To see the other types of publications on this topic, follow the link: Book-to-market value.
Dissertations / Theses on the topic 'Book-to-market value'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 33 dissertations / theses for your research on the topic 'Book-to-market value.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
1
Abdel-Jalil, Tawfiq Hasan. "Book-to-market value of equity ratios and earnings realization." Thesis, Bangor University, 2000. https://research.bangor.ac.uk/portal/en/theses/booktomarket-value-of-equity-ratios-and-earnings-realization(48ae90b1-c8a9-44c9-b2ca-e030783c2f04).html.
Full textAbstract:
This thesis increases our understanding of the book-to-market ratio via a detailed examination of how and when earnings are realised in relation to firms' "capitalisation" and "average useful-life of assets". Book-to-market ratios (BMRs) are regressed as a function of changes in market value of equity ratios for British industrial companies registered on the London Stock Exchange from 1987 to 1996. Data from a prior period (1976-1986) is also employed to stabilise for effects of earnings realisation before the regression period. The "average useful-life assets" for the firms in the sample determines the time horizon of the analysis. The path of abnormal earnings over this horizon reflects the pattern of expiration of the useful-lives of assets in place. The analysis finds that an accrual measurement effect dominated in BMRs increases over the analysis period and also that accrual measurement is more influential in BMRs for firms with short than with long "average useful-life assets". Changes in market value ratios are found to inform about future earnings up to at least six years, except for highlycapitalised firms with long useful-life assets (for which the relationship lasts up to 4 years). The length of the informative period is found to be inverse to the average useful-life of firms' assets. The effect of differences between annual changes in market value of equity ratios on BMRs across time diminishes soon (two years) after the initial market shock' occurs. Long useful-life assets have no further effect on BMRs evolution at more distant lags. Contrary to previous research (in the USA), changes in market value of equity ratios (for UK firms) are found to be associated more with short than with long useful-life assets. Although not specially tested for, this result supports the notion of "short-terminism" of which the UK stock market is sometimes accused. The apparent "short-terministic" outlook by investors in UK firms coincides with improved predictability of BMRs in the UK compared with the US market. The high coefficients of determination from changes in market value of equity ratios as a function of BMRs, identified in the study, motivates a further test for a prediction model which is able to predict 29.2% of the variation in book-tomarket value of equity ratios 8 years in advance.
2
Omura, Teruyo. "The relationship between market value and book value for five selected Japanese firms." Queensland University of Technology, 2005. http://eprints.qut.edu.au/16150/.
Full textAbstract:
Studies of the value relevance of accounting number in capital market research are consistent with the simple view that, in equilibrium, book values are equal to or have some long-term relationship with market values, and that market returns are related to book returns. This dissertation examines the value relevance of annually-reported book values of net assets, earnings and dividends to the year-end market values of five Japanese firms between 1950 and 2004 (a period of 54 years). Econometric techniques are used to develop dynamic models of the relationship between markets, book values and a number of macro-economic variables. In constructing the models, the focus is to provide an accurate statistical description of the underlying relationships between market and book value. It is expected that such research will add to the body of knowledge on factors that are influential to Japanese stock prices. The significant findings of the study are as follows: 1) well-specified models of the data generating process for market value based on the information set used to derive the models are log-linear in form. Additive, linear models in untransformed variables are not well-specified and forecast badly out of sample; 2) the book value of net assets has relevance for market value in the five Japanese firms examined, in the long run.
3
Martin, Kris Rowland. "The Effect of Accounting Method Choice on Earnings Quality: A Study of Analysts' Forecasts of Earnings and Book Value." Diss., Virginia Tech, 2002. http://hdl.handle.net/10919/29240.
Full textAbstract:
Whether the quality of a firm's reported earnings affects investors' ability to predict
future earnings and stock returns is still a subject of much debate among accounting researchers.
Lev (1989) suggests that low quality earnings may be causing the relatively low correlation
between reported earnings and stock returns (or the market's evaluation of future earnings). This
dissertation used the valuation model described in Ohlson (1995) and Feltham and Ohlson
(1995) to explore the possible links between accounting method choices and the ability of
investors to use reported earnings to predict future earnings. The results demonstrate that prior
researchers' assumptions regarding which accounting methods are generally conservative or
liberal are reasonably accurate over large numbers of firms. The results also show that one
group of analysts (Value Line Investment Survey) is able to predict future earnings more
accurately over medium-term and long-term forecast horizons for firms using generally
conservative accounting methods than those firms employing generally liberal accounting
methods.
This research adds to the prior "quality of earnings" research by showing that analysts
can predict earnings more accurately for certain classes of firms (i.e., firms using conservative
accounting methods), thus increasing our knowledge of what constitutes high-quality earnings.
The research also explores the effects of growth on the quality of earnings question, the effects
of firm size, leverage, and industry membership on the relationship, and the robustness of the
Feltham and Ohlson Model to alternative definitions of key components of the model.Ph. D.
4
Lovric, Toni, and Daniel Rados. "I Piotroskis Fotspår : Förslag på förbättringar av Piotroskis hög book-to-market investeringsstrategier." Thesis, Uppsala University, Department of Business Studies, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-112317.
Full text
5
Hasler, Mathias. "Essays in Empirical Asset Pricing:." Thesis, Boston College, 2021. http://hdl.handle.net/2345/bc-ir:109083.
Full textAbstract:
Thesis advisor: Jeffrey J.P. PontiffMy dissertation includes three chapters on the value premium. In the first chapter, I study whether seemingly innocuous decisions in the construction of the original HML portfolio (Fama and French, 1993) affect our inference on the value premium. I find that the value premium is dramatically smaller than we thought. In sample, the average estimate of the value premium is 0.09% per month smaller than the original estimate of the value premium. Out of sample, however, the difference is statistically insignificant. The results suggest that the original value premium estimate is upward biased because of a chance result in the original research decisions. In the second chapter, I propose an estimate for intangible assets and growth opportunities and examine if this estimate improves book-to-market equity as a measure of value. I find that portfolios sorted on book equity plus the estimate to market equity have lower returns than portfolios sorted on book-to-market equity. The results suggest that intangible assets and growth opportunities diminish book-to-market equity as a measure of value because investors value intangible assets and growth opportunities in an overly optimistic way. In my third chapter, I simultaneously study nine explanations of the value effect to better understand what the dominant value explanation is. I find that duration accounts for most of the value effect and that the eight other explanations account for a negligible part of it. The results suggest that duration is the dominant explanation of the value effect
Thesis (PhD) — Boston College, 2021
Submitted to: Boston College. Carroll School of Management
Discipline: Finance
6
Pinto, Tânia Filipa Gomes. "O impacto da introdução da IFRS 13 na divulgação sobre o justo valor : o caso das stock options." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/17784.
Full textAbstract:
Mestrado em Contabilidade, Fiscalidade e Finanças EmpresariaisA necessidade de uma informação clara, fiável e comparável levou à emissão de normas que permitiram melhorar a qualidade e a transparência da informação financeira. A IFRS 13 "Fair Value Measurement" assume um papel importante no que concerne à definição do conceito do justo valor e dos requisitos de divulgação exigidos que visam contribuir para a divulgação de informação contabilística mais transparente. Este estudo tem por objetivo analisar o impacto da introdução da IFRS 13 sobre o cumprimento dos requisitos de divulgação obrigatórios exigidos pela referida norma em empresas do FTSE 100 para o caso das stock options. Para tal, construiu-se um índice de cumprimento dos requisitos de divulgação de forma a verificar se variáveis como o setor de atividade, a dimensão da empresa, o endividamento e a rendibilidade têm algum tipo de impacto na divulgação da informação sobre o justo valor. Verificou-se que a dimensão, o sector de atividade, a alavancagem e o rácio market-to-book-value não se revelaram estatisticamente significativos. Quanto ao ROE verificou-se uma relação positiva sendo esta estatisticamente significativa o que reforça estudos anteriormente realizados. Por último, no que respeita à variável IFRS 13, pode concluir-se que a mesma confere um maior nível de transparência à informação disponibilizada pelas empresas, nomeadamente após a sua entrada efetiva em janeiro de 2013. Adicionalmente, conclui-se que a obrigatoriedade de aplicação desta norma se traduz efetivamente no aumento do cumprimento dos requisitos de divulgação por ela exigidos.
The need of a reliable, clear and comparable information was in the origin of new international standards that allowed the improvement of the quality and transparency of financial information. The IFRS 13 has an important role in the application of the fair value but also in the disclosure requirements which had a major contribution in the accounting information transparency. This paper analyses the compliance of the mandatory fair value disclosure requirements enforced by IFRS 13 to companies of FTSE 100 and more specifically for the case of stock options. I conclude that ROE has a positive impact in the level of fair value disclosure, while firm ́s size, the sector, firm ́s leverage and market-to-book ratio were factors without any statistically significant impact. Finally, results show that there is a higher level of transparency to the disclosure information by companies, after the enforcement of IFRS13. Therefore, mandatory application of IFRS 13 can effectively increase the compliance of mandatory requirements enforced by this standard.
info:eu-repo/semantics/publishedVersion
7
Markus, Drevelius, and Jonas Sormunen. "A study of value investment strategies based on dividend yield, price-to-earnings and price-to-book ratios in Swedish stock market." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40688.
Full textAbstract:
As the existence of value premium has been showed in previous studies, this paper focuses on studying strategies for capitalizing this value premium in Swedish stock market. This paper studies the possible gains and risks of value investing strategies constructed with dividend yield, price-to-earnings (P/E) and price-to-book (P/B) ratios in Swedish stock market during 2006-2016.The findings show that the studied value portfolios offered abnormal returns during the studied time-period. Moreover, value stocks performed better than growth stocks when dividend yield and P/B-ratio were used as criteria. However, the paper could not confirm the same effect in P/E-ratio as high P/E tended to work better than low P/E. Out of the studied ratios, the best risk-adjusted returns were received from companies with the lowest P/B-ratios.The findings in this paper also indicate that including more ratio-based criteria in to an investment strategy does not offer more risk-adjusted returns.
8
Emde, Larissa, and Cem Yildirim. "The Performance of Gross-Profit to Asset on the Swedish Stock Market : A comparison to Book-to-Market and Earnings-to-Price in a time frame of 1994-2013." Thesis, Umeå universitet, Företagsekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-141133.
Full textAbstract:
This thesis examines the performance of portfolios sorted by gross-profit-to-asset (GPA) as a quality investing on the Swedish stock exchange. It constructs long-only portfolios and long-short portfolios sorted by GPA, book-to-market (B/P) and earnings-per-price (E/P). Thus, the thesis includes quality and value investing. The thesis compares separately the constructed long-only and long-short portfolios among each other. The long-only strategies are additionally compared to the market index. The study further examines a combined portfolio, sorting for GPA and B/P in order to test Novy-Marx’s findings. He reports, that the average return improves, while the standard deviation remains at the same level for a combined portfolio sorting for GPA and B/P. This requires a negative correlation. The comparison is based on different portfolio measurements as i.e. s.d. The asset pricing models CAPM and 5-Factor Model are applied. In addition, actual returns, excessive return over the risk-free rate and over the market index as a benchmark are assessed for the portfolio. The analysis is conducted for the time period 1994-2013 and separately for downturns, considering 2000-2003, 2007-2009 and 2010. The results show a great applicability of the gross-profitability ratio on the Swedish market. This quality strategy convinces not only during normal times with the portfolios GPA-h (long-only) and GPA-hl (long-short) but also in stressed times. GPA-h reports positive (abnormal) returns GPA-h during downturns. The long-only and long-short portfolios based on GPA outperform the market in both time periods. GPA-sorted portfolios perform in general better and the two value strategies during normal times and downturns, based on the annual average return. Examining the two value strategies EP-sorted portfolios are superior over BP-sorted portfolios. EP-portfolios achieve better performance during downturns, regarding Jensen’s alpha. It can be derived, that EP is countercyclical. The combined portfolio generates high return and has a high standard deviation. The assessed statement of Novy-Marx cannot be confirmed for the Swedish stock market. It has to be stated that we detected positive correlation instead of negative correlation. It can be derived, that GPA ratio is applicable on the Swedish market, considering the assumptions and limitations of this study. EP-based portfolios show a good performance during downturns. BP- based portfolios do not perform well on the sweidish market in the assessed time frame. The combined portfolio GPABP-hh does increase returns with constant standard deviation, referred to BP-h. Our findings show, that both value strategies do not outperform the market index. The EP-based value portfolios outperform BP-based portfolios. EP-h performs better during downturns considering Jensen’s alpha.
9
Abrahamsson, Isak, and Malin Karlsson. "Värdeinvestering – en hållbar strategi för överavkastning? : Ett test av investeringsstrategin F_SCORE på värdeaktier med hög book-to-market kvot." Thesis, Högskolan i Gävle, Företagsekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-26119.
Full textAbstract:
Syfte: Det huvudsakliga syftet är att testa om Piotroskis F_SCORE tillämpat på aktier med hög book-to-market kvot kan överavkasta marknadsportföljen samt, som en konsekvens av detta, undersöka vilken grad av marknadseffektivitet som föreligger. Det sekundära syftet är att tillföra ett kunskapsbidrag till företagsledare om relevansen i book-to-market kvoten. Metod: Detta är en kvantitativ studie som utgår från ett positivistiskt synsätt och en hypotetiskt-deduktiv ansats. Statistiska tester i form av regressionsanalyser har utformats för att bestämma resultatets signifikansnivå. Den empiriska datan har inhämtats från databasen Thomson Reuter Datastream och sammanställts i Excel för att sedan analyseras i statistikprogrammet Stata. Resultat & slutsats: Studiens resultat visar att värdeportföljen överavkastar marknadsindex samt att den gör det över en längre tidsperiod. Det går också att fastställa att den riskjusterade avkastningen för värdeportföljen är högre än för marknaden, vilket tyder på att överavkastningen inte beror på en högre risk. Det går dock inte att avgöra om den effektiva marknadshypotesen råder eller ej, däremot går det att utesluta att den starka och semi-starka formen av marknadseffektivitet gäller. Förslag till fortsatt forskning: För att studera vidare huruvida den svaga formen av marknadseffektivitet råder är ett förslag till vidare forskning att göra en studie utifrån Contrarian modellen för att använda teknisk analys som endast tar hänsyn till historiska kursrörelser för att förutspå framtida avkastning. Ett annat förslag till vidare forskning är att genomföra en liknande studie som denna men då bortse från book to market kvoten och istället köpa aktier med ett F_SCORE högre eller lika med 5 samt att blanka de aktier som har ett F_SCORE under 5. Det tredje förslaget är att studera vidare kring sambandet mellan avkastning och anomalier som småbolagseffekten, likviditet och beteendefinans för att få en tydligare förståelse för vad som orsakar överavkastningen. Uppsatsens bidrag: Det teoretiska bidraget är att den aktuella investeringsstrategin överavkastar marknadsindex för vald tidsperiod utan en nödvändigtvis högre risk. F_SCORE antar en normalfördelningskurva där de bolag som har F_SCORE över fem generellt presterar bättre. Resultatet visar även att book to market kvoten är ett användbart nyckeltal för bolagsvärdering. Det praktiska bidraget är att det kan vara av vikt för företagsledare att fokusera på book to market kvoten för att locka investerare. För investerare är bidraget att denna investeringsstrategi kan slå marknadsindex utan att risken i portföljen ökar.Aim The main aim is to test if Piotroskis F_SCORE applied on stocks with high book-to- market ratio outperforms the market portfolio and therefore determine the level of market efficiency. The secondary aim is to provide knowledge to business executives about the relevance of a book-to-market policy. Method This study is a quantitative research which assumes a positivistic research philosophy with a deductive approach. Several regression analyses have been used to confirm the statistical significance of the different estimated parameters. The empirical results give answers to two hypotheses based on the aim of this research. The empirical data have been collected from Thomson Reuter Datastream, compiled in Excel and analyzed with the statistical software Stata. Result & Conclusions The empirical results of this study show that the value portfolio has a higher return than the market index. The risk-adjusted return for the value portfolio is higher compared to the market portfolio. This indicates that the higher return of the value portfolio is not due to a higher risk. By the results of this study there is not possible to determine whether the market is fully efficient or not. It is only possible to exclude the strong and semi-strong form of market efficiency. Suggestions for future research For future studies, we suggest further research about the weak form of market efficiency. Using historical data to determine future return, as Contrarian model, is one suggestion to reach further evidence of market (in)efficiency. Since F_SCORE assumes a normal distribution and because of the poor performance of the low F_SCORE firms another suggestion is short-sell these stocks to see if the return ca be increased. This empirical field needs further research about which factors that causes the higher return for these stocks. The small firm effect, liquidity and behavioral finance are just a few anomalies that may have a relationship with excess return. Contribution of the thesis The investment strategy in this research shows a higher excess return compared to the market index as well as a higher risk-adjusted return over the given period. This is not only a contribution to investors but also in a theoretical field due to the efficient market hypothesis. F_SCORE have a normal distribution curve where the stocks with F_SCORE of 5 or higher generally have a higher mean return. Another contribution is the relevance of book to market ratio as a useful strategy for valuating companies. The practical contribution gives business executives better understanding about the relevance of a book-to-market policy when attracting investors.
10
Bergman, Rickard, and Philip Gunnarsson. "Economic Value Added® applied on the American Stock Market : Can the EVA® fundamental analysis increase the returns to a hedge-portfolio strategy with stocks sorted after book-to-market valuation and size?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-143971.
Full textAbstract:
In this paper, the popular fundamental analysis model Economic Value Added is tested for any ability to generate returns above that explained by book-to-market effects on American large cap stocks. A zero net-investment hedge portfolio-test was undertaken where the Economic Value Added® fundamental analysis was applied on a sample of large cap stocks, sorted into quintiles after book to market valuation. The portfolio investing in the extreme quintiles gained positive returns between the years 1999 – 2010 equal to an average yearly total return of 7,32 %. During the test-period, the benchmark portfolio constituent of stocks sorted in the same way but without the Economic Value Added® analysis only managed to score returns equaling 2,3 %, adding evidence in favor of the Economic Value Added® analysis. The Economic Value Added also showed a better risk-profile than the benchmark portfolio, measured as the Modigliani Risk-Adjusted Performance over the entire period, further acknowledging the abnormal returns. However, the Economic Value Added® sample portfolios where unevenly distributed regarding number of stocks, foremost in the short-sold part for some years, mitigating the test as strong evidence in favor of the Economic Value Added® analysis. An independent samples t-test also did not reject the null hypothesis. Despite the mixed results of the test, the strength in the specification of sample and choice of method leads us to conclude that that the Economic Value Added® seems like a moderately effective tool for identifying mispriced stocks.
11
Pan, Lijin. "Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market? : A Panel Data Analysis of a Young Stock Market." Thesis, KTH, Industriell ekonomi och organisation (Avd.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-98085.
Full textAbstract:
This paper studies factors that influence the stock return on the Shanghai Stock Exchange (SSE) market. To achieve this goal, a stock-fixed effects model is estimated using a panel data sample comprising 100 companies listed on the SSE market during the 72-month period from January 2002 to December 2007. I find that number of trades and book-to-market value in both up and down markets have a significant and positive impact on stock returns during the studied period, whereas stock returns were negatively affected by systematic risk in both up and down markets although less so in up markets. Price to earnings ratio did not show any significant effect on stock returns on the SSE. My overall results indicate that SSE did not satisfy the efficient market hypothesis 1 during the studied period from January 2002 to December 2007.
12
Gaudio, André Eugênio de Goes Monteiro. "Em busca de um índice alternativo à relação Book to Market para a construção de carteiras mais rentáveis." Universidade do Estado do Rio de Janeiro, 2015. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=8551.
Full textAbstract:
Coordenação de Aperfeiçoamento de Pessoal de Nível SuperiorMuitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value.
Many studies have tried to predict the potential return on stock portfolios, aiming to get better return on invested capital. Several modeling have been used, and the more popular are those that relate the risk with the return. In this area, stand out the Portfolio Theory proposed by Markowitz and the CAPM proposed by Sharpe. Through these theories can be understood the influence of the covariance of returns, and for a best performance of a portfolio, is not enough to assess each individual asset. On the other hand, many criticism of the CAPM, have generating additional studies in search of other variables to improve the methods of selection of assets. Fama and French (1993) conducted a study with additional variables in relation to the CAPM beta, using the size and the relationship Book to Market, achieving better results than the traditional CAPM. This study considers the issue of the generated profit reinvestment, and using the model of Gordon proposes a classification variable for growth companies and value companies, which are concepts already used in finance literature. Based on this variable are set up stock portfolios between the years 2005 and 2012 and it is observed that it is possible to get earnings with the logic proposed. Over the period could be obtained with the selected portfolios up to 107.85% gains against the returns of 55.58% of the complete portfolio with all assets. We organize the same stocks from the perspective of the relationship Book to Market which had a total return of 90.42% on the whole period. Although observed a clear change of behavior, where only the first four years of the study portfolios with value companies are superior and the last four years portfolios of growth companies are the best. These results are consistent with the results of Braga and Leal (2000), and Mescolin Martinelli Braga and Costa Jr. (1997), watching a better performance for value companies.
13
Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.
Full textAbstract:
Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio with short-selling constraints, to allocate assets within the portfolio. The investment strategy is evaluated using the Modigliani-Modigliani Risk Adjusted Performance measure. Conclusions from the thesis are that the strategy does outperform the Swedish stock market index, both in terms of nominal return and risk-adjusted performance. The suboptimal behaviour of investors where they overreact to signals and unconsciously rely on heuristics is used to explain why this is possible. Market-to-Book-Value, using the first quartile as entry signal and third quartile as exit signal, is considered to be a successful key ratio to screen for value stocks.
14
Lundgren, Anton, and Sara Ahlgren. "P/B i kombination med marknadsvärde : En studie på Stockholmsbörsen 2006 - 2016." Thesis, Linköpings universitet, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-138819.
Full textAbstract:
Bakgrund: Denna studie är ett test av investeringsstrategi baserad på relativvärdering av multiplar. Den multipel som kommer att studeras som investeringsstrategi är Price-to-Book (P/B). Valet av multipel på P/B beror på att det är en väl omskriven multipel som fortfarande väcker frågeställningar avseende betydelsen av bokfört värde i kombination med marknadsvärde. Syfte: Syftet med denna studie är att undersöka och analysera multipeln P/B som investeringsstrategi för aktier. Vidare syftar studien till att undersöka aktier med låga respektive höga P/B från de olika börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Genomförande: Sex portföljer skapas baserat på låga respektive höga P/B från de marknadsvärdemässiga börslistorna Small, Mid och Large Cap på Stockholmsbörsen. Portföljerna ombalanseras årligen och följs mellan 2006 och 2016. Resultat: Fyra av sex portföljer har högre ackumulerad avkastning än jämförelseindex före och efter riskjustering. Dock hindrar svag statistisk evidens påvisande av överavkastning över tid. På motsvarande vis finnes svaga säkerställda skillnader i avkastning mellan låga och höga P/B. Ej heller förefaller det förekomma signifikanta skillnader i avkastning och risk mellan portföljer på Small, Mid och Large Cap.Background: This study is a test of an investment strategy based on relative valuation of multiples. The multiple to be studied is Price-to-Book (P/B). P/B is chosen because although previously researched, the implications of book values paired with market values are still not well understood. Aim: The aim of this study is to examine and analyze the multiple P/B as an investment strategy for stocks. Moreover, this study intends to examine stocks with low and high P/B: s from the Small, Mid and Large Cap on the Stockholm Stock Exchange. Completion: Six portfolios are created based on low and high P/B: s respectively from the market value-based stock exchange lists Small, Mid and Large Cap on the Stockholm Stock Exchange. The portfolios are rebalanced annually and are followed between 2006 and 2016. Results: Four out of six portfolios exhibit higher levels of cumulative returns than the chosen stock index before and after adjusting for risk. However, weak statistical evidence prevent conclusive showings of excess returns over time. Similarly, we find weak support for differences in returns between low and high P/B: s. Neither does there seem to exist significant differences in return and risk between the Small, Mid and Large Cap.
15
Jämtander, Jämtander. "Models explaining the average return on the Stockholm Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40360.
Full textAbstract:
Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.
16
Geraldes, Rodrigo Santoro. "Ações de crescimento e valor no Brasil: um estudo dos retornos e determinantes da convergência do múltiplo P/B." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/13062.
Full textAbstract:
Submitted by Rodrigo Geraldes (santorogeraldes@gmail.com) on 2015-01-07T20:21:13Z
No. of bitstreams: 1
Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5)Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2015-01-07T20:29:59Z (GMT) No. of bitstreams: 1 Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5)
Made available in DSpace on 2015-01-08T13:33:39Z (GMT). No. of bitstreams: 1 Dissertação - Rodrigo Geraldes.pdf: 932680 bytes, checksum: 9210f1d5ccf8429d91b3f739768aa595 (MD5) Previous issue date: 2014-12-18
Este trabalho busca compreender melhor as fontes de retorno de ações de valor e crescimento e os determinantes da convergência do indicador preço sobre valor patrimonial (P/B). Foram criados seis carteiras durante o período de 2001 a 2013, sendo elas classificadas de acordo com o seu múltiplo (P/B) e sua capitalização de mercado. O retorno divido entre dividendos e ganhos de capital, este foi dividido em: (1) crescimento do valor patrimonial, (2) convergência do indicador preço sobre valor patrimonial (P/B), devido a reversão de rentabilidade, crescimento e retorno esperado e (3) efeito drift. Também buscou-se determinar quais os principais fatores macro que afetam a convergência do indicador P/B. Foi realizada uma regressão linear múltipla utilizando como variáveis independentes a valorização do Ibovespa, PIB, juros reais, surpresa inflacionária e dummies (small, growth e value). A carteira big growth apresentou o melhor desempenho, seguido da carteira small value. O retorno de dividendos foi mais importante para os portfólios big em relação à small e para as carteiras value em relação às growth. Ao analisar o ganho de capital, verificou-se que o crescimento do valor patrimonial é maior para empresas growth, enquanto o efeito da convergência é mais importante para empresas valor. Verificou-se que o retorno do Ibovespa, surpresa inflacionária e o baixo valor de mercado influenciam positivamente a convergência do P/B. Já o pagamento os juros reais, PIB e a dummy growth influenciam negativamente.
This work seeks to better understand the sources of return in value and growth stocks, also to understand the main determinants of the convergence in price-to-book ratios. Six portfolios were created during 2001 to 2013 according to their P/B ratio and market cap. The return was divided between dividends and capital gains, the last was broken into: (1) growth of book value per share, (2) convergence in price-to-book ratios due to mean reversal in profitability, growth and expected returns, and (3) Drift effect. We also tried to determine the main factors that affect the convergence of P/B. Multiple regression was performed using as independent variables the returns of Ibovespa, GDP, interest rates, unexpected inflation and dummies (small, growth and value). The big growth portfolio was the best performance, followed by the small value portfolio. Dividends return was more important for big than value portfolios. When analyzing capital gain returns, it was found that book value growth is more important for growth companies, while the convergence of P/B is higher for value. It was found that the returns of Ibovespa, unexpected inflation and low market cap have a positive influence on convergence. On the other hand, interest rates, GDP and growth dummy have a negative influence.
17
Eliasson, Martin, Khawar Malik, and Benjamin Österlund. "A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-145255.
Full textAbstract:
The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. This further developed model is tested in two different contexts; firstly, a weighted fundamental score is developed that is updated every year in order to control for any changes in the predictive ability of fundamental signals over time. Secondly, the behavior of this score is analyzed in context of recession and growth cycles of the macro economy. Our findings show that high book-to-market portfolio consist of poor performing firms, as shown by Fama and French (1995) and is thereby outperformed by both Piotroski's F_score and our own developed scores. The score based on a rolling window correlation is performing a little better then F_score, but the score based on correlations for prior Up and Down periods is not. The conclusions we draw from the results are that improvements have to be made, both to F_score and our own developments, to sort winners from loser to get an even more profitable zero-investment hedge strategy.
18
Bona, Sergio de. "Ações de valor e crescimento: novo estudo para o mercado brasileiro base IBrX-50, período de 2003 a 2011." Universidade Presbiteriana Mackenzie, 2012. http://tede.mackenzie.br/jspui/handle/tede/588.
Full textAbstract:
Made available in DSpace on 2016-03-15T19:25:58Z (GMT). No. of bitstreams: 1
Sergio de Bona.pdf: 464852 bytes, checksum: d485200ef19b70fdccd333d296f27448 (MD5)
Previous issue date: 2012-08-13Fundo Mackenzie de Pesquisa
The Brazilian economy has experienced significant structural changes that have caused the Central Bank of Brazil to reduce interest rates. In addition to maintaining inflation rate close to target for the country it has contributed to the reduction of risks premiums. In this context of low interest rates and risks, evaluation and study of value (high book-to-market ratio) and growth (low book-to-market) type stock portfolios may represent a decisive factor in achieving superior financial returns. As discussed and researched in international markets, we analyzed in the Brazilian market if value stock portfolios have higher returns than growth type when maintained for long term, on a one-year basis. Faced with this prospect, this study analyzed and compared, based on the methodology proposed by Fama and French (1992, 1993), the performance of value and growth type portfolios built from the stocks that comprise the IBrX-50 of the São Paulo Stock Exchange, for the period from 2003 to 2011. For the statistical analysis of the portfolio s returns we used the three-factor pricing model: the market risk (beta), as defined by CAPM, the company size, measured by the market value of the stocks and the book-to-market index, represented by the ratio between the company s books and the market value of equity. The results demonstrated that investments in the value type portfolios in Brazil during this period have provided higher returns than investments in growth type, confirming also the perspective and results from Fama and French s (1992) analysis and published studies in international markets and Brazilian market. This confirmation may result in investment opportunities for investors and financial players on the market.
A economia brasileira tem apresentado mudanças estruturais significativas que tem determinado de parte do Banco Central do Brasil a redução das taxas de juros. Adicionalmente a manutenção da taxa de inflação próxima da meta estabelecida para o país tem contribuído para a redução dos prêmios de risco. Neste contexto de baixos juros e riscos, a avaliação e estudo das carteiras compostas por ações do tipo valor (alta relação livro-mercado) e crescimento (baixa relação livro-mercado) pode representar um fator decisivo para obtenção de retornos financeiros superiores. Assim como analisado e pesquisado em mercados internacionais, buscou-se analisar no mercado brasileiro se as carteiras compostas por ações do tipo valor apresentam retornos maiores do que as do tipo crescimento quando mantidas no longo prazo por períodos de um ano. Diante de tal perspectiva, este estudo analisou e comparou, com base na metodologia proposta por Fama e French (1992, 1993) o desempenho de carteiras do tipo valor e crescimento formadas a partir das ações que compõem o índice IBrX-50 da Bolsa de Valores de São Paulo, tomando como base o período de 2003 a 2011. Para a análise estatística dos retornos das carteiras utilizou-se o modelo de três fatores: o risco mercado (beta), conforme definido no CAPM; o tamanho da empresa, medido pelo valor de mercado das ações e o índice book-to-market, que representa a relação entre o valor contábil e o valor de mercado do patrimônio líquido. O resultado foi que os investimentos em carteiras do tipo valor no Brasil, durante este período, incorreram em retornos superiores aos investimentos em carteiras do tipo crescimento, confirmando assim a perspectiva e resultados de análise realizada por Fama e French (1992) e de outros estudos realizados tanto para os mercados internacionais quanto para o mercado brasileiro. Esta confirmação pode resultar em oportunidades de investimentos aos investidores e agentes financeiros do mercado.
19
CHIU, CHI-MIN, and 邱琪閔. "A Study on the factor of Book-to-Market effect-An view of book value and market value." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/19101518441109209438.
Full textAbstract:
碩士東海大學
財務金融學系
96
After Rosenberg, Reid and Lanstein(1985) introduced the Book-to-Market effect, the explanations of cause of Book-to-Market effect are quite diverse. However, its existence can be proved in many capital markets and be considered as a variable in many articles. Still, the reason why Book-to-Market effect exists is unclear. Therefore, Book-to-Market will be divided into two parts which are book value and market value to explain and examine in this paper. After controlling two factors individually, evidence shows that causes of Book-to-Market are most resulting from market factors; in other words, book value has smaller influence on Book-to-Market effect. Furthermore, it points out that asset category is related to the cause of Book-to-Market effect after market value be controlled and classified by tangible and intangible assets. In this knowledge-based economy era, investors have different evaluation about intangible assets, for examples, some investors think that intangible assets can bring more value for company in the future; however, intangible assets will be underestimated if general accounting rules are keeping conservative. Hence, it can be concluded that Book-to-Market effect is not remarkable when tangible assets have higher proportion; on the contrary, lower tangible assets proportion results in outstanding Book-to-Market effect.
20
Chang, Tsun-Ti, and 蘇明達. "Risk,Size,Book-to-Market Value of Three Model:Taiwan Stock as an." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/78137184245928640599.
Full text
21
Chang, Tsun-Ti, and 張尊悌. "Risk,Size,Book-to-Market Value of Three Model:Taiwan Stock as an." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/77597089884506481900.
Full text
22
Almas, David Ricardo Almeida Raposo. "Value investing: the book-to-market effect, accounting information, and stock returns." Master's thesis, 2007. http://hdl.handle.net/10400.5/15152.
Full textAbstract:
Mestrado em FinançasEmbora o efeito book-to-market (BIM) esteja amplamente estudado, a maioria das investigações que se debruçaram sobre estratégias modificadas de investimento que aproveitam esse efeito para alcançar rendibilidade superiores está concentrada no mercado norte-americano. Este trabalho estuda o desempenho de carteiras seleccionadas usando três versões modificadas da estratégia B/M aplicadas às acções cotadas nos mercados Euronext (Paris, Amesterdão, Bruxelas e Lisboa) entre 1993 e 2003. A partir da análise de 4715 empresas distribuídas ao longo dos 11 anos, foram eleitas 943 empresas que serviram de referência para a constituição de carteiras. As estratégias B/M modificadas utilizam informação contabilística para separar as boas empresas das empresas em dificuldades. A primeira estratégia segue os nove sinais de indicadores fundamentais desenvolvidos por Piotroski (2000) para aferir três áreas da condição financeira das empresas. A segunda estratégia cria uma carteira da intersecção do quintil superior do B/M e do quintil inferior dos accruals, seguindo Bartov and Kim (2004). A última estratégia combina o quintil superior do B/M com as probabilidades de falência dadas pelas metodologias descrita por Altman (1968) e por Hillegeist et al. (2004). O estudo conclui que a rendibilidade média anual registada por uma empresa de B/M elevado pode ser aumentada em 9,2% usando a estratégia desenvolvida por Piotroski (2000). Além disso, há evidência que a distribuição de rendibilidade é deslocada para a direita ao aplicar os mecanismos de selecção do mesmo autor. As restantes estratégias de investimento testadas não conseguiram provar que são mais eficientes.
Although the book-to-market (B/M) effect is vastly studied, the majority of the conclusions in prior analysis is only applicable to U.S. firms. ln this work, we evaluate the performance of portfolios selected using three modified versions of B/M strategy applied to stocks listed in Euronext markets (Paris, Amsterdam, Brussels, and Lisbon) between 1993 and 2003. From the analysis of 4,715 frrms across 11 years, 943 frrms were elected as reference for portfolio formation. The modified B/M strategies use accounting information to segregate good from troubled firms. The first strategy follows Piotroski's (2000) nine fundamental signals to measure three areas of the firms' financial condition and enabling to select firms from the high B/M quintile. Tbe second strategy creates a portfolio from the intersection of higb B/M portfolio witb low accruals portfolios, following Bartov and Kim (2004) research design. The last strategy combines high B/M and low probability of bankruptcy, using the methodology described in Altman (1968) and Hillegeist et al. (2004). This study shows that the average annual return observed by the high B/M portfolio is increased by 9.2% using the strategy developed by Piotroski (2000). Furthermore, there is clear evidence that the entire high B/M firms return distribution is shifted to the right when the score screen is applied. By opposition, other suggested alternative techniques pointed out in the literature using similar accounting and market data failed to prove as being a more efficient investment strategy.
N/A
23
Cheng, Shu-Ju, and 鄭淑如. "The Relation between Intellectual Capital, Market- to-Book Value Ratios and Financial Performances." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/16463267802653310661.
Full textAbstract:
碩士輔仁大學
會計學系碩士班
92
The purpose of this study is to investigate whether intellectual capital has a role in explaining the differences between market value and book value of firms, measured by the market-to-book ratios, and to examine the association between intellectual capital and current and next period’s financial performance indicators. The financial performance indicators include return on equity, return on assets, sales growth rate, and employees’ productivity. This study adopts Pulic’s Value Added Intellectual Coefficient (VAIC) as the proxy of intellectual capital. We further decompose VAIC into Value Added Capital Coefficient (VACA), Human Capital Coefficient (VAHU), and Structural Capital Coefficient (STVA) to analyze the different between the three components of VAIC in explaining M/B ratios and financial performance indicators. Furthermore, we expand the model to include R&D and Advertisement Expenditures to examine whether Structural Capital Coefficient can be complete measure of a firm''s structural capital. The sample of this study consists of firms listed in the Taiwan Stock Exchange from 1992 through 2002. The findings of this study indicate that overall, VAIC is positively related with M/B ratios and current and next period’s financial performances. The model using the three VAIC components has greater explanatory power. Further, we also find including R&D and Advertisement Expenditures variables in the empirical model substantially increases the model’s explanatory power. The result shows that STVA is not a complete measure of a firm’s structural capital, and that R&D and Advertisement Expenditures catch additional intellectual capital, and thus increase the explanatory power. Intellectual capital has a positive impact on lagged traditional performances; therefore, investors can use this method to measure intellectual capital in order to forecast future performance.
24
Wu, Su-Chen, and 吳素禎. "A reexamination of Market Beta, Firm Size, Book-to-Market,Value-at-Risk in Stock Returns:Evidence from the Taiwan Stock Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/57885543520674532631.
Full textAbstract:
碩士國立交通大學
財務金融研究所
94
This paper investigates the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in the Taiwan stock market. Our primary objective is to determine whether the Value-at-Risk factor has marginal explanatory power that is related to the Fama-French three-factor model. This study finds that Value-at-Risk can explain average stock returns at the 1% and 5% significance levels based on cross-sectional regression analysis. In addition, from the perspective of the time series regression, the HVARL factor can also help explain the variation in the stock market, especially for the larger companies in Taiwan’s stock market.
25
Lin, Shao-Ying, and 林劭穎. "The Relation between Intellectual Capital and Market-to-Book Value Ratios in the Software Industry." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/55440220122836510947.
Full textAbstract:
碩士國立臺北大學
會計學系
93
The purpose of this research mainly discusses whether intangible asset explains the difference between market and book value completely in software industry that generates revenue from its human capital as a great part. The paper is based on Sveiby’s (1999) research and separates the factors that cause the difference between market and book value into internal structure initiatives, external structure initiatives, and competence initiatives. The empirical results are as follows: 1. Internal structure: asset growth ratio and market-to-book ratio are positive correlated and significant in whole sample. In sensitivity analysis of integrated system sample, the relationship between age of organizations and intellectual capital is negative. 2. External structure: supplier purchase ratio and market-to-book ratio are positive correlated and significant in whole sample. In software subsample, main supplier is also positive correlated. 3. Competence: in whole sample and integrated system subsample, net income per employee and market-to-book ratio both are positive correlated and significant. In software subsample, master/doctor employer ratio that means the education level of employees also has a positive relationship with market-to-book ratio.
26
Luo, Shu-Wun, and 羅淑文. "The Research between Price to Book Value Ratio and Market Reaction of write-off announcement." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/11570315250652867343.
Full textAbstract:
碩士國立雲林科技大學
會計系研究所
94
According to Statements of Financial Accounting Standards (SFAS) No.35 - Accounting for Asset Impairment, this study is focused on as a company price is lower than book value it’s need to take an impairment test for asset, to recognize asset impairment loss in the financial report. It’s believed here that before a company declared its recognized asset impairment loss, its net carrying amount of asset has been shown in the market. So the fluctuation of stock prices affected by the amount of accumulated asset impairment loss recognized in companies of the kind is minor. This study adopts the multiple regression analysis. The sample companies are constrained to 2004 listed companies in Taiwan. The empirical result evidence that the market suggests that reaction of stock market caused by the amount of accumulated asset impairment loss recognized in a company whose total market price is lower than net carrying amount of asset is indeed subtle.
27
HSIEH, YU CHUN, and 謝郁君. "The Relationship between Book-to-Market Equity Effect, Market Value, Distress Risk, R&D, Momentum Effect, and Electronic Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/72419165586745488003.
Full textAbstract:
碩士大葉大學
會計資訊學系碩士班
96
In the past study all discovered that, firm's Book-to-Market Equity had the for-ward relations compared to the stock return. This article applies Fama and MacBeth (FM, 1973) the cross section model discussion firm market value, distress risk, R&D, prior return and the electronic industry supposed the hypothesized variable after the profolio whether could affect Book-to-Market Equity to compare with the stock reward the relations. And expected does not have B/M effect to Taiwan to make the explanation generally compared to the effect.The result showed the BM effect has timeliness is not the entire section research period is all remarkable, and appears an inverse B/M effect, also can indirectly affect BM to the return explanation , the abstract is as follows: First, from 1982 to 1988 big firm's B/M effect compared small firm to be remarkable. Second, from 1989 to 1994 has B/M effect, accord with result of Fang Chih Chiang and Yao Ming Ching(1998); Also this section of period general industry B/M effect is remark-able. Third, from 1995 to 2000, as a result of electronics industry yearly vigorous de-velopment high RDM ELE its B/M effect is extremely more remarkable than; Fourth, from 2001 to 2006, because in 2001 the network froth affected, causes the bulk lots to sharp drop return to glide down, prior return superior firm in this section of period was inferior to the anticipated performance good.
28
Chiang, Yin-ching, and 強廕警. "A Study on the Returns to the High Book-to-Market Equity and the under Par Value Stocks in Taiwan." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/40504737506951342630.
Full textAbstract:
碩士朝陽科技大學
財務金融系碩士班
97
This paper takes the period from October 1, 2001 to October 31, 2007 as the observation period based on the wave band condition of the stock market. The High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks were bought in at the low point of the stock market wave band, and were held for a long period of time. The held stocks were sold when the stock market cycle reached a peak point to gain a higher return. The rate of return and the wave property were reviewed. The empirical result showed that in most times, buying in High Book-to-Market Equity, under Par Value Stocks and the stocks of under Par Value Stocks among the under Par Value Stocks can obtain higher return than buying in Low Book-to-Market Equity, not under Par Value Stocks and the stocks of Low Book-to-Market Equity among the under Par Value Stocks. In the verification of the return wave property, the High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks are also coupled with higher risks in the most of time. In the unit risk premium, buying in High Book-to-Market Equity, under Par Value Stocks is still preferred upon the risk factor. Therefore, buying in High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks is an ideal investment target.
29
Hsieh, Fu-Sheng, and 謝福昇. "The Empirical Analysis of Price to Book Ratio, Price to Earnings Ratio And The Market Value on Taiwan Portfolio Performance." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/86981167462816116116.
Full textAbstract:
碩士南華大學
財務金融學系財務管理碩士班
104
There are many investment strategies in the stock market and the most important issue is how to profit. This study uses price-to-earnings ratio, price-to-book ratio to form value stocks, growth stocks, small-caps, large-caps, and test the excess returns compared to market portfolio. This study has three main results: first, considering all the companies listed at stock exchange or over-the-counter market, in comparison with growth stocks, value stocks gain higher returns .The growth portfolio returns are even worse than the market portfolio. And it shows scale effect in the Taiwan stock market, small-caps are much better than large-caps. Second, under the status to classify electronic and non-electronic groups, on electronic- groups terms, a low PE ratio of return on value stocks are much better than the growth stocks ,in terms of non-electronic groups, value stocks are far superior to the growth stocks ,scale effect of both groups is also consistent with the results of all the companies listed. Third, when the bear market comes, only a low PE ratio of return on value stocks of the electronic groups, are significantly higher than growth stocks and market stocks. This indicates electronics stocks have the connotation of "Valuable stock is not easy to fall in the bear market"
30
CHEN, I.-HUA, and 陳怡樺. "The Empirical Study of Value Investing in Taiwan Stock Market：F-SCORE cooperating with Dividend-to-price ratio, Earnings-to-price Ratio and Book-to-Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/558yg4.
Full textAbstract:
碩士國立高雄科技大學
金融資訊系
107
The purpose of this study is to examine the relative performance of stocks investment portfolio by using accounting information. The sample of this study is selected from TEJ to test F-SCORE cooperating with Dividend-to–price ratio, Earnings-to-price Ratio and Book-to-Market respectively for the Taiwan stock markets. The sample period is from May, 2008 to May, 2018. The findings of this study are as follows. First, if we choose Dividend-to–price ratio, Earnings-to-price Ratio or Book-to-Market to distinguish from the value and growth portfolio, the value portfolio is significantly better than the growth one. Second, if we choose F-SCORE to distinguish from high and low score, the high score portfolio is significantly better than the low score one. In the final, if we choose F-SCORE respectively compare with Dividend-to-price ratio, Earnings-to-price ratio or Book-to-Market for two-phase screen of stocks on the basis of fundamental financial information, no matter value or growth portfolio strategy, they could increase the performance. The final result showed that when the investor use Dividend-to–price ratio, Earnings-to-price Ratio or Book-to-Market together with fundamental financial information, they could become more profitable or more effectively improve the performance.
31
Hung, Yu-Li, and 洪禹利. "A Study On The Relationship Between The Expenditures From The Intangible Assets And The Market Price To Book Value In Taiwan Biopharmacy." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/50485809622892257272.
Full textAbstract:
碩士元智大學
管理研究所
94
Because biotechnology sets a trend and creates great value, Taiwan government tries to develop his own biotechnology industry. Biopharmaceutical industry is core of the whole biotechnology industry in global development of biotechnology. With the increasing costs of land and labor, also with the competitions from developing countries, traditional industries in Taiwan have depressed for a long time.「New Knowledge Economy」effects also reveal the importance of intellectual capital, making investors search for high-tech stocks。 This study mainly discusses why there are differences between a company’s market value and book value, and it helps investors to see through the relative value of a company’s intellectual capital. The research sample in this study includes Biopharmaceutical industry in 2001 to 2005. After considering the measurability and representativeness of the variables,10 companies were selected to investigate the relationship between the expense variables from the financial statements and financial indexes, such as financial Structure, pay debt ability, operation ability, profitability and growing capability e.t.c. ,by individual correlation coefficient. The special purpose of this study is to discuss about how accounts of Biopharmaceutical income statement affect the market price to book value (PBV) in Taiwan？ And further discuss about the factors such as OER（Operating Expenses-R&D Expenses） ,OEM（Operating Expenses-Marketing Expenses）, OEA（Operating Expenses-Administrative Expenses）provide the level of information content for PBV and investigate the relative importance of the variables and the difference to financial structure of Biopharmaceutical company under different categories. We used a regression model to investigate them individually and then use a multi-regression model. The findings are: 1. There appears a positive and significant relation between the cost budget and the market price to book value (PBV). But, Sometimes, the relation is negative and insignificant . 2. The research and development (R&D), marketing and advertisement, Administrative and human related expenditure, and also their interaction do have positive effects on business valuation. The result of this research implies that there are some relations between cost that enterprises devote and market value of enterprises. And the capitalize of Cost could increase the value of financial statement. Weighing .relevance and reliability well could help not only reflect the real value of enterprises but also enhance the explanation of financial statement.
32
Shih, Yung-Ping, and 石永平. "The Impacts of Employee Stock Bonus Ratio、Size、Market-to-Book Value Ratio、Short Sale Restriction and Time on Rates of Ex-dividend Arbitrage Return." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/86226480585332326266.
Full textAbstract:
碩士逢甲大學
財務金融學所
91
As a free and fair market can’t stay “efficient” in the long run, it is very possible to make money from arbitrage. Many prestigious investment companies and mutual funds have confidential arbitrage tactics and formulas. Taiwan stock market, where institutional investors have been constrained with short sale restriction, may result in high potential for arbitrage. Based on the data from 1996 to 2002, this thesis discusses the effectiveness of ex-dividend arbitrage in Taiwan stock market and those impacts of employee stock bonus ratio, size, market-to-book value ratio, time, and short sale restriction on rates of ex-dividend arbitrage return. Findings of this study are as follows: 1.It is possible to make money from arbitrage on ex-dividend day. There is a significant success rate, as high as 74.25%, of positive return. 2.There is a negative correlation between employee stock bonus ratio and rate of ex-dividend arbitrage return. 3.Influence of both the amount of capital and market value on rate of ex-dividend arbitrage return is not significant. 4.There is a no correlation between market-to-book value ratio and rate of ex-dividend arbitrage return. 5.There are potential opportunities for individual investors'' arbitrage strategy whether the market is imposed with or without short sale restriction. 6.Rate of ex-dividend arbitrage return is decreasing as time goes by.
33
LEE, I.-LUN, and 李逸倫. "Profitability of Long-Short Strategies on Information from Operating Income with R&D Expense to Total Asset,Gross Profit to Book Value,and Traditional Factors in the Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/9se728.
Full textAbstract:
碩士逢甲大學
財務金融學系
105
This study adopts two information factors of operating income and gross profit as the main roles at the construction of long-short strategies. The first one is the operating income with R&D expense and less interest expense to total asset; the second one is the gross profit to book value. With three traditional measures including momentum, size, and value factors, the empirical return statistics of one- and two-way long-short strategies are investigated. The sampling period is from 2000/1 to 2017/1 for all common stocks in TWSE. This study finds that the two main information factors seem profitable under the consideration of their average return statistics. In particular, stocks with higher ratio of the first main factor perform better than the second main factor.