Journal articles: 'Book-to-market value'

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Wansley, James W. "The Market Value of Debt, Market versus Book Value of Debt, and Returns to Assets." CFA Digest 28, no. 2 (May 1998): 53–55. http://dx.doi.org/10.2469/dig.v28.n2.271.

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Sweeney, Richard J., Arthur D. Warga, and Drew Winters. "The Market Value of Debt, Market versus Book Value of Debt, and Returns to Assets." Financial Management 26, no. 1 (1997): 5. http://dx.doi.org/10.2307/3666236.

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Tharavanij, Piyapas. "Optimal Book-Value Debt Ratio." SAGE Open 11, no. 1 (January 2021): 215824402098578. http://dx.doi.org/10.1177/2158244020985788.

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When a firm has a target capital structure, it is usually in a book-value term rather than a market-value one as normally assumed in standard finance textbooks. This article provides a systematic approach to determine the optimal book-value debt ratio. The proposed method balances both the tax benefit of debt and its associated bankruptcy cost and more importantly incorporates the aims to maintain a good credit rating, financial robustness in times of adverse shocks, and financial flexibility to seize good investment opportunities. In terms of methodology, our model incorporates the tax benefit of debt in the form of lower cost of capital, whereas the expected bankruptcy cost is reflected in a higher credit spread. We adjust the Hamada equation to take default risk into account by applying the method suggested by Cohen when adjusting the cost of equity as a debt ratio changes. The model is calibrated to data from the U.S. non-financial firms. It provides predictions concerning the effects of key variables such as profitability and growth. Our model reveals a negative relationship between growth opportunities and market debt ratios but no clear directional relationship with book debt ratios. In addition, our model points to the negative (positive) relationship between profitability and market (book) debt ratio. Interestingly, the two debt ratios move in the opposite directions. These predictions have support from existing empirical literature.

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Harris, Robert S., and Felicia C. Marston. "Value versus Growth Stocks: Book-to-Market, Growth, and Beta." Financial Analysts Journal 50, no. 5 (September 1994): 18–24. http://dx.doi.org/10.2469/faj.v50.n5.18.

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Marzo, Giuseppe. "The market-to-book value gap and the accounting fallacy." Journal of Intellectual Capital 14, no. 4 (October 21, 2013): 564–81. http://dx.doi.org/10.1108/jic-10-2012-0094.

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Chinloy, Peter, Matthew Imes, and Tilan Tang. "Where to Find Value on the Balance Sheet." Review of Pacific Basin Financial Markets and Policies 24, no. 01 (March 2021): 2150009. http://dx.doi.org/10.1142/s0219091521500090.

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Firms with higher book equity relative to market capitalization earn a premium, leading to sorting into value and growth. This sorting implies that any balance sheet additions are risky. This paper provides evidence that what a firm holds on its balance sheet matters, and value occurs with high book-to-market ratios. Each holding relative to firm market capitalization has a risk premium, varying across holdings. Among US firms quarterly for 1980–2016, doubling holdings of cash and receivables relative to market capitalization earn premiums of at least 1%, as does taking on debt. These account for the entire value premium, since physicals, intangibles and payables are not risky. The value premium derives from the composition of the firm’s assets.

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Waegenaere, Anja De, Richard C. Sansing, and Jacco L. Wielhouwer. "Valuation of a Firm with a Tax Loss Carryover." Journal of the American Taxation Association 25, s-1 (January 1, 2003): 65–82. http://dx.doi.org/10.2308/jata.2003.25.s-1.65.

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This paper examines the effects of a tax loss carryover on the market and book values of a firm's assets. The loss carryover has a direct effect on market value by sheltering future income from tax, and a direct effect on book value due to the recognition of a deferred tax asset. The failure to discount the deferred tax asset to its present value causes the market-to-book ratio of the deferred tax asset to be less than 1. However, positive skewness in the distribution of future taxable income can cause the market-to-book ratio to exceed 1 because the market value depends on the mean level of future tax benefits, while the book value is based on the median level of future tax benefits. The loss carryover also has an indirect effect on firm value in that it induces the firm to exercise its real option to invest early. This reduces firm value before investment takes place and decreases the market-to-book ratio of physical assets after investment takes place.

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Almujamed, Hesham I., and Mishari M. Alfraih. "Value relevance of earnings and book values in the Qatari Stock Exchange." EuroMed Journal of Business 14, no. 1 (April 1, 2019): 62–75. http://dx.doi.org/10.1108/emjb-02-2018-0009.

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Purpose The study of developed capital markets suggests that information provided in financial statements has lost its value relevance to equity holders. The purpose of this paper is to explore this issue in the emerging market of Qatar. Design/methodology/approach Following other studies in the literature, the study examines the value relevance of earnings and book values using the price valuation model provided by Ohlson (1995). A total of 215 observations were collected from all firms listed on the Qatari Stock Exchange over a period of five years (2012–2016). Findings This study suggests that the value relevance of both earnings and book values has noticeably decreased over the sample period. However, its results show that the decline in the value relevance of earnings favored book values. Research limitations/implications Like other studies, this one has limitations that suggest areas for future research. For example, in Qatar, like other emerging markets, a lack of data prevents the performance of deep analysis. Additionally, the authors only use Ohlson’s (1995) model as a framework for evaluation. It would be interesting to explore the changes when examining alternative valuation models. Another limitation is that the authors examine only two accounting measures: earnings and book values. Further research could explore changes in the value relevance of other measures, such as cash flow. Practical implications These findings provide empirical evidence regarding the value relevance of earnings and book values in an emerging market. Originality/value To the authors’ knowledge, this paper provides the first empirical evidence regarding the value relevance of earnings and book values in the emerging capital market of Qatar.

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Wibowo, Wibowo, and Mailani Mailani. "ANALISIS PENGARUH BOOK VALUE, ECONOMIC VALUE ADDED, DAN INTELLECTUAL CAPITAL TERHADAP MARKET VALUE PERUSAHAAN (STUDI PADA EMITEN NON PERBANKAN DALAM INDEKS LQ-45)." JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK 5, no. 2 (May 4, 2019): 131. http://dx.doi.org/10.25105/jipak.v5i2.4476.

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This research aims to know the effect of book value, economic value added and intellectual capital on the maket value offirms. This research added variables of book value, EVA, and intellectual capital same as Huang & Wang (2008) had been done in their research. Purposive sampling method was used in taking research samples, and the periods of this research were from 2005 to 2008. 101 non banking firms in LQ-45 indexes from 2005 to 2008 were used as samples in this research. The results of this research showed that book value has significant influence on the market value offirms. EVA has significant influence on market value in first model of this research but it becomes no significant influence on market value of firm in second model of this research after adding intellectual capital. Moreover, this research also found that intellectual capital provides incremental information for the evaluation of stocks (market value).

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Chai, Daniel, Mardy Chiah, and Angel Zhong. "Decomposing value: Changes in size or changes in book-to-market?" Pacific-Basin Finance Journal 64 (December 2020): 101467. http://dx.doi.org/10.1016/j.pacfin.2020.101467.

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Mostafa, Wael. "The value relevance of earnings, cash flows and book values in Egypt." Management Research Review 39, no. 12 (December 12, 2016): 1752–78. http://dx.doi.org/10.1108/mrr-02-2016-0031.

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Purpose Motivated by the lack of research on the value relevance of accounting information in the emerging markets of Middle Eastern countries, and the unique institutional and accounting setting in Egypt, this paper aims to investigate the relation between capital market and accounting information in the emerging market of Egypt. Specifically, based on Egyptian data, this study examines the value relevance of earnings, cash flows from operations and book values. Design/methodology/approach To examine the value relevance of the above accounting measures, this study uses statistical associations between accounting information and capital market values: the association between earnings and annual returns; the association between cash flows and accruals, and annual returns; and the association between earnings and book values of equity, and stock prices. Findings The results show that, first, earnings have value relevance. However, earnings changes are significantly more successful than earnings levels in explaining security returns. These results suggest that changes in earnings are largely permanent; hence, earnings follow (close to) a random walk model. Second, contrary to what is stated in the literature, cash flows from operations are not successful in explaining stock returns. This result suggests that cash flows are less important and not value relevant in Egypt compared to the USA or the UK. A possible explanation is that cash flows in Egypt are very volatile (high variance) and not persistent, so the market does not rely on them. Third, individually, both earnings and book values significantly explain stock prices; however, jointly, earnings have incremental explanatory power beyond book values for stock prices whereas book values do not. These results suggest that in Egypt the income statement is much more important than the balance sheet for valuation purposes. Overall, these results are interesting because they do not completely replicate the results from other countries. Practical implications The existence of value relevance for earnings despite the apparent lack of value relevance for cash flows can be interpreted as indicating that accruals are designed to offset and smooth cash flows’ volatility and low value relevance, so that earnings are relatively more persistent and relevant. These results show that earnings potentially are a much more important and informative measure of a firm’s value than cash flows from operations in Egypt. However, we certainly need the cash flows information as an ex-post validation of the prior earnings. Overall, it appears that the investors in Egypt are looking at the accounting data when evaluating the value of the firm, which is a good sign. However, the empirical findings of this paper are discussed. Originality/value This study contributes to the limited research on value relevance of accounting information in the emerging market of Egypt.

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Jan, Ching-Lih, and Jane A. Ou. "Negative-Book-Value Firms and Their Valuation." Accounting Horizons 26, no. 1 (December 1, 2011): 91–110. http://dx.doi.org/10.2308/acch-50094.

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SYNOPSIS We document a phenomenon that, along with the increasing trend of negative earnings, the frequency and the magnitude of negative book value of equity have also grown substantially over time. Although negative-book-value firms are commonly perceived as financially distressed, we find that the majority of these firms survive for a long time, and that many continue to report negative book value for several years. Over the most recent decade of our 30-year test period, 1976–2005, we find that based on per-dollar of assets, the market, on average, prices negative-book-value firms higher than positive-book-value firms. In addition, we discover that the correlation between market value and book value for negative-book-value firms is negative. Searching for explanations of these phenomena, we examine R&D expenditures of negative-book-value firms. Our results indicate that R&D, especially R&D accumulated over time, not only contributes to the increasing trend of negative-book-value incidences, but also plays an important role in the market's valuation of firms that concurrently report negative earnings and negative book value. Data Availability: The authors will make their data available for use by others in extending or replicating results reported in this article.

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Yin, Qie Ellie, and Jay R. Ritter. "The Speed of Adjustment to the Target Market Value Leverage Is Slower Than You Think." Journal of Financial and Quantitative Analysis 55, no. 6 (August 6, 2019): 1946–77. http://dx.doi.org/10.1017/s0022109019000516.

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In the capital structure literature, speed of adjustment (SOA) estimates are similar whether book or market leverage is used. This robustness is suspect, given the survey evidence that firms target their book leverage and the empirical evidence that they don’t issue securities to offset market leverage changes caused by stock price changes. We show that existing market SOA estimates are substantially upward biased due to the passive influence of stock price fluctuations. Controlling for this bias, the SOA estimate is 16% for book leverage and 10% for market leverage, implying that the trade-off theory is less important than previously thought.

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14

Zhang, Xiao-Jun. "Book-to-Market Ratio and Skewness of Stock Returns." Accounting Review 88, no. 6 (June 1, 2013): 2213–40. http://dx.doi.org/10.2308/accr-50524.

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ABSTRACT: This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consistent with investors having inverse S-shaped utility functions, is observed in such consumer behaviors as lottery purchases and gambling. This paper further documents significant predictive power of accounting-based measures, such as the book rate of return, with respect to the skewness of stock returns. Data Availability: Data are available from sources identified in the paper.

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Almujamed, Hesham I., and Mishari M. Alfraih. "Have accounting measures lost their usefulness after the 2008 global financial crisis?" Journal of Financial Reporting and Accounting 17, no. 4 (December 2, 2019): 589–603. http://dx.doi.org/10.1108/jfra-05-2018-0035.

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Purpose This purpose of this paper is to investigate the value relevance and incremental importance of earnings and book value in the Kuwaiti market to equity holders over time and in the context of the decade after the 2008 global financial crisis. Design/methodology/approach Following reports in the literature, the value relevance of earnings and book values was examined using the price valuation model provided by Ohlson (1995). Observations (2,817) were collected from all firms listed on the Kuwait Stock Exchange from 1994 to 2016. Findings The results suggest that the value relevance of earnings and book values declined over this period, and that the loss of value relevance for earnings data was greater than that for book value. The analysis provides evidence that the decline in value relevance of earnings and book value was driven by book values in the post-GFC period and suggests an exchange of value relevance between earning and book value post GFC. Practical implications The results are useful for regulators, analysts, investors and academics as an assessment of effectiveness of current financial reporting. There is a need for improvement because quality information helps equity holders determine value precisely. Timely financial reporting may mitigate the drop in value relevance of financial statements. Originality/value This is the first study to examine value relevance accounting measures of Kuwaiti companies, in the post-GFC context. It contributes to capital market research through an empirical examination of a frontier capital market.

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Iqbal, Javed, and Sara Azher. "Value-at-Risk and Expected Stock Returns: Evidence from Pakistan." LAHORE JOURNAL OF ECONOMICS 19, no. 2 (July 1, 2014): 71–100. http://dx.doi.org/10.35536/lje.2014.v19.i2.a3.

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This study investigates whether exposure to downside risk, as measured by value-at-risk (VaR), explains expected returns in an emerging market, i.e., Pakistan. We find that portfolios with a higher VaR are associated with higher average returns. In order to explore the empirical performance of VaR at the portfolio level, we use a time series approach based on 25 size and book-to-market portfolios. Based on monthly portfolio data for October 1992 to June 2008, the results show that VaR has greater explanatory power than the market, size, and book-to-market factors.

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Singgih, Marmono, Veryantika Putri Pricilia, and Eka Lavista. "MARKET TO BOOK VALUE, FIRM SIZE, AND THE UNDERPRICING OF INDONESIAN INITIAL PUBLIC OFFERINGS." Review of Management and Entrepreneurship 2, no. 2 (September 25, 2019): 75–90. http://dx.doi.org/10.37715/rme.v2i2.964.

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The focus of this study is to analyse whether market to book value ratio and firm size determine the extent of initial returnrate of firms making initial public offering (IPO). The subject of the study is all IPO from the period of 2007-2016. There are 173 IPOs used as sample. It uses two measurements of initial retuns, the raw return and the market adjusted return. As documented in many studies, there is evidence that on average the Indonesian IPO experience underpricing. Results using regression analysis show that market to bookvalue ratio and firm size have negative and significant effect on both of the measures for initial return. This finding asserts the importance of understanding the market to book value ratio in the valuation of Indonesia IPOs.

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Shukla, Asst Prof Ajay, and Prof Megha Kukreja. "A Study to Analysis Sectorial Correlation Between Book Value, DPS, EPS, P/E and Market Price of Selected Companies Listed on BSE, India." Indian Journal of Applied Research 4, no. 3 (October 1, 2011): 224–26. http://dx.doi.org/10.15373/2249555x/mar2014/67.

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SATWIKO, RUTJI, and VLADIMIR AGUSTO. "ECONOMIC VALUE ADDED, MARKET VALUE ADDED, DAN KINERJA KEUANGAN TERHADAP RETURN SAHAM." Media Bisnis 13, no. 1 (February 20, 2021): 77–88. http://dx.doi.org/10.34208/mb.v13i1.956.

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The research objective is to determine the variables that affect stock returns. The independent variables used in this study are economic value added, market value added, debt to equity ratio, price to book value, total assets turnover, return on equity, net profit margin, and earnings per share. The dependent variable in this study is stock returns. The population in this study were non-financial companies listed on the Indonesia Stock Exchange for 5 consecutive years, from 2013 to 2017. The sample selection method used was purposive sampling. The research sample is 52 non-financial companies listed on the Indonesia Stock Exchange. Hypothesis testing uses multiple regression models. The results indicate that economic value added, debt to equity ratio, total assets turnover, net profit margin, and earnings per share have no effect on stock returns. However, market value added and return on equity have a positive effect on stock returns. Meanwhile, price to book value has a negative effect on stock returns.

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NECHITA, Elena. "The Value Relevance of Non-Financial Reporting in Determining the Market Value of Equity." Audit Financiar 19, no. 162 (May 20, 2021): 320–36. http://dx.doi.org/10.20869/auditf/2021/162/009.

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The value relevance of non-financial reporting is a topic of interest in the academic literature, the results of empirical research being often contradictory. In this context, the research objective is analysing the extent to which the disclosure of non-financial information related to sustainable development in the contents of sustainability reports published by companies listed on the regulated market of the Bucharest Stock Exchange (BSE) is influencing their market value. To conduct the analysis, the present study involves the application of multiple linear regression models developed based on the Ohlson (1995) model for a sample of 34 companies listed on BSE between 2015-2019, forming a number of 166 firm-year observations. The research methodology is based on the association between the firm market value and its equity book value, as well as its net income and other relevant information. Therefore, the value relevance is investigated through their impact on the market value. The findings emphasise an increase in relevance in terms of the influence exerted on the market value of capital as a result of reporting on sustainability issues. Moreover, the study highlights an increase in the impact of equity book value and net income on firms’ market value in the period after the adoption of Directive 2014/95/EUD (2017-2019), compared to the previous period (2015-2016). This research complements the literature in the field of sustainability reporting and value relevance, providing empirical evidence on the importance of publishing nonfinancial information in relation to their market value impact.

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Beukes, Anna. "Value Investing: International Comparison." International Business & Economics Research Journal (IBER) 10, no. 5 (May 13, 2011): 1. http://dx.doi.org/10.19030/iber.v10i5.4226.

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Based on accumulated empirical evidence, the academic community has generally come to agree that value investment strategies, on average, outperform growth investment strategies (Chan and Lakonishok, 2004:71). An influential article by Fama and French (1992) tested the notion that United States stock prices might be related to the ratio of a firms book value of common equity (BV) to its market value of common equity (MV). It found that companies with high book value relative to market value of equity (BV/MV) outperform the market. This finding led to extensive testing for the value premium in developed countries around the world. Fama and French (1998a) tested it with data from twelve major European countries, as well as from Australia and the Far East. They found that between 1975 and 1995 in almost every country, value stocks delivered a higher return than growth stocks. The value premium has not been tested with the same vigor in third world or developing countries, which raises the question whether the value premium is only a first world phenomena and, if not, how third world value premiums compare to those found in developed countries. This paper compares the size of the value premium in the USA, UK, and some continental European countries with South African data.

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Eisfeldt, Andrea L., and Dimitris Papanikolaou. "The Value and Ownership of Intangible Capital." American Economic Review 104, no. 5 (May 1, 2014): 189–94. http://dx.doi.org/10.1257/aer.104.5.189.

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Intangible capital which relies on essential human inputs, or 'organization capital,' presents a unique challenge for measurement. Organization capital cannot be fully owned by firms' financiers, because it is partly embodied in key labor inputs. Instead, cash flows must be shared with key talent and thus neither book nor market values will fully capture its value. Measurement of organization capital requires a model featuring these unique property rights. We use accounting data along with a simple example of such a model to measure the fraction of the US capital stock which is missing from book and market values.

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Martati, Indah. "ASOSIASI ANTARA PERUBAHAN HARGA SAHAM DAN INVESTMENT OPPORTUNITY SET PERUSAHAAN MANUFAKTUR YANG LISTING DI BURSA EFEK INDONESIA." EKUITAS (Jurnal Ekonomi dan Keuangan) 15, no. 1 (February 8, 2017): 40. http://dx.doi.org/10.24034/j25485024.y2011.v15.i1.2275.

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This research is aimed at examining the relationship between the actual Stock return toward the investment opportunity set (IOS) as the growth proxy of manufacturing companies which listing at Indonesian Stock Market. The IOS proxies used are market to book value of equity (MBVE), market to book value of assets (MBVA), price earning ratio (PER), Firm Value to book value of property, plant and equipment (VPPE), ratio capital expenditures to book value of asset (CEBVA), and ratio capital expenditures to market value of asset (CEMVA).The value of each indicators analysed by using common factor analysis. The normality data is tested by using one sample kolmogorov smirnov test continued with correlation test non parametric correlation model Kendall’s tau b. The purposive sampling is used in this research for ten years observation (1998 – 2007) with pool data method. The number of sample used is 240 manufacturing companies that listing at Indonesian Stock Market. The result of the research show that the direct and indirect correlation only occurs partially toward market to book value of assets (MBVA) proxy. It indicates that there is direct and indirect positive relation through firm realized growth and financing policy intervening variable but it does not occur to the composite IOS proxies.

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Tumpal Hutajulu, Alex, and Evita Puspitasari. "ANALISIS PENGARUH CAPM BETA, FIRM SIZE, BOOK TO MARKET RATIO, DAN MOMENTUM TERHADAP RETURN SAHAM." JAF- Journal of Accounting and Finance 3, no. 2 (October 21, 2019): 1. http://dx.doi.org/10.25124/jaf.v3i2.2300.

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This research is performed to examine influence of capm beta, firm size, book to market ratio, and momentum on stock return in companies that listed on the Indonesia Stock Exchange. The population in this research was manufacture companies that listed on the Indonesia Stock Exchange during 2012-2014 with purposive sampling. Variables used in this research are capital gain (return), natural logarithma total asset (firm size), the ratio of book value to market value (book to market ratio), and return t-12 (momentum). The results shows that beta, firm size, book to market ratio and momentum simultaneously have a significant impact toward stock return. The conclusion based on partial test are (1) book to market ratio and momentum have a positive significance influence toward stock return (2) beta has negative insignificance influence toward stock return and firm size has positive insignificance influence toward stock return. Predictive capability of independent variabel in this research to stock return is 34,09% while other 65,91% was influenced by other factors.

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Yudhistirangga, Yudhistirangga, Hermanto Siregar, and Trias Andati. "Finding Size Factor and Value Factor in Indonesia Stock Exchange." Asian Social Science 14, no. 7 (June 22, 2018): 63. http://dx.doi.org/10.5539/ass.v14n7p63.

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This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.

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Ahmad, Gatot Nazir, Fuchia Ananta Dewi, and Umi Mardiyati. "THE INFLUENCE OF MARKET TO BOOK VALUE, ANNUAL TAX, AND RISK TOWARDS DIVIDEND POLICY IN BANKING COMPANY LISTED IN INDONESIA STOCK EEXCHANGE (IDX) PERIOD 2010-2014." JRMSI - Jurnal Riset Manajemen Sains Indonesia 7, no. 1 (April 28, 2016): 157. http://dx.doi.org/10.21009/jrmsi.007.1.09.

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The purpose of this study was to determine the effects Market to Book Ratio, Risk dan Annual Tax toward Dividend Policy in Bankingcompanies listed of Indonesia Stock Exchange in the periode of 2010-2014. This study use Market to Book Value, Annual Taxand Risk as independent variable. As for the dependent variable is a dummy variable with catagories of company gives dividend and companies not give dividend. The sample used in this study is 24 banking companies listed of Indonesia Stock Exchange in the periode of 2011-2014.The method in this study is analysis logistic regression. Research shows that Market to Book Value and Annual Taxhas positive but not significant to Devidend policy, whereas Risk has positive and significant effect to Dividend policy. Keywords: Banking Companies, Market to Book Value, Annual Tax, Risk, Dividend Policy

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Hatem, Ben Said. "How Can We Increase Shareholder' Wealth? An Empirical Validation from European Countries." Business and Economic Research 7, no. 1 (May 20, 2017): 323. http://dx.doi.org/10.5296/ber.v7i1.9738.

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This paper tests the determinants of shareholder's wealth. Our study examined three countries: Russia, Sweden and the United Kingdom. The samples contains 69 firms for every country observed over a period of 4 years from 2007 to 2010. Firm value is measured by two ratios: Tobin's Q ratio obtained as the sum of market capitalisation, long term debt and short term capital structure divided by total assets, and market to book ratio measured as market value equity over shareholder's equity. The descriptive statistics manipulate that firms in Sweden and the United Kingdom have higher Tobin's Q and market to book ratios, respectively. We found evidence about the hypothesis of tax savings on firm value. Firms with higher values of performance have higher market equity values. We manipulated to a significant relationship between firm value and size when we consider, only Tobin's Q ratio, as dependant variable. More cash means high stocks prices for firms in Sweden and the United Kingdom. In the British and Swedish markets, older firms have less value.

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Kosiń, Paweł. "Causal examining changes of the relation of the market to book capital value." Scientific Papers of Silesian University of Technology. Organization and Management Series 2017, no. 108 (2017): 183–91. http://dx.doi.org/10.29119/1641-3466.2017.108.17.

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GOLUBOV, ANDREY, and THEODOSIA KONSTANTINIDI. "Where Is the Risk in Value? Evidence from a Market‐to‐Book Decomposition." Journal of Finance 74, no. 6 (August 27, 2019): 3135–86. http://dx.doi.org/10.1111/jofi.12836.

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Bulkley, George, Richard D. F. Harris, and Renata Herrerias. "Why does book-to-market value of equity forecast cross-section stock returns?" International Review of Financial Analysis 13, no. 2 (June 2004): 153–60. http://dx.doi.org/10.1016/j.irfa.2004.02.002.

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Hahn, Jaehoon, and Hangyong Lee. "Yield Spreads as Alternative Risk Factors for Size and Book-to-Market." Journal of Financial and Quantitative Analysis 41, no. 2 (June 2006): 245–69. http://dx.doi.org/10.1017/s0022109000002052.

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AbstractThis paper investigates whether the size and book-to-market factors of Fama and French (1993) proxy for the risks associated with business cycle fluctuations. We find that changes in default spread (Δdef) and changes in term spread (Δterm) capture the systematic differences in average returns along the size and book-to-market dimensions in the way that the Fama-French factors do: small stock portfolios have higher loadings on Δdef than large stock portfolios, while high book-to-market portfolios have higher loadings on Δterm than low book-to-market portfolios. Furthermore, in the presence of Δdef and Δterm, the Fama-French factors are superfluous in explaining the size and book-to-market effects. The results suggest that the size and value premiums are compensation for higher exposure to the risks related to changing credit market conditions and interest rates proxied by Δdef and Δterm.

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Mion, Lars, Georgios Georgakopoulos, Petros Kalantonis, and Nicolaos Eriotis. "The Value Relevance of Accounting Information in Times of Crisis." International Journal of Corporate Finance and Accounting 1, no. 2 (July 2014): 44–67. http://dx.doi.org/10.4018/ijcfa.2014070104.

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The financial crisis started in 2007 with the credit crunch persists until today in the form of the European debt crisis. The main focus of this paper is the relevance of financial statements in determining firm market value in such times. The work contributes to this research stream as one of the earliest studies probing into the effects of the credit crunch and the euro-debt crises. This paper examines a sample of firm year observations from 2003 to 2011 of companies listed in the Amsterdam Euronext exchange. It focuses on the relation between market values and both book values and net income measures. The findings suggest that the combined explanatory power of the independent variables decreases in the years marked as crisis years. Net income leads to less value relevance high lighting the importance of book values. Incremental explanatory power of book values increases during the credit crunch, and decreases afterwards.

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Altahtamouni, Farouq. "Determinants of Market Value (Case of Jordanian Banks)." International Business Research 11, no. 1 (December 19, 2017): 124. http://dx.doi.org/10.5539/ibr.v11n1p124.

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This study aimed to find the best model to predict the market value of the Jordanian banks for the period from 2004 to 2013. Based on previous studies we have used investment, financing and dividend decisions in addition to profitability, size and growth to predict the market value which has been measured at market value of the shares to the book value, which is called by Tobin’s Q.By using the simple regression analysis it was reached to a statistical significance effect for each investment decision, profitability, size and expected growth on market value, and it was found out the absence of an effect for each of financing and dividends decisions on market value. And by Using multiple linear regression test and stepwise regression method in order to find out the best models to predict market value, the profitability, investment decision and expected growth are considered the best variables to predict market value whereas it explain 45% of changes in market value.

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Riaz, Salman, Yangping Liu, and Sajjad Hussain Khan. "Exploring the Relationship between Market Value and Accounting Numbers of Firms in Pakistan." Asian Journal of Finance & Accounting 7, no. 1 (June 25, 2015): 230. http://dx.doi.org/10.5296/ajfa.v7i1.7598.

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This study examines the relationship between accounting numbers and market prices for the Pakistani cement industry. The study covers a time span of nine years from 2005-2014. We study the influence of book value of share, breakup value of share, earning per share, gearing ratio and dividend to equity ratio on market value of share. After applying different econometric techniques we found that book value of share and earnings per share have statistically significant influence on the market price of share.

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Ruiz-Barbadillo, Emiliano, and Andrés Guiral. "The value relevance of expected vs. unexpected going concern opinions." Investment Management and Financial Innovations 16, no. 2 (April 18, 2019): 47–65. http://dx.doi.org/10.21511/imfi.16(2).2019.05.

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Previous event studies find that going concern opinions (GCOs) convey significant information to the market when the audit reports appear to be unexpected. Using the value relevance method, this paper examines the differential impact of expected and unexpected going concern opinions on the market value of US firms for the 2000–2006 time period. The results suggest that while both firms receiving expected and unexpected GCOs suffer a drop in their average market value, the decrease is larger in the case of firms with unexpected GCOs. It is also observed that the market tends to shift the weight they place on earnings to the book value of equity in valuing firms with unexpected GCOs. Specifically, the decrease in the pricing multiple of earnings is larger for the case of unexpected GCOs. This result suggests that GCOs are more informative when they are unexpected. The study complements existing work by exploring whether expected GCOs have any differential valuation impact than unexpected GCOs instead of looking at the informativeness of GCOs alone.

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Bianconi, Marcelo, and Joe Akira Yoshino. "Valuation of the worldwide commodities sector." Studies in Economics and Finance 34, no. 4 (October 2, 2017): 555–79. http://dx.doi.org/10.1108/sef-04-2016-0095.

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Purpose This paper aims to empirically investigate the market-to-book/return on equity valuation model. Design/methodology/approach The authors use a worldwide commodities sector panel of 6,323 firms from 69 countries with annual observations from 1999 to 2010 to estimate panel ordinary least squares (OLS), instrumental variables (IV) and quantile regressions. They also measure the impact of return on equity on market-to-book uncovering value versus growth and positive versus negative profitability dimensions. Findings The new evidence is that the impact of return on equity on market-to-book is time-varying and declining across the years in the sample. There is positive and strong persistence in the market-to-book of companies in this sector worldwide, but value stocks are more persistent than growth stocks. The coefficient of return on equity is positive at the 10th percentile of the market-to-book, but it becomes negative for growth stocks at 90th percentiles. Conditional on negative profitability, the coefficient of return on equity on market-to-book is negative for growth stocks. The effect of the S&P500 volatility index (VIX) is negative, significant and large in magnitude, but declines in absolute value, as the quantiles increase toward the upper 90th percentile. Practical implications The commodities sector is important for countries that depend on it for development. Originality/value The paper provides a rich panel data approach, and the market-to-book/return on equity valuation model is naturally applied to the commodities sector, as this sector tends to have more tangibles relative to intangibles.

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Maria Biscotti, Anna, Eugenio D’Amico, and Sabato Vinci. "The effectiveness of intellectual capital disclosure in market assessments of corporate value creation." FINANCIAL REPORTING, no. 1 (June 2019): 5–35. http://dx.doi.org/10.3280/fr2019-001001.

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According to literature on the value relevance of intellectual capital (IC), a gap between the market and book value of a company larger than one indicates the contribution of IC resources (mostly off-balance sheet) to the value creation potential of a firm as perceived by investors. In Italy, with the introduction of Legislative Decree no. 32/2007 (by which the EU Directive No. 2003/51/CE was partially implemented into Italian law), companies are encouraged (for the first time in Italy) to disclose in the management commentary for the fiscal year-end of 2008 and for subsequent years non-financial information about employee matters. The purpose of this study is to investigate whether a more virtuous corporate disclosure behaviour on nonfinancial IC information relating to the human capital significantly contributes to better explain (more than other IC components) the market-to-book value gap. In addition, this paper aims to investigate the effectiveness of IC disclosure in improving the accuracy of market valuation process. The results demonstrate that both human capital performance and the related (human capital) non-financial disclosure tend to significantly explain the market-to-book value gap, playing a unique role in the market valuation process of high-tech companies. Moreover, a greater disclosure on IC appears to be determinant in improving the accuracy of market assessment of high-tech companies characterised by higher IC performance.

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Jacob, Renata H., and Sofyan S. Harahap. "HUBUNGAN ANTARA INDIKATOR MIKRO DAN MAKRO TERHADAP NILAI BUKU DAN HARGA PASAR SAHAM PERUSAHAAN." Media Riset Akuntansi, Auditing dan Informasi 7, no. 2 (August 13, 2007): 217. http://dx.doi.org/10.25105/mraai.v7i2.974.

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This study discusses the differences between Book Value and Market Value of Indonesian Company listed in .1SE focuses on banking industry which sample total 11 banks. The data was collected from financial reports of those banks published in the Indonesian Capital Market Directory of 19982002. The objective of the study was to test the differences between book value and market value of banks' shares using Tobin Q-Ratio model. Then, micro aspects are represented by EPS, LDR and ETA and macro aspects are represented by inflation and interest rate were examined how much those variables influence book value and market value. The study found that there was a difference between book value and market value. Average Q-Ratio Indonesian banking industry during 1999-2002 respectively was 1.72, 1.27, 0.92, 1.10 and 1.25. The highest and the lowest 0 ratio during 4 years in average was achieved by FT Bank CIC International Tbk 4,14 and PT Bank Pan Indonesia Tbk 0.27 respectively. Then, the correlation between independent and dependent variables using SPSS version 10 has been tested and found that micro aspect only influences 45.8% to book value and 61.7% to market value. EPS has more significant role in influencing book value and market value. Macro aspect has a minimum role in influencing. The limitation of this study is due to limitation of sample, period and ratio tested. Future research could be done in having more sample periods and ratios.Keywords: Measurement, Valuation, Book Value, Market Value, Financial Ratio, micro and macro aspects.

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Zia ul haq, Hafiz Muhammad, Muhammad Sohail Shafiq, Muhammad Kashif, and Saba Ameer. "Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage." Journal of Risk and Financial Management 13, no. 9 (September 2, 2020): 196. http://dx.doi.org/10.3390/jrfm13090196.

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The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity risk). This research provides empirical evidence on this theoretical contradiction by investigating the relationships of financial leverage (FL) and operating leverage (OL) with stock returns, the book to market ratio (B/M), and systematic risk on non-financial sector firms trading at the Pakistan stock exchange (PSE). This research empirically finds significant and direct influence of operating leverage on stock returns, the book to market ratio, and systematic risk respectively. Overall findings provide support for the theoretical models which have a linked book to market effect with operating leverage. Thus, we conclude that investment activity risk seems to be the major factor that determines value premium.

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Justina, Dormauli. "Pengaruh Firm Size dan Market to Book Ratio terhadap Return Portofolio." JURNAL MANAJEMEN DAN BISNIS SRIWIJAYA 15, no. 2 (June 8, 2018): 138–45. http://dx.doi.org/10.29259/jmbs.v15i2.5701.

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Tujuan penelitian – To examine effect of firm size and market to book ratio on portfolio return.Desain/Metodologi/Pendekatan – Research sample consists of manufacture firm stock listed in Indonesian Stock Exchange 2011-2013. Portfolio return measured by excess return of average 5 highest return and 5 lowest return. Portfolio firm size measured by differences of average return of 5 biggest firm size with 5 smallest firm size. Portfolio book to market ratio measured by differences of average return of 5 highest book to market ratio with 5 lowest book to market ratioTemuan – Based on regression analysis, firm size and book to market ratio have negative effect on portfolio return. The result confirms existence of three factor model in return determination. Investor captures the size effect and financial distress indication of book to market ratio in return estimation and stock investment decision making.Keterbatasan penelitian – This research only used manufacture firm as sample, so the result could not be generalized to all firm population at Indonesia Stock Exchange. This research also did not separate between active stock and inactive stock which were traded monthly, so it probably there was bias return calculation because of the inactive stock.Originality/value – the high of book to market ratio showed that the firm had bad performance and tend to financial distress or poor prospect.

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Mohammadpour Zarandi, Hossein, and Seyed Mohsen Tabatabaei Mozdabadi. "A study on the effect of size and ratio of book value to market value on excessive retur." Management Science Letters 2, no. 8 (October 1, 2012): 3067–72. http://dx.doi.org/10.5267/j.msl.2012.08.023.

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Santos, Leandro da Rocha, and Roberto Marcos da Silva Montezano. "Value and growth stocks in Brazil: risks and returns for one - and two-dimensional portfolios under different economic conditions." Revista Contabilidade & Finanças 22, no. 56 (August 2011): 189–202. http://dx.doi.org/10.1590/s1519-70772011000200005.

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For empirical purposes, value stocks are usually defined as those traded at low price-to-earnings ratios (stock prices divided by earnings per share), low price-to-book ratios (stock prices divided by book value per share) or high dividend yields (dividends per share divided by stock prices). Growth stocks, on the other hand, are traded at high price-to-earnings ratios, high price-to-book ratios or low dividend yields. Academic research so far produced, international and Brazilian alike, shows that value stocks outperform growth stocks, challenging the Efficient Market Hypothesis, which states that the market prices of traded stocks are the best estimate of their intrinsic values. Most studies use a single ratio to sort stocks on percentiles; risks (generally defined as beta or standard deviations) and returns are then calculated for the resulting value and growth portfolios. In the present paper, we aim to further contribute to the growing literature on the field by applying a method not previously tested on the Brazilian market. We build portfolios sorted by the price-to-earnings and price-to-book ratios alone and by a combination of both in order to assess value and growth stocks' risks and returns on the Brazilian stock market between 1989 and 2009. Furthermore, our risk analysis may be regarded as the paper's main contribution, since its approach departs from conventional risk concepts, as we not only test for beta: portfolios' returns are measured under different economic conditions. Results support a pervasive value premium in the Brazilian stock market. Risk analysis shows that this premium holds under every economic condition analyzed, suggesting that value stocks are indeed less risky. Beta proved not to be a satisfactory risk measure. Portfolios sorted by the price-to-earnings ratio yielded the best results.

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Leavy, Brian. "Value innovation and how to successfully incubate “blue ocean” initiatives." Strategy & Leadership 46, no. 3 (May 21, 2018): 10–20. http://dx.doi.org/10.1108/sl-02-2018-0020.

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Purpose This masterclass examines the blue ocean value innovation process, how it works in practice and how it has evolved since the publication of Blue Ocean Strategy (2005) by W. Chan Kim and Renee Mauborgne as explored in their new book their new book Blue Ocean Shift (2017). Design/methodology/approach The main focus is the value innovation methodology that underlies blue ocean strategy. Findings Blue ocean strategy is a process of value innovation that uncovers new aggregations of demand by redefining the offering category. Practical implications Blue ocean strategy tends to focus on value innovation that uncovers new aggregations of demand by redefining the category while disruptive innovation tends to concentrate on new demand-creation that expands the current served market. Originality/value Blue ocean strategy sets out to reconfigure value propositions in compelling new ways that can deliver a quantum leap beyond the current red ocean value-cost frontier through raising buyer value and lowering company costs simultaneously. The emphasis on both value and innovation is essential to the creation of new “blue ocean” market spaces.

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Ramakrishnan, Ram T. S., and Jacob K. Thomas. "What Matters from the Past: Market Value, Book Value, or Earnings? Earnings Valuation and Sufficient Statistics for Prior Information." Journal of Accounting, Auditing & Finance 7, no. 4 (October 1992): 423–64. http://dx.doi.org/10.1177/0148558x9200700402.

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A number of recent analytical and empirical papers seek to identify the variables that best explain stock prices. We derive the relation between prices and earnings for three one-parameter “excess earnings” evolution processes that describe three different ways in which current period shocks to earnings persist in future. In each case, we show that price is a weighted average of capitalized current earnings and a sufficient statistic for all past information. The sufficient statistics are three amounts from last year: book value, market value, and capitalized earnings. Using time-series data over the 1969-1988 period for a sample of 511 firms, we estimate firm-specific excess earnings regressions and price regressions for the three cases. Although the book value model provides the best fit for a majority of firms for the excess earnings regressions, the market value model is far superior for the price regressions. We argue that this latter result is due to prior period price (included in the market value model alone), reflecting other information that is not explicitly modeled here. Despite this bias in favor of the market value model for the price regressions, we find a positive cross-sectional association between the relative explanatory power of the three models in the excess earnings regressions and the corresponding relative explanatory power in the price regressions. That is, if a firm's excess earnings series is best described by a particular model, its price series is also likely to be best described by the valuation relation derived from the same model.

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Hall, John Henry. "Value creation measures: an industry-based study." International Journal of Productivity and Performance Management 67, no. 2 (February 12, 2018): 426–44. http://dx.doi.org/10.1108/ijppm-08-2016-0178.

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Purpose The purpose of this paper is to identify the shareholder value creation measure best suited to express shareholder value creation for a particular industry. Design/methodology/approach The analysis was performed on 192 companies listed on the Johannesburg Stock Exchange, classified into nine different samples or industries. Five shareholder value creation measures were examined, namely market value added (MVA), a market-adjusted stock return, the market-to-book ratio, Tobin’s Q ratio, and the return on capital employed divided by the cost of equity. Findings An analysis of the nine categories of firms led to the identification of different measures that are suited to express value creation. Stock returns did not provide an appropriate value measure. Instead, depending on the specific industry, Tobin’s Q ratio, MVA, and the market-to-book ratio should be used to measure and express value creation. Practical implications For management, the value drivers identified for each industry present a clear indication of industry-specific variables upon which they can focus in operating activities to most efficiently increase shareholder value. Originality/value Unlike previous studies that use only one or two different shareholder value creation measures as dependent variables, this study uses five different value creation measures. Another contribution of this study is the compilation of a unique set of value drivers that explain shareholder value creation separately for each of the nine different categories of firms.

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Mbekomize, Christian J., and Selinkie Popo. "Value Relevance of Accounting Information in the Botswana Listed Companies." International Business Research 13, no. 5 (April 22, 2020): 46. http://dx.doi.org/10.5539/ibr.v13n5p46.

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The main purpose of the study was to examine the statistical relationship between four sets of accounting information and market share prices using the data of companies listed on the Botswana Stock Exchange over the period from 2012 to 2018. Annual reports and Botswana Stock Exchange – Equity Statistics data bank were the sources of accounting information and market prices respectively. The Ordinary Least Square regression method was used to analyse data. The results suggest that earnings are the most value relevant information to share prices followed by dividends and lastly book value. While book value yielded weak value relevance operating cash flows did not explain changes in share prices in the Botswana equity market. The combination of earnings and dividends was more value relevant than any other mix of accounting amounts. The study further revealed that the market share price at the end of the 6th month from the year end was the most influenced price. These results have implications to quoted companies regarding the importance they attach on earnings and dividends information and their timely publication. The paper recommends for speedy dissemination of earnings and dividends information since investors significantly consider such information in market share pricing decisions.

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Tripathy, Trilochan, and Bijon Pani. "Effect of F Score on Stock Performance: Evidence from Indian Equity Market." International Journal of Economics and Finance 9, no. 2 (January 11, 2017): 89. http://dx.doi.org/10.5539/ijef.v9n2p89.

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This study seeks to examine whether value investing strategy based on F Score when applied to high book to market firms can significantly shift the current and future stock performance in favour of the investor in the Indian market. The study engages the panel data model to analyse the impact of high F Score on contemporaneous and future stock returns (Rt and Rt+1), return on equity (ROEt and ROEt+1) and market to book value (MTBVt and MTBVt+1) as stock performance measures. The study concludes that high book to market firms with high F Score can shift the distribution of contemporaneous and future stock performances in favour of investors in the Indian market. However such observation is most prominent and statistically significant at higher level when applied to future stock valuation measures than the future stock return as measures of stock performance. The outcome of the study would no doubt help the individual value investors, mutual fund managers and value investing strategists who have presence in the Indian market.

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Delkhosh, Mohammad, Zahra Malek, Maryam Rahimi, and Zohreh Farokhi. "A comparative study of information content of cash flow, cash value added, accounting earnings, and market value added to book value of total assets in evaluating the firm performance." International Journal of Accounting and Economics Studies 5, no. 2 (July 18, 2017): 112. http://dx.doi.org/10.14419/ijaes.v5i2.7987.

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The aim of the present study was to compare the utility of traditional accounting reporting and financial reporting for performance evaluations. Accordingly, the relationship between six ratios of net cash flows, net operating cash flows, cash value added, income after tax, income before tax, and market value added to the book value of total assets and Tobin’s Q ratio as an indicator of performance evaluation were examined. For this purpose, the information of 122 companies listed on Tehran Stock Exchange in the years 2009 to 2014 were used. Besides, linear regression and analysis of variance (ANOVA) were used to analyze the data. The results showed that except for the ratio of net cash flows to the book value of total assets, there was a significant relationship between the other five ratios. In addition, it was noted that cash value added to net operating cash flows had more information content concerning evaluating the firm performance. The results also indicated that net cash flows did not contain information content for evaluating the firm performance. However, the market value added had the maximum information to be used for evaluating the firm performance.

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Ismunarti, Nurbani Aulia, Bambang Sunarko, and Tohir Tohir. "ANALISIS PENILAIAN HARGA WAJAR SAHAM MENGGUNAKAN PENDEKATAN DIVIDEND DISCOUNT MODEL, PRICE EARNING RATIO DAN PRICE TO BOOK VALUE." Performance 23, no. 2 (August 10, 2017): 47. http://dx.doi.org/10.20884/1.performance.2016.23.2.277.

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The purpose of this research is to determine the intrinsic value of coal mining company stock listed in LQ45 Index during 2010-2014 period used Dividend Discount Model (DDM) Pertumbuhan Berganda, Price Earning Ratio (PER) and Price to Book Value (PBV) approach. Intrinsic value will compared with market stock value, henceforth be one of basic for taking investment decision in capial market. Difference of intrinsic stock value with market stock value is tasted by Paired Sample T-Test. For this research, the sample used is PT. Adaro Energy Tbk (ADRO), PT. Indo Tambangraya Megah Tbk (ITMG) and PT. Bukit Asam Tbk (PTBA).The result of this research showed that the market stock value of the coal mining company listed in LQ45 Index is higher than intrinsic stock value (overvalued) based DDM Pertumbuhan Berganda and PBV approach. While based PER approach, the market stock value of the coal mining company is lower than intrinsic stock value (undervalued). And then, for the result of paired sample t-test showed that based on DDM Pertumbuhan Berganda , PER and PBV approach has a significant difference between intrinsic value with market stock value.

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Hsu, Chuan-Hao, Kuei-Chih Lee, Yi-Ping Chang, and Hung-Gay Fung. "Value versus growth: Taiwan evidence." Managerial Finance 41, no. 8 (August 10, 2015): 845–56. http://dx.doi.org/10.1108/mf-07-2014-0202.

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Purpose – The purpose of this paper is to use a stochastic dominance test to examine the relative performance of value vs growth stocks based on multiple value-growth proxies in the Taiwan stock market. Design/methodology/approach – This work examines whether the return distribution of a value portfolio stochastically dominates that of a growth portfolio using a test proposed by Linton et al. (2005). Findings – By applying stochastic dominance analysis on the full-sample period, the sub-sample period and the state of the world’s economic conditions, the authors find that the earnings-to-price or dividend-to-price ratio is better than the book-to-market ratio as a value-growth proxy in Taiwan. There are robust results even after adjusting for data frequency, a sampling method and sample excluding financial services. Originality/value – This study makes the first attempt to examine value vs growth strategies based on multiple value-growth proxies in the emerging market of Taiwan by administering the stochastic dominance test.

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Journal articles on the topic 'Book-to-market value'

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