analysts’ price targets that are attributable to uncertainty.

Purpose:This thesis is examining two of the most common valuation methods put into practice on firms of different sizes in order to see if the market capitalization has any impact on said valuations. Relevance: Despite the widespread use of the intrinsic valuation methods both in academia and the professional world the amount of coverage concerning real life usage and analysis seems to be somewhat lacking. The numerous studies that cover the pros and cons of different valuation models and their supposed accuracy towards current stock prices. The studies rarely try to analyze whether or not the invisible hand of the market treats the firms differently depending on the market capitalization. Method: In this thesis the Free Cash Flow to Equity and Dividend Discount Model have been applied to 10 different firms of different sizes. The 10 firms were from a market capitalization perspective viewed as  5 “large”  and 5 “small”. For comparison matter, for each of the “large”  firms there was one corresponding “small” firm that operates in a similar line of business. The future growth projections were based on historical data and for the discount rate the Capital Asset Pricing Model (CAPM) was used. Conclusion: The two valuation models showed remarkably similar results, even when applied to firms of greatly different market capitalizations. Within the constraints and delimitations of this thesis, the conclusion is that according to Free Cash Flow to Equity model and Dividend Discount Model models the market does not value the firms differently with regards to market capitalization. In fact the divergencies in terms of absolute numbers of the valuations as a whole only show a 1% percentage unit difference in the Dividend Discount Model and a 2% percentage unit of difference in the Free Cash Flow to Equity model between the large and small cap segments.

This study investigates the impact of growth on the value relevance of accounting data. Indirect evidence in the contracting literature suggests differences in value relevance is negatively related to growth, but to date evidence to empirically document the relationship is mixed. In contrast to previous research, this study analyzes the effect of growth on value relevance from a security price perspective, using the recently developed Ohlson model, and uses the analysts' five-year growth in EPS forecast as the proxy for growth which focuses on growth in terms of value to the investor. This study also considers the effect of growth on the persistence of abnormal earnings as well as the incremental information content of book value beyond earnings. The results provide evidence that the value relevance of accounting data is decreasing in growth. These findings are robust to different samples, other growth proxies, and controls for size and the lead-lag structure of prices and earnings. The evidence relating growth to persistence is inconclusive, suggesting persistence is more sensitive to the characteristics of the individual firms which make up each growth portfolio than the quality of accounting data. The findings also indicate the incremental information content of book value is greater for low growth firms compared to high growth firm, further supporting the hypothesis that the accounting data of high growth firms does not capture value relevant events as well as the accounting data of low growth firms. Overall, this study contributes to the understanding of cross-sectional differences in the valuation of securities by providing evidence that growth negatively affects the quality of accounting information.

碩士
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.

by Hu Wai Kwok, Li Siyi.
Thesis (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

碩士
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.

碩士
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.

碩士
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

碩士
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.

博士
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.

博士
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.

碩士
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.

In this report, we explore the theory behind utility-based valuation of stock options. In particular, we focus on the underwater employee stock options, which give rise to an incomplete-market setting. We begin with basic concepts and terminology in stock-option pricing. Then, we review the valuation by replication process both in the binomial model and the Black-Scholes model. These two methods apply to valuation in the complete-market setting. Then we introduce the concept of utility function and utility maximization in the context of portfolio allocation. An example is worked out to demonstrate how to solve the optimization problem subject to a portfolio constraint. In the end, we explore indifference pricing, i.e., utility-based valuation of stock options in an incomplete single-period binomial model.
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碩士
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

碩士
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.

碩士
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.

碩士
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

碩士
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.

碩士
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.