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Journal articles on the topic 'Stock valuation'

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Author: Grafiati

Published: 4 June 2021

Last updated: 10 February 2022

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1

Ivanovski, Zoran, Zoran Narasanov, and Nadica Ivanovska. "Performance Evaluation of Stocks’ Valuation Models at MSE." Economic and Regional Studies / Studia Ekonomiczne i Regionalne 11, no. 2 (June 1, 2018): 7–23. http://dx.doi.org/10.2478/ers-2018-0011.

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Abstract Subject and purpose of work: The main task of this paper is to examine the proximity of valuations generated by different valuation models to stock prices in order to investigate their reliability at Macedonian Stock Exchange (MSE) and to present alternative “scenario” methodology for discounted free cash flow to firm valuation. Materials and methods: By using publicly available data from MSE we are calculating stock prices with three stock valuation models: Discounted Free Cash Flow, Dividend Discount and Relative Valuation. Results: The evaluation of performance of three stock valuation models at the MSE identified that model of Price Multiplies (P/E and other profitability ratios) offer reliable stock values determination and lower level of price errors compared with the average stocks market prices. Conclusions: The Discounted Free Cash Flow (DCF) model provides values close to average market prices, while Dividend Discount (DDM) valuation model generally mispriced stocks at MSE. We suggest the use of DCF model combined with relative valuation models for accurate stocks’ values calculation at MSE.

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2

Barniv, Ran, Ole-Kristian Hope, Mark J. Myring, and Wayne B. Thomas. "Do Analysts Practice What They Preach and Should Investors Listen? Effects of Recent Regulations." Accounting Review 84, no. 4 (July 1, 2009): 1015–39. http://dx.doi.org/10.2308/accr.2009.84.4.1015.

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ABSTRACT: From 1994 to 1998, Bradshaw (2004) finds that analysts' stock recommendations relate negatively to residual income valuation estimates (scaled by current price) but positively to valuation heuristics based on the price-to-earnings-to-growth ratio and long-term growth. These results are surprising, especially considering that future returns relate positively to residual income valuation estimates and negatively to heuristics. Using a large sample of analysts for the 1993–2005 period, we consider whether recent regulatory reforms affect this apparent inconsistent analyst behavior. Consistent with the intent of these reforms, we find that the negative relation between analysts' stock recommendations and residual income valuations is diminishing following regulations. We also show that residual income valuations, developed using analysts' earnings forecasts, relate more positively with future returns. However, we document that stock recommendations continue to relate negatively with future returns. We conclude that recent regulations have affected analysts' outputs—forecasted earnings and stock recommendations—but investors should be aware that factors other than identifying mispriced stocks continue to influence how analysts recommend stocks.

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Florea, Delia Andreea, and Diana Iulia Opriș. "Stock Valuation Methods." CECCAR Business Review 2, no. 1 (January 31, 2021): 32–38. http://dx.doi.org/10.37945/cbr.2021.01.04.

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4

Berry, Thomas D., and John L. Houston. "The Leverage Problem In The Valuation Of Privately Held Firms." Journal of Applied Business Research (JABR) 3, no. 1 (November 1, 2011): 37. http://dx.doi.org/10.19030/jabr.v3i1.6545.

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One of the most perplexing situations that arises in financial analysis is the valuation of a firm that lacks an observable stock market price. Firms going public, spin-offs of subsidiaries, and estate or ESOP valuations of private firms are all examples where the lack of an observable stock market price complicates the valuation process.

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5

M. Hull, Robert, Sungkyu Kwak, and Rosemary L. Walker. "SEO valuation and insider manipulation of R&D." Investment Management and Financial Innovations 13, no. 2 (July 14, 2016): 267–78. http://dx.doi.org/10.21511/imfi.13(2-2).2016.01.

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We examine a sample of 674 SEOs from 1999-2010 where reduced R&amp;D spending is significantly associated with the lowering of insider ownership proportions. With this association established, we derive an R&amp;D manipulation variable measuring underinvestment in R&amp;D. We add to the SEO-R&amp;D literature by examining the relation between R&amp;D underinvestment and common stock valuation around SEOs. In contrast to the IPO research, we do not find that underinvestment in R&amp;D leads to greater SEO stock valuations during the offer price setting process. Like the IPO research, we find that underinvestment in R&amp;D leads to lower stock valuations for short-run post-offering tests. In contrast to the long-run IPO results, we find a significant association between R&amp;D manipulation and stock valuation for long-run post-offering tests where underinvestment in R&amp;D is associated with lower stock valuations. We also find the five % owner group for SEOs is important in explaining R&amp;D manipulation and discover that underpricing for SEOs is not related to R&amp;D manipulation. These latter two findings are different from IPOs. In conclusion, SEOs can be quite different from IPOs when examining the association between the insider manipulation of R&amp;D and stock valuation

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6

MARTIN, GERALD R., and E. HALSEY SANDFORD. "Valuation Of Preferred Stock." Business Valuation Review 10, no. 1 (March 1991): 33–36. http://dx.doi.org/10.5791/0882-2875-10.1.33.

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7

Lilly, Martha Sadler. "Valuation Of Closely Held Stock." Journal of Applied Business Research (JABR) 6, no. 3 (October 21, 2011): 14. http://dx.doi.org/10.19030/jabr.v6i3.6285.

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Valuation of closely held corporate stock may rest upon several methodologies: restrictive agreements, earning capacity, dividend paying capacity, book or net asset value, goodwill and other intangible assets, as well as minority and controlling interests. Rev. Rul. 59-60 provides guidelines for valuation in the event of few or no market quotations and no restrictive agreements. Various cases have focused on critical factors in the valuation process with little guidance from the courts as to weight or value of such factors.

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8

Tlemsani, Issam, Fai Albadeen, Ghada Althaaly, Maha Aljughaiman, and Hala Bubshait. "Tadawul and Dubai Financial Market - A Comparative Study." Journal of Business Administration Research 9, no. 2 (November 4, 2020): 45. http://dx.doi.org/10.5430/jbar.v9n2p45.

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This research is intended to identify the fundamentals of stock valuation and utilize them in the macro analysis and micro valuation of two major stock exchanges ‘Tadawul’ and ‘Dubai Financial Market’. These stock exchanges are compared in terms of their strengths and weaknesses according to significant economic indicators, alongside essential stock market determinants, all the while highlighting relevant relationships among them. Upon assessment, GDP has a strong influence on the valuation of the market and KSA’s GDP growth in the last two years has been slightly higher than UAE’s growth, affecting projected GDP growth rates. Tadawul performed better than DFM in P/E ratio indicating a higher willingness to invest in the Saudi stock exchange as well as a higher return expectation. DFM’s stocks are highly undervalued. It can be concluded that both stock exchanges are strong and competitive respectfully, and their potential for growth depends on the economic market that they originate from.

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9

Sackley, William H. "Dividends, Stock Repurchases, and Valuation." CFA Digest 36, no. 3 (August 2006): 80–81. http://dx.doi.org/10.2469/dig.v36.n3.4239.

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10

Realdon, Marco. "Revisiting cumulative preferred stock valuation." Finance Research Letters 3, no. 1 (March 2006): 2–13. http://dx.doi.org/10.1016/j.frl.2006.01.002.

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11

Bey, Roger P., and Larry J. Johnson. "Valuation of Executive Stock Options." Managerial Finance 21, no. 10 (October 1995): 9–25. http://dx.doi.org/10.1108/eb018536.

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12

Bakshi, Gurdip, and Zhiwu Chen. "Stock valuation in dynamic economies." Journal of Financial Markets 8, no. 2 (May 2005): 111–51. http://dx.doi.org/10.1016/j.finmar.2005.01.001.

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13

LAU, KA WO, and YUE KUEN KWOK. "VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH." International Journal of Theoretical and Applied Finance 08, no. 05 (August 2005): 659–74. http://dx.doi.org/10.1142/s0219024905003189.

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The reload provision in an employee stock option is an option enhancement that allows the employee to pay the strike upon exercising the stock option using his owned stocks and to receive new "reload" stock options. The usual Black–Scholes risk neutral valuation approach may not be appropriate to be adopted as the pricing vehicle for employee stock options, due to the non-transferability of the ownership of the options and the restriction on short selling of the firm's stocks as hedging strategy. In this paper, we present a general utility maximization framework to price non-tradeable employee stock options with reload provision. The risk aversion of the employee enters into the pricing model through the choice of the utility function. We examine how the value of the reload option to the employee is affected by the number of reloads outstanding, the risk aversion level and personal wealth. In particular, we explore how the reload provision may lower the difference between the cost of granting the option and the private option value and improve the compensation incentive of the option award.

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14

Mozes, Haim A., and Serge Cooks. "Valuation, Observability of Valuation Drivers, and Future Stock Returns." Journal of Investing 19, no. 2 (May 31, 2010): 8–20. http://dx.doi.org/10.3905/joi.2010.19.2.008.

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15

Nguyen, Dzung Viet. "Relative Versus Fundamental Valuation: An Empirical Study of US Biotechnology Firms Around the 2000 High-Tech Bubble." International Journal of Financial Research 11, no. 6 (December 6, 2020): 226. http://dx.doi.org/10.5430/ijfr.v11n6p226.

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This study is related to the issue of whether the stock market reflects the fundamental value of high-tech firms around the 2000 high-tech bubble. We extend the literature on firm valuation by exploiting the conceptual difference between intrinsic and relative values. We apply the residual income model and valuation multiples to estimate these two values respectively and make a comparison for a sample of biotechnology firms. Under realistic assumptions, it seems that estimated fundamental values of these firms fail to be reflected by the stock market. Their market valuation is rather based on relative value for both periods before and after the fall of high-tech stocks.

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16

Bierman, Harold. "Common Stock Equivalents, Earnings per Share, and Stock Valuation." Journal of Accounting, Auditing & Finance 1, no. 1 (January 1986): 62–70. http://dx.doi.org/10.1177/0148558x8600100106.

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17

Meilia, Winda, and Dien Noviany Rahmatika. "Pengaruh Ukuran Perusahaan, Likuiditas, Leverage, dan Margin Laba Kotor terhadap Pemilihan Metode Penilaian Persediaan." Permana : Jurnal Perpajakan, Manajemen, dan Akuntansi 12, no. 2 (August 16, 2020): 215–32. http://dx.doi.org/10.24905/permana.v12i2.113.

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This study aimssto detrmine the Effectt of Company Size, Liquidty, Leverage And Profit Margin Against Selection Inventory Valuation Method (Case Study in the food and baverage company listd on the Indonesia Stock Exchage year 2016-2018). The population of thissstudy is a fooddand beverage compny listed on the Indonesia StockkExchange in the 2015-2018 period. The research sample consisted of 36 companies. The sampling technique with purposive sampling technique. The datas used isssecondary data on annual reports offfood ands beverage companies listd on the Indonesiia Stock Exchange. This research uses logistic analysis method with SPSS program. The results showed that company size effectson the selction of inventorys valuation methods with a significant value of 0,023. Liquidity does not affect theeselction of inventory valuations methods with a significant value of 0,449. Leverage does not affect theeselection oof inventoryyvaluation methods with a significant value of 0,926. And the gross profit margin effects on the selction ofiinventory valuation methods with a significant value of 0,027.

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18

Magiera, Frank T. "Employee Stock Options and Equity Valuation." CFA Digest 34, no. 3 (August 2004): 91–95. http://dx.doi.org/10.2469/dig.v34.n3.1538.

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19

Stowe, John D., Dennis W. McLeavey, and Jerald E. Pinto. "Share Repurchases and Stock Valuation Models." Journal of Portfolio Management 35, no. 4 (July 31, 2009): 170–79. http://dx.doi.org/10.3905/jpm.2009.35.4.170.

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20

Khasanov, R. Kh, and A. O. Lavrinenko. "Valuation of the Russian stock market." Финансовая аналитика: проблемы и решения 10, no. 3 (March 15, 2017): 311–30. http://dx.doi.org/10.24891/fa.10.3.311.

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21

Khasanov, R. Kh. "Valuation of the Russian stock market." Finance and Credit 25, no. 11 (November 29, 2019): 2606–24. http://dx.doi.org/10.24891/fc.25.11.2606.

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22

Corrado, Charles J., Bradford D. Jordan, Thomas W. Miller, and John J. Stansfield. "Repricing and employee stock option valuation." Journal of Banking & Finance 25, no. 6 (June 2001): 1059–82. http://dx.doi.org/10.1016/s0378-4266(00)00113-8.

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23

Ghezzi, Luca L., and Carlo Piccardi. "Stock valuation along a Markov chain." Applied Mathematics and Computation 141, no. 2-3 (September 2003): 385–93. http://dx.doi.org/10.1016/s0096-3003(02)00263-1.

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24

Aboody, David. "Market valuation of employee stock options." Journal of Accounting and Economics 22, no. 1-3 (August 1996): 357–91. http://dx.doi.org/10.1016/s0165-4101(96)00439-9.

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25

Bergeron, Claude, Jean Pierre Gueyie, and Komlan Sedzro. "Earnings-consumption betas and stock valuation." American J. of Finance and Accounting 5, no. 2 (2018): 151. http://dx.doi.org/10.1504/ajfa.2018.090373.

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26

Sedzro, Komlan, Jean Pierre Gueyie, and Claude Bergeron. "Earnings-consumption betas and stock valuation." American J. of Finance and Accounting 5, no. 2 (2018): 151. http://dx.doi.org/10.1504/ajfa.2018.10011614.

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27

Buckley, Adrian, Kalun Tse, Herbert Rijken, and Hans Eijgenhuijsen. "Stock Market Valuation with Real Options:." European Management Journal 20, no. 5 (October 2002): 512–26. http://dx.doi.org/10.1016/s0263-2373(02)00102-0.

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28

Lim, Kian-Guan, and Eric Terry. "The valuation of multiple stock warrants." Journal of Futures Markets 23, no. 6 (June 2003): 517–34. http://dx.doi.org/10.1002/fut.10079.

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29

Isleib, Bruce, Barry Marks, and Michael N. Wolfe. "Employee Stock Options: Alternative Valuation Models." Compensation & Benefits Review 35, no. 6 (November 2003): 46–52. http://dx.doi.org/10.1177/0886368703258650.

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30

Cai, Ning, and Wei Zhang. "Regime Classification and Stock Loan Valuation." Operations Research 68, no. 4 (July 2020): 965–83. http://dx.doi.org/10.1287/opre.2019.1934.

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For traditional perpetual American put options under regime-switching models with positive risk-free interest rates, optimal stopping usually can occur in any regime. Nonetheless, if the risk-free interest rates are allowed to equal zero (the interest rate may drop to zero sometimes in reality), there may exist “continuation regimes” within which optimal stopping can never occur, that is, within which stopping is never optimal. A natural problem is “regime classification,” that is, determination of all continuation regimes. In “Regime Classification and Stock Loan Valuation,” Ning Cai and Wei Zhang develop a unified, fixed point approach to solving this regime classification problem under general regime-switching exponential Levy models with any finite numbers of regimes and general Levy types. Applying this result, they also provide a unified framework for the valuation of infinite maturity stock loans under general regime-switching exponential Levy models.

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31

Pástor, Ľuboš, and Veronesi Pietro. "Stock Valuation and Learning about Profitability." Journal of Finance 58, no. 5 (September 11, 2003): 1749–89. http://dx.doi.org/10.1111/1540-6261.00587.

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32

Zhang, Ge. "Market Valuation and Employee Stock Options." Management Science 52, no. 9 (September 2006): 1377–93. http://dx.doi.org/10.1287/mnsc.1060.0539.

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33

León, Angel, and Antoni Vaello-Sebastià. "American GARCH employee stock option valuation." Journal of Banking & Finance 33, no. 6 (June 2009): 1129–43. http://dx.doi.org/10.1016/j.jbankfin.2008.12.012.

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34

Chatterjee, Sris, Iftekhar Hasan, Kose John, and An Yan. "Stock liquidity, empire building, and valuation." Journal of Corporate Finance 70 (October 2021): 102051. http://dx.doi.org/10.1016/j.jcorpfin.2021.102051.

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35

Schober, Peter, and Martin Wagener. "Arbitrage potential in the Eurex order book – evidence from the financial crisis in 2008." Risk Governance and Control: Financial Markets and Institutions 5, no. 4 (2015): 300–313. http://dx.doi.org/10.22495/rgcv5i4c2art4.

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In this paper we investigate the valuation efficiency of the Eurex market for DAX single stock options. As a measure of arbitrage potential we use an adapted version of Stoll’s put-call parity model. By calculating deviations from the theoretical fair put and call prices before and during the financial crisis in 2008, we find evidence for a decrease in market’s valuation efficiency. Valuation efficiency is even worse for German financial stocks for which short selling was restricted. Although considerable profit opportunities are found, only a small number turn out to be profitable after transaction costs are considered. Our research complements the existing research by investigating American type stock options on a fully electronic exchange in both, volatile and stable markets.

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36

Harnida, Muthia. "PENGARUH FAKTOR FUNDAMENTAL TERHADAP PENILAIAN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA." Al-KALAM JURNAL KOMUNIKASI, BISNIS DAN MANAJEMEN 4, no. 2 (November 27, 2017): 78. http://dx.doi.org/10.31602/al-kalam.v4i2.968.

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The approaches of stock valuation can be used by the investor using the approaches of present value and price earnings ratio. This research is to investigate the effect of fundamental analysis on the stock valuation using the approach of price earnings ratio. The fundamental factor uses some variables such as dividend yield, return on assets, leverage, firm size and growth of earnings per share. The sample is manufacturing companies listed in Indonesian Stock exchange for the period of financial report of 2013 until 2015. The result indicates that statistically dividend yields, leverage, firm size, and return on assets have significant effect on the stock valuation of price earnings ratio, but growth of earnings per share does not affect the stock valuation.

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Moss, Alex, and Nicole Lux. "The impact of liquidity on the valuation of European real estate securities." Journal of European Real Estate Research 7, no. 2 (July 29, 2014): 139–57. http://dx.doi.org/10.1108/jerer-12-2013-0026.

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Purpose – The purpose of this paper is to test the hypothesis that the valuations of European real estate securities are, in part, determined by the relative liquidity in the companies’ shares. Design/methodology/approach – Six groups are derived for our sample of European listed real estate companies. They are split between the UK and Europe, and then both sets are categorised by liquidity as large, medium or small. These are then tested for market depth, market tightness and difference in valuations over the cycle 2002-2012. Intuitively, it can be expected that the stock market valuation premium for companies with greater liquidity increases post the global financial crisis. Findings – The key discriminating variable that drives companies’ liquidity and valuations is market capitalisation. For both the UK and Europe, the valuation premium of larger companies vs small companies has increased significantly since 2008 (by 20-40 per cent), which can be attributed to the increased value placed on liquidity post GFC. Research limitations/implications – The sample size is relatively small, and subject to individual company influences on stock market valuation. Practical implications – The key implications from the findings are the cost and quantum of new equity capital available to companies with superior liquidity, and the possibility of exclusion from portfolios for companies with low liquidity. Originality/value – Previous studies have focussed on returns for measuring a liquidity premium. This study focusses on relative valuations and how the liquidity premium changes throughout the cycle.

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Shi, Gang, Zhiqiang Zhang, and Yuhong Sheng. "Valuation of stock loan under uncertain mean-reverting stock model." Journal of Intelligent & Fuzzy Systems 33, no. 3 (August 24, 2017): 1355–61. http://dx.doi.org/10.3233/jifs-17378.

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39

Anderson, Anne, Parveen P. Gupta, and Andrey Zagorchev. "Does a country’s financial and legal systems contemporaneously impact the governance and performance relationship: Further evidence?" Corporate Ownership and Control 9, no. 4-3 (2012): 279–308. http://dx.doi.org/10.22495/cocv9i4c3art2.

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We investigate the impact of continuous measures of the financial system and investor protection on the corporate governance-performance relationship. We find that shareholder suits rights/stock market capitalization (disclosure rights/stock market capitalization) has monotonic (non-monotonic) relation with firm performance and that high-levels of stock market capitalization and investor protection generate valuation synergies. Besides interactions of financial and legal systems with corporate governance, market- (bank-) orientation and development and stronger (weaker) investor protection along with better (worse) corporate governance are associated with higher (lower) valuations. A country’s migration to a developed stock market with enhanced investor protection is related to better corporate governance and firm performance.

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40

Carter, Kelly. "Do sentimental investors price rational information? Evidence from the Boston Celtics." Managerial Finance 46, no. 9 (May 19, 2020): 1199–214. http://dx.doi.org/10.1108/mf-11-2019-0573.

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PurposeMuch evidence exists that rational investors factor rational information into their valuation of shares. This paper aims to examine whether sentimental investors do the same.Design/methodology/approachTo investigate this issue, the author measures sentimental investors’ reaction to the surprise player transactions of the Boston Celtics, which traded on the New York Stock Exchange for 18 years. The team’s shares were bought mainly as souvenirs by sports fans, whose largely unwavering support makes them perhaps the least likely investors to be influenced by rational information. Thus, if the team’s share price changes because of the arrival of rational information, evidence that sentimental traders price rational information into their valuation of a stock will exist.FindingsAn acquired player’s salary, education and firm-specific experience with the Boston Celtics cause higher returns. This result provides evidence that sentimental traders factor rational information into their valuations of shares. On a broader scale, the findings underscore the importance of rational information to the valuation process, as even sentimental investors price rational information into a stock that is held for sentimental reasons. Moreover, the results are consistent with the nudge theory, in that the arrival of rational information encourages (i.e. nudges) sentimental investors to price the rational information as a rational investor world.Originality/valueThis study is the first to show that sentimental traders also factor rational information into the valuation process – an idea that was likely assumed prior to this study, but was never substantiated.

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Kusmayadi, Iwan, Muhammad Ahyar, Muhdin Muhdin, and G. A. Oktaryani. "PROSPEK SAHAM PERBANKAN DI INDONESIA." JMM UNRAM - MASTER OF MANAGEMENT JOURNAL 9, no. 2 (June 22, 2020): 175. http://dx.doi.org/10.29303/jmm.v9i2.547.

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The focus of this research is to determine stocks provide the highest profit (gain opportunity) for investors. Investors will compare opportunities in choosing investment in the banking sector by comparing the combination of long-term growth rates rather than bank fundamentals with stock valuations. The population in this study is banking stocks included in the LQ45 index. The method of data collection uses a sample survey with a purposive sampling technique with the criteria of banking stocks with the largest market capitalization and has a high level of liquidity in trading values, and has consistently been included in the LQ45 index for the last 10 years (2008 to 2017). The number of samples selected were 4 banks consisting of Bank Mandiri (BMRI), Bank BRI (BBRI), Bank BCA (BBCA), and Bank BNI (BBNI). Data collection techniques through documentation, as well as quantitative data sourced from secondary data. Data analysis techniques by comparing the growth of fundamental performance such as Return On Assets (ROA), Return On Equity (ROE), Debt to Equity (DER), Capital Addequacy Ratio (CAR), and Non Performing Loans (NPL). Whereas market performance through Share Price, Earning Per Share (EPS), Price Earning Ratio (PER), Price to Earning Growth (PEG), and Dividend Yield by using compounded annual growth rate (CAGR). Then compare the value of the Margin Of Safety (MOS) Average in stock valuation analysis. The results of this study indicate that the financial performance of Bank BCA (BBCA) is superior to other banks according to DER, CAR and NPL. BRI is the best bank in generating profitability (ROA and ROE) compared to 3 other banks. Meanwhile, according to the stock market performance based on the order of the greatest opportunity level, Bank BNI has the best prospects because it has the largest EPS growth, the lowest stock price valuation, and sufficient MOS value, then ranked below it respectively are Bank Mandiri, Bank BRI, and Bank BCA .Keywords:Financial performance, market performance, and stock value

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42

Soffer, Leonard C. "SFAS No. 123 Disclosures and Discounted Cash Flow Valuation." Accounting Horizons 14, no. 2 (June 1, 2000): 169–89. http://dx.doi.org/10.2308/acch.2000.14.2.169.

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One of the cornerstones of financial statement analysis is the discounted cash flow valuation. Despite the broad use of this valuation technique, and the economic importance of employee stock options to firm values, there is little guidance on how employee stock options should be incorporated in a valuation. This paper provides a comprehensive approach to doing so, including consideration of the income tax implications of option exercises, the simultaneity of equity and option valuation, and the use of the disclosures that were mandated recently by Statement of Financial Accounting Standards No. 123. The paper provides a comprehensive example using Microsoft's fiscal 1997 financial statements and employee stock option disclosure. This paper should be of interest to academics and practitioners involved in corporate valuation and financial statement analysis.

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Lee, Su Jeong, Young Jun Kim, Eugenia Y. Lee, and Ga-young Choi. "Market Reactions to Announcements of Valuation Losses on Conversion Rights Embedded in Convertible Instruments." Journal of Derivatives and Quantitative Studies 28, no. 1 (February 29, 2020): 35–61. http://dx.doi.org/10.37270/jdqs.28.1.2.

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Convertible instruments are financial instruments embedded with conversion rights such as convertible bonds or convertible preferred stocks. Under the Korean International Financial Reporting Standards (K-IFRS), the embedded conversion rights with certain conditions (i.e., a refixing clause) are recognized as derivative liabilities and are recognized at fair value in issuer’s financial statements. Since the value of convertible rights varies with the underlying stock value, an increase in the issuers’ stock price causes the issuers of convertible instruments to announce large derivative valuation losses. Using disclosures under the title of ‘Loss from Derivatives Trading’ from the KOREA EXCHANGE (KRX) during January 2016 through December 2019, this study examines market reactions to the disclosure of valuation losses on conversion rights embedded in convertible instruments. We find the following results. First, abnormal stock returns on the loss announcement date are significantly negative. Second, abnormal trading volumes peak on the loss announcement date. Third, abnormal stock returns persist in the long-term. Collectively, our findings suggest that investors perceive the loss disclosures as negative news, but fail to impound the information into issuer’s stock prices effectively. This study emphasizes the importance of education on convertible instruments and improvement in the disclosure requirements on valuation losses of conversion rights embedded in convertible instruments by providing evidence that investors face difficulty in understanding the related disclosures.

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Bogatyrev, S. Yu. "Behavioral valuation in the Russian and Western stock markets." Finance and Credit 26, no. 3 (March 30, 2020): 549–64. http://dx.doi.org/10.24891/fc.26.3.549.

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Subject. The article discusses changes in qualities of market actors that influence the valuation of assets, behavioral valuation, ranges of the valuation apparatus components. I focus on the practical implementation of the behavioral pricing and a technique for assessing key indicators of behavioral valuation of assets. Objectives. The study measures ranges of certain values adjusting the beta coefficient, which is used to assess the discount rate under the CAPM so as to arrive at the behavioral discount rate and market value of assets in markets with reference to behavioral factors. Methods. The article demonstrates how the behavioral pricing apparatus is applied. I also present some computations, propose benchmarks for assessing the adjustment to components of the discount rate formula for valuation purposes and in line with the emotional tone in stock markets. Results. I devised and implemented the technique for measuring the emotional tone of news and integrated methods for assessing the behavioral beta in accordance with the behavioral CAMP of Hersch Shefrin and Meir Statman. I tested and verified the hypothesis stating that emotions cause the beta coefficient, which is used by irrational investors use, to diverge from the one embedded in the CAPM. The article shows a range of the beta coefficient used by irrational investors from the one embedded in the CAPM. It can be used to assess the market value of shares in a particular case. Conclusions and Relevance. The theory of behavioral valuation of financial assets was put into practice, unveiling the value of the discount rate constituents, which can serve for cost analysts and appraisers. The findings are useful for valuation, corporate finance, public and municipal finance, fiscal issues, stock exchanges. Behavioral valuation tools are especially relevant in case of instability and crisis, a changing market paradigm, market developments, changes in the rate of return and volatility of financial instruments. Behavioral valuation tools supplements and expands the classical one, improves decision-making on value management in modern markets.

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Boehme, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu. "Short-Sale Constraints, Differences of Opinion, and Overvaluation." Journal of Financial and Quantitative Analysis 41, no. 2 (June 2006): 455–87. http://dx.doi.org/10.1017/s0022109000002143.

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AbstractMiller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.

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Ide, Masasuke. "Corporate Profitability and Stock Valuation in Japan." Financial Analysts Journal 52, no. 2 (March 1996): 40–55. http://dx.doi.org/10.2469/faj.v52.n2.1979.

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Fielitz, Bruce D., and Frederick L. Muller. "A Simplified Approach to Common Stock Valuation." Financial Analysts Journal 41, no. 6 (November 1985): 35–41. http://dx.doi.org/10.2469/faj.v41.n6.35.

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Hull, John, and Alan White. "The Valuation of Market-Leveraged Stock Units." Journal of Derivatives 21, no. 3 (February 28, 2014): 85–90. http://dx.doi.org/10.3905/jod.2014.21.3.085.

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Cai, Ning, and Lihua Sun. "Valuation of stock loans with jump risk." Journal of Economic Dynamics and Control 40 (March 2014): 213–41. http://dx.doi.org/10.1016/j.jedc.2014.01.004.

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Leung, Kwai Sun, and Yue Kuen Kwok. "Employee stock option valuation with repricing features." Quantitative Finance 8, no. 6 (September 2008): 561–69. http://dx.doi.org/10.1080/14697680701604587.

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