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Cheng, Qiang. "Essays on the residual income valuation model /." Ann Arbor, MI : UMI, 2003. http://aleph.unisg.ch/hsgscan/hm00095739.pdf.
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Quinta, André Filipe Rodrigues. "Contabilidade e avaliação de empresas : aplicação prática do residual income model." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/17766.
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Mestrado em Contabilidade, Fiscalidade e Finanças EmpresariaisO presente trabalho tem como principal objetivo demonstrar a utilização do Residual Income Model (RIM). O trabalho é desenvolvido tendo uma abordagem teórica e prática da aplicação do Residual Income Model, sendo constituído pelo enquadramento teórico do modelo e de avaliação de empresas, bem como por um business case de aplicação prática do modelo à Airbus. O segundo objetivo é comparar a utilização do RIM com uma das metodologias mais aceites na avaliação de empresas, o Discounted Free Cash Flow to Equity (DFCFE). O caso é assim resolvido pelos dois modelos, o RIM e o DFCFE, de forma a comparar os procedimentos e os resultados obtidos por cada modelo. Para a conceção do business case foram utilizados unicamente dados reais, disponíveis publicamente, e está estruturado de forma a permitir diferentes abordagens e conclusões. O intervalo de preços obtido representa um desvio face à cotação no período de referência de 33% para o RIM e -16% para o DFCFE. Os resultados expõem a dificuldade de implementar os mesmos pressupostos para ambos os modelos, que podem ser influenciados tanto pelos dados considerados como pelos procedimentos utilizados para o forecast, nomeadamente no que diz respeito ao grau de detalhe necessário para os modelos. Ao mesmo tempo, os valores obtidos servem referência de intervalo de preço para o que poderá ser o valor justo da ação da Airbus.
The current project aims to demonstrate the application of the Residual Income Model. The project is based both on a theoretical and practical approach, consisting of a framework regarding the model itself and enterprise valuation, as well as a business case with the practical application of the model to Airbus. The second objective is to compare the model with one of the most accepted methods, the Discounted Free Cash Flow to Equity. Therefore, the case is solved by using two different approaches, the Residual Income Model and the Discounted Free Cash Flow to Equity, in order to compare the procedures and obtained results through each model. For the business case conception, only real and publicly available data was used, and it is structured to allow different approaches and conclusions. The obtained price range represents a variance from the price per share at the reference date of 33% through RIM and -16% through DFCFE. The results disclose the difficulty of implementing the same assumptions for both models, which can be influenced both by the methods used for the forecast as by the considered data, specifically to what regards the degree of detail required for the models. At the same time, the results can serve as a reference for the price range of what might be the fair price of Airbus' shares.
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Schoon, Natalie. "Residual income models and the valuation of conventional and Islamic banks." Thesis, University of Surrey, 2005. http://epubs.surrey.ac.uk/596/.
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Brandt, Oskar, and Rickard Persson. "The relationship between stock price, book value and residual income: A panel error correction approach." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-254344.
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In this paper we examine the short and long-term relations between stock price, book value and residual income. We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.
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Lehmann, Christopher, and Alexander Alfredsson. "Intrinsic Equity Valuation : An Emprical Assessment of Model Accuracy." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-30377.
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The discounted cash flow model and relative valuation models are ever-increasingly prevalent in today’s investment-heavy environment. In other words, theoretically inferior models are used in practice. It is this paradox that has lead us to compare the discounted cash flow model (DCFM), discounted dividend model (DDM), residual income-based model (RIVM) and the abnormal earnings growth model (AEGM) and their relative accuracy to observed stockprices. Adding to previous research, we investigate their performance in relation to the OMX30 index. What is more, we test how the performance of each model is affected by an extension of the forecast horizon. The study finds that AEGM outperforms the other models, both before and after extending the horizon. Our analysis was conducted by looking at accuracy, spread and the inherent speculative nature of each model. Taking all this into account, RIVM outperforms the other models. In this sense, one can question the rationale behind investor’s decision to primarily use the discounted cash flow model in equity valuation.
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Haboub, Ahmad. "Essays on equity valuation and accounting conservatism for insurance companies." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15823.
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This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.
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Santos, Renato de Miranda. "Modelo de avaliação pelos lucros residuais (residual income valuation RIV) : uma aplicação às empresas do setor de transportes terrestres do Brasil." reponame:Repositório Institucional da UnB, 2013. http://repositorio.unb.br/handle/10482/15043.
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Dissertação (mestrado)— Universidade de Brasília, Departamento de Economia, Mestrado em Gestão Econômica de Negócios, 2013.Submitted by Albânia Cézar de Melo (albania@bce.unb.br) on 2014-01-21T12:31:11Z No. of bitstreams: 1 2013_RenatoMirandaSantos.pdf: 627720 bytes, checksum: 12448711cdfbdb6373709a2b5e86d5c7 (MD5)
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Esta dissertação visa aplicar o Modelo de Avaliação pelos Lucros Residuais (Residual Income Valuation RIV) às concessionárias de ferrovias e rodovias federais, reguladas pela Agência Nacional de Transportes Terrestres ANTT . A metodologia utilizada incluiu pesquisa exploratória, na medida em que é aplicado o modelo ao setor de transportes terrestre do Brasil e analisado sua dinâmica e seu valor, e pesquisa bibliográfica, quanto aos aspectos teóricos do modelo. A aplicação do RIV a estas empresas objetos da pesquisa visa sanar algumas lacunas de informações, em especial a mensuração da relevância que elas representam no mercado brasileiro, qual o valor que estas empresas possuem pelo fato de não ser conhecido seus valores de mercados, uma vez que suas ações não são negociadas na bolsa de valores. O modelo RIV define que o valor da empresa corresponde ao seu patrimônio líquido contábil mais a soma das expectativas dos lucros residuais (anormais) futuros trazidos a valor presente. Os resultados foram projetados com base em taxa de crescimento operacional, e a taxa de desconto teve como referência o Custo do Capital Próprio. Inicialmente o modelo RIV é validado, mediante aplicação em uma empresa negociada na Bolsa de Valores de Nova York, sendo verificado com certo grau de confiabilidade o seu poder preditivo. Após validação é replicado o modelo às empresas de transportes terrestres e é obtido o diagnóstico do setor, o qual pode ser utilizado tanto como subsídio para as decisões regulatórias da agência, como insumo para as discussões no meio acadêmico que tratam da importância das informações contábeis como proxy para avaliação de empresas. O trabalho conclui pela validação do modelo de avaliação Residual Income Valuation RIV , apresenta um diagnóstico da situação econômica e financeira de cada empresa objeto do trabalho e apresenta o valor agregado do setor. Por fim apresenta sugestões para realização de novos estudos que enriqueceriam a pesquisa acadêmica no Brasil. ______________________________________________________________________________ ABSTRACT
This thesis aims to apply the Evaluation Model for Residual Income - RIV to rail concessionaires and federal highways, regulated by the Agência Nacional de Transportes Terrestres ANTT . The methodology included exploratory research, to the extent that the model is applied to the land transport sector in Brazil and analyzed its dynamics and its value, and literature, as the theoretical model. The application of these companies RIV objects of research aims to address some gaps of information, in particular the measurement of relevance they represent in the Brazilian market, what value these companies because they have not known their market values since that their shares are not traded on the stock exchange. The RIV model defines the value of the company is to its net book value plus the sum of earnings expectations residual (abnormal) future present value. The results were projected based on growth rate of operating, and the discount rate had reference to the Cost of Equity. Initially the RIV model is validated by applying on a company traded on the Stock Exchange of New York, being seen with a degree of reliability to its predictive power. After validating the model is replicated to land transport companies, and is obtained the diagnosis of the sector, which can be used both as a basis for the decisions of the regulatory agency, as an input to the discussions in academia who discuss the importance of accounting information as proxy for business valuation. The paper concludes by validating the assessment model Residual Income Valuation RIV presents a diagnosis of the economic and financial situation of each companys work and has the added value of the sector. Finally presents suggestions for further studies that enrich the academic research in Brazil.
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Choi, Young-Soo. "The reliability and the applicability of the residual income-based valuation model : theoretical augmentation of the linear information dynamics model and its validity compared with Ohlson and Edwards-Bell-Ohlson approaches." Thesis, Lancaster University, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.403802.
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Hjelström, Tomas. "The closed-end investment company premium puzzle : model development and empirical tests on Swedish and British data." Doctoral thesis, Handelshögskolan i Stockholm, Redovisning och Finansiering (B), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-480.
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For decades, business press and researchers have observed and investigated the premiums/discounts on closed end investment companies. Proposed explanations for the phenomenon have been poor performance, high expenses (due to agency relationships), inefficient internal capital markets and excess volatility in the returns of the shares of the closed-end investment companies. Some, but not conclusive, empirical evidence support these theories. Most empirical evidence is based on American data. This study uses British and Swedish data on closed end investment companies. Some, but not conclusive, empirical evidence support these theories. Most empirical evidence is based on American data. This study uses British and Swedish data on closed end investment companies from 1972 – 2004 to investigate the premiums/discounts. Three areas of explanations are examined: performance, agency costs and diversification. In contrast to previous studies this study uses detailed data on quoted and unquoted securities respectively to investigate the relationship between performance and premiums/discounts. Evidence is found for a relationship between the performance on unquoted securities and premiums/discounts, but not for quoted securities. Indications that measurement biases in unquoted securities are properly priced are also found. The agency problem is analyzed in two ways, formal and controlling power, to investigate if actions taken by the company substantiating agency behavior have additional effects on prices. Such actions are measured as large investments in other portfolio companies (controlling power). The empirical evidence suggests that the existence of formal power creates additional discounts. The marginal effect on discounts is even deeper when proposed agency actions are identified. Diversification is argued to decrease the value of a portfolio of securities when heterogeneous beliefs are present. This study provides evidence that portfolio diversification deepens discounts.Diss. Stockholm : Handelshögskolan, 2007
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Choong, Kwee Keong. "Residual income information dynamics and equity valuation : a study using UK data." Thesis, Imperial College London, 2003. http://hdl.handle.net/10044/1/8707.
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Costa, Valdir Rodrigues da. "Equity Research - Banco Atlântico - Europa, S.A." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14528.
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Mestrado em FinançasO projeto aqui apresentado tem como objetivo realizar a avaliação do Banco Atlântico Europa, S.A., um banco privado de direito português. O Banco iniciou a sua atividade em 2009 e opera, atualmente, nos mercados português e namibiano. O Banco apresenta uma estrutura organizacional flexível, sendo a sua atividade dividida em três áreas, Negócio, Suporte e Controlo. A escolha de avaliar o Banco foi motivada, essencialmente, pelo fato de estar a trabalhar na empresa e com a expetativa de adquirir uma visão holística do Banco e do setor bancário. Além disso, pretendemos, com este projeto, proporcionar ao Banco uma contribuição útil sobre os seus recursos e valor de mercado. Após um estudo exaustivo para avaliação de empresas financeiras não cotadas, cuja contribuição académica é diminuta, selecionámos as seguintes metodologias de investigação: Residual Income e o Discounted Cash Flow Adapted to Required Retained Capital com o apuramento e atualização dos Free Cash Flow futuros para toda a empresa (Enterprise Value). Os resultados obtidos advêm da média ponderada das duas metodologias e indicam que valor justo de compra e venda ronda os €81.8Mn uma valorização de 71.4% face aos capitais colocados pelos accionistas aquando da criação do Banco. Para sustentar a escolha do método e pressupostos utilizados é feita uma análise às características e desempenho financeiro recente da empresa com base nos dados divulgados publicamente pelo Banco, sendo os últimos datados de dezembro de 2016, e dados resultantes de outas fontes de informação tais como Bloomberg e Thomson Reuters Datastream.
The present project aims to carry out a valuation exercise for Banco Atlântico Europa, S.A., a private bank under the Portuguese law. The Bank started its activity in 2009 and operates, nowadays, in the Portuguese and Namibian markets. The Bank has a plain organizational structure, having its activities divided in three areas, such as Business, Support and Control. Choosing to evaluate the bank was mainly motivated by the fact I'm working for the Bank and expecting to acquire a holistic vision of the Bank and the banking sector. Furthermore, we intend with this project to provide the Bank a valuable contribution about its resources and valuation in the market. Following an exhaustive study of the valuation methods of unlisted financial companies, which has found little contribution of academics, we chose to proceed the analysis with the following methods: the Residual Income and the Discounted Cash Flow Adapted to Required Retained Capital, showing the results tabulation and updating the Bank's future Free Cash Flow (Enterprise Value). The obtained results derive from the weighted average of the two methodologies and indicate that the mid price fair valuation is €81.8Mn, this value represent an increase of 71.4% compared to the capital invested by the shareholders when the Bank was created. To support the method and assumptions used, the analysis was developed through recent data on the Bank's financial performance, namely its Annual Report dated December of 2016, and additional data from other sources of information, such as Bloomberg and Thomson Reuters Datastream.
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Hanpobamorn, Saijai. "Low-cost and Traditional Airlines : Ratio Analysis and Equity Valuation by the Residual Earnings Model." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1203.
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Fundamental analysts use basic fundamentals, which generally based on available public information, to determine a firm’s intrinsic value. Forecasting future performance is one of the key elements for doing fundamental analysis, and historical results are the foundation for future forecast.
The analysis of this study is conducted into two sections with case studies in the airline business. Firstly, financial ratios are analyzed to examine whether low-cost or traditional airlines better perform their operations during a certain period. The other section is undertaking fundamental analysis of the case studies to evaluate current stock prices of representative airlines based on the potential future forecast. The model using for this valuation is the Residual Earnings Model. Key assumptions of future forecasts are mainly based on their historical ratios. Other related factor such as the gross domestic product (GDP) is included in forecasting sales growth rate because it is one of the key influences in the airline business.
For ratio analysis, the findings suggest that low-cost airlines perform better operations based on five years average. However, the traditional airlines improve their performances significantly in the latest fiscal year. For equity valuation, the findings show that estimates of equity values of the airlines yield inconsistent results comparing to their stock prices. Possible reasons of the difference might be the improvement in key financial ratios of the airlines.
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Reichel, Johannes. "Shareholder Value Drivers in the Financial Industry Empirical Evidence based on the Residual Income Model /." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607158001/$FILE/02607158001.pdf.
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Sotkasiira, Monica, and Fredrik Enberg. "Aktievärdering : En kvantitativ studie i värdering med Dividend Discount Model och Residual Income Model i förhållande till P/B-tal som referensvärde." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16601.
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Landström, Joachim. "The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability." Doctoral thesis, Uppsala universitet, Företagsekonomiska institutionen, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8268.
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This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. limited rationality is introduced. With limited rational choice, I drive a wedge between the market price and the intrinsic value and thus create an arbitrage market. In the theory, the subjects are allowed to gain knowledge about something that they previously were unaware of. As the discovery proceeds, the arbitrage opportunities disappear, and the market prices regress towards the intrinsic values. The theory is applied to firms and market-pricing models for a Homo comperiens environment is a result. The application of the theory to firms also leads to testable propositions that I test on a uniquely comprehensive Swedish accounting database that cover the years 1978—1994. Hypotheses are tested which argues that risk-adjusted residual rates-of-returns exist. The null hypotheses argue that risk-adjusted residual rates-of-returns do not exist (since they assume a no-arbitrage market). The null hypotheses are rejected in favor of their alternatives at a 0.0 percent significance level. The tests use approximately 22,200 observations. I also test hypotheses which argue that risk-adjusted residual rates-of-returns regress to zero with time. The null hypotheses are randomly walking risk-adjusted residual rates-of-returns, which are rejected in favor of the alternative hypotheses. The hypotheses are tested using panel regression models and goodness-of-fit tests. I reject the null hypotheses of random walk at a 0.0 percent significance level. Finally, the results are validated using out-of-sample predictions where my models compete with random-walk predictions. It finds that the absolute prediction errors from my models are between 12 to 24 percent less than the errors from the random walk model. These results are significant at a 0.0 percent significance level.
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Gibson, Heather N. "The relationship between net farm income, cash rents, and land values in Kansas." Thesis, Kansas State University, 2015. http://hdl.handle.net/2097/19018.
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Master of ScienceDepartment of Agricultural Economics
Mykel R. Taylor
Land value research has been conducted over many decades with efforts being focused on a broad spectrum of topics encompassing many different issues. The research in this thesis will focus on understanding the relationship between net farm income, cash rent, and land value. This research could provide insight and direction in determining future land value behavior. Understanding land prices is important to many different segments of the agricultural industry. Those involved in the industry want to know where land values are going and what the future looks like. Although certain segments may not be directly affected by land value movements, if value decreases the environment of the agriculture industry is changed. Farmers and ranchers are interested in future land values as they make purchase and sale decisions or as they consider future growth of their operation. Agribusinesses understand the affect a decrease in land value would do to farmer’s decisions regarding capital purchases. Additionally, agriculture finance institutions are interested in the future movement of land value as they are concerned about the affects adverse movements in land value would have on their customer’s balance sheet and ultimately their collateral position. In this paper the relationship between land value and cash rent; where land value is a function of historical cash rent and cash rent is a function of net returns to the land will be tested for its’ existence in Kansas. Data were collected for the nine crop reporting districts in Kansas from 1973 through 2012.
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Kaving, Tomas, and Mathias Loogna. "En fallstudie i företagsvärdering." Thesis, Södertörn University College, School of Business Studies, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-1111.
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När en värdering av ett företag skall göras finns det flera olika typer av värderingsmetoder som kan användas. Bakgrunden till den här studien är att uppsatsförfattarna blev kontaktade av ägarna till ett företag som undrade vad deras företag skulle vara värt vid en eventuell försäljning. Det specifika med företaget är att det endast arbetar mot en kund, samt att företaget nästan inte har några materiella tillgångar.
Syfte: Syftet är att kartlägga de olika värderingsmodeller som används vid värdering av företag, för att därefter klargöra vilken eller vilka metoder som är bäst lämpade för vårt fallföretag. Detta syftar till att resultera i en värdering av vårt fallföretag.
Metod: Vi har använt oss av en kvalitativ metod i form av en grundlig litteraturstudie, samt en genomgång av tidigare forskning. Vidare har ett antal e-postintervjuer genomförts och slutligen presenteras en modell för värdering av vårt fallföretag.
Teori: Den teoretiska delen av denna studie består av de värderingsmetoder som beskrivs i den litteratur som finns inom området. Vidare redovisas en del teori i form av tidigare forskning som publicerats i olika vetenskapliga tidskrifter.
Empiri: Empirin består av två stycken e-postintervjuer med representanter för Nordeas, samt Swedbanks Corporate Finance avdelningar. Vidare har intervjuer genomförts med representanter för fallföretaget. Vi har även tagit del av information från fallföretagets ekonomisystem i form av balans- och resultatrapporter.
Resultat: Denna studie visar att de lämpligaste värderingsmetoderna att använda vid värdering av ett företag i den specifika situation som vårt fallföretag befinner sig i, är kassaflödesmetoden samt residualvinstmetoden. Vidare visar studien att de vanligast använda värderingsmetoderna är multipelvärdering samt kassaflödesvärdering. Studien visar också att det är väldigt svårt att komma fram till ett exakt värde på ett företag då framtiden är oviss.
When valuing a company there exist various possible valuation methods to use. The reason behind this study is that the authors were contacted by the owners of a company, who where interested to know how much their company would be worth in the case of a possible sale. Specific with this company is that it only has one customer and almost no tangible assets.
Purpose: The purpose of this study is to make a survey of the different valuation methods that exist and to clarify which one is best suited in this particular case. This will result in a valuation of our case company.
Method: We have used a qualitative method in the shape of a thorough literary study and an exposition of earlier research in the area of company valuation. Furthermore we have made two interviews by email with representatives from the Corporate Finance departments of Swedbank and Nordea.
Theory:The theorethical framework of this study involves the different valuation methods that are described in the litterature that exists in the area. We have also shown some theory in the shape of earlier research that has been published in various scientific magazines.
Empirical foundation: The empirical foundation contains two interviews carried out by email with representatives from the Corporate Finance departments of Swedbank and Nordea. Interviews have also been made with representatives from our case company. The balance sheet and income statement from our case company’s economic system have also been studied.
Conclusion: This study shows that the most suitable valuation methods for our case company are the Discounted Cash Flow Model and the Residual Income Model. The study also shows that the most commonly used valuation methods are Multiple Valuation and Discounted Cash Flow Valuation. Finally the study shows that it is very difficult to reach one precise value when valuing a company with an uncertain future.
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Cao, Jian. "Using analysts' characteristics in gauging recommendation optimism and the implication for recommendation profitability." [Kent, Ohio] : Kent State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=kent1189720217.
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Thesis (Ph.D.)--Kent State University, 2007.Title from PDF t.p. (viewed Mar. 19, 2009). Advisor: Ran Barniv. Keywords: recommendation optimism, research analyst rules, residual income valuation, stock returns. Includes bibliographical references (p. 145-156).
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Costi, Ricardo Miguel. "Determinantes do custo de capital implícito das empresas negociadas na Bovespa." Universidade do Vale do Rio do Sinos, 2008. http://www.repositorio.jesuita.org.br/handle/UNISINOS/2827.
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O objetivo deste estudo foi identificar possíveis determinantes do custo de capital implícito nas empresas brasileiras de capital aberto, no período de 2001 a 2005. Primeiramente foi calculado o custo de capital implícito para cada empresa da amostra, procedendo-se após esta etapa, à escolha e à verificação dos possíveis determinantes (características de empresas) com poder de explicar esse custo de capital implícito. Define-se por custo de capital implícito, a taxa de retorno que faz os fluxos de caixas projetados igual ao valor corrente da ação. Para este cálculo foi utilizado o modelo de avaliação pelo lucro residual, também conhecido como modelo de Edwards-Bell-Ohlson (EBO) e a previsão dos lucros fornecida pelos analistas de mercado (I/B/E/S) como forma de estimar os fluxos de caixa projetados. Os determinantes constituem-se nas variáveis indicadas pela literatura financeira e que demonstraram relação explicativa com o custo de capital ou o retorno das ações. Foram selecionadas 15 variáveis, dividas em c
The purpose of this study was to identify the possible determining factors of the implied cost of capital in Brazilian listed companies from 2001-2005. First, the implied cost of capital for each company within the sample was calculated, after which the possible determining factors (company characteristics) with the predicting power to explain this implied cost of capital were selected. The implied cost of capital is defined as a return rate that makes discounted cash flow equal to the stock current value. For this calculation, the residual income model was used, also known as Edwards-Bell-Ohlson (EBO) model along with the earnings forecast given by market analysts (I/B/E/S) as a way to estimate the discounted cash flow. The determining factors are variables indicated by financial literature and demonstrate the explainable relationship with capital cost or the stocks return. Fifteen (15) variables were selected and then divided into five groups: volatility, leverage, information environment, earnings variabil
20
Svobodová, Olga. "Problematika tržního oceňování komerčních nemovitých věcí." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2020. http://www.nusl.cz/ntk/nusl-413828.
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This diploma thesis deals with issue of commercial real estate valuation Two real estate will be valued, namely the production and storage hall and the administrative building, which are located in a different locations. Both estates will be valued using the income approach. The income and costs information will be based on the conducted market analysis, while also being compared to the real data. The thesis itself will be divided into four parts. The first part of diploma thesis will focus on the theoretical basis. In the second part, the problems will be formulated and goals of the thesis (in the form of hypotheses) set. Next, both real estate will be described in detail and valued in a different situations that could occur. The valuation process is clearly shown in a valid process model. And finally, these results will be evaluated.
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Bahenský, Miloš. "Závislost hodnoty stavebního závodu na velikosti vlastního kapitálu." Doctoral thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402119.
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The doctoral thesis deals with the valuer issues of business valuation with construction production in the condition of the Czech economy. The business valuation issue is, and will always be, highly relevant in a market economy environment, with regard to both methodical and practical approaches. The main aim of the doctoral thesis is to demonstrate the dependence constructing empirical regression model to determine the value of the construction enterprise by the chosen income valuation method based on the equity (book value of equity in historical costs). The first part of the doctoral thesis is a research study describing the approach of the authors to the current state of knowledge concerning the issues of business valuation, aspects of equity, using the principles of system methodology. Based on these findings, a space is defined in which it is possible to propose a solution of a partial problem in terms of selecting the enterprise value category and the associated income valuation methods suitable for extensive time-series analysis. An integral part of the doctoral thesis is the determination of the sample size of construction enterprises according to the assumptions and limitations of the chosen methodology. Empirical research for data collection is based on Justice.cz database. Another important part is, in the spirit of system approach principles, the choice and application of the method of system discipline for the solved problem of doctoral thesis. The result of the solution is an empirical regression model, which after subsequent validation in multiple case studies could also be recommended for wider verification in valuers practice. Part of the thesis will also include discussions in the wider context of the potential benefits of the doctoral thesis for practical, theoretical and pedagogical use.
22
Cheng, Qiang. "Essays on the residual income valuation model." 2002. http://www.library.wisc.edu/databases/connect/dissertations.html.
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23
Chan, Fang-Shu, and 詹芳書. "An Application of the Residual Income Valuation Model to Insurance Companies." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/24614885213335090212.
Full textAbstract:
碩士國立政治大學
風險管理與保險研究所
91
Ohlson (1995) incorporates the clean surplus relation into the estimation for the value of a company. A financial ratio (price to value) created using Ohlson’s residual income valuation model might outperform conventional ratios like P/B (price to book value) and P/E (price to earning) ratios in explaining the variations in the stock price of a company (Lee, Myers, and Swaminathan, 1999). We hence construct a regression model to examine the applicability of Ohlson’s method and Lee, Myers, and Swaminathan’s results. However, we find that the estimated intrinsic value using Ohlson’s method diverge from the stock price significantly. Using different interest rates as the discount rate cannot generate better results either. Furthermore, the estimated P/V ratios result in only minor improvements over the conventional ratios in the regression model for the stock price. These results are probably due to the invariability and/or the smoothing in the values of insurance companies. Keywords: residual income, clean surplus relation, intrinsic value, abnormal earnings
24
Yi-JuKo and 柯依汝. "The Examination of Residual Income Valuation Model in Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/shh7r6.
Full textAbstract:
碩士國立成功大學
財務金融研究所
105
This study is primarily aimed at testing the suitability of the residual income valuation model in purchasing and holding investment portfolios for one, two, and three years, and compares the returns on these portfolios to those on the Taiwan Capitalization Weighted Stock Index (TAIEX) and the Taiwan Top50 Tracker Fund (TTT) for the same periods. Our empirical results indicate that when we use historical profit information in the residual income valuation model to construct an investment portfolio and hold it for one to three years, there are statistically significant differences in the returns on this portfolio only when it is held for two and three years. However, if we go one step further and use an accounting based residual income forecasting model by using forecasted future residual income in the residual income valuation model to compare the buy-and-hold returns of investment portfolios of high V_f/P values to those of investment portfolios of low V_f/P values, the returns on the former portfolios is significantly higher, irrespective of investurnet horizons. This study further compares the returns on portfolios constructed with the V_f/P strategy with that on the TAIEX and finds that the purchase and holding of high V_f/P portfolios have higher returns than on TAIEX if held for one, two, and three years. If we compare the portfolios constructed using this model to the TTT, we also find that high V_f/P portfolios have significantly higher abnormal returns in the long term.
25
Chao-JungPan and 潘釗蓉. "Investment Performance of Residual Income Valuation Model on the Taiwan Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/b9342r.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
106
This study extend the earnings forecast model of Hou et al. (2012) by adding non-operating income and extreme ROE proposed by Cheng (2005) to forecast the company’s future earnings. The RIVM (Residual Income Valuation Model) proposed by Frankel and Lee (1998) is used to estimate intrinsic value of TSE-listed and OTC-listed companies of Taiwan. The empirical results show that investment performance of investment portfolio constructed with RIVM in Taiwan’s stock market is significantly better than that of 0050 ETF. It can be inferred that such return is also superior to the market index. It is also found that RIVM has its applicability under IFRS. Besides, this study overcomes the restrictions in previous literatures that the company’s intrinsic value can only be estimated with RIVM by using earnings forecast data of the analyst. The findings provide reference to investors in investment portfolio construction, hoping to create higher investment performance for investors.
26
Wang, Lien-Fen, and 王蓮芬. "The Empirical Test of Residual Income Valuation Model with Linear Information Dynamics." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/61971662182952874995.
Full textAbstract:
碩士中原大學
會計研究所
94
Myers(1999) found that the residual income valuation model developed by Ohlson(1995), Feltham and Ohlson (1995,1996) was not verified in the stock market of the United States. This study intends to explore if the residual income valuation model can be applied to the stock market of Taiwan. This study estimates the parameters of the LIMs as a time series rather than in the cross-section because the parameters of the LIMs must be a function of the firms’ economic pressures, production technology and accounting policies. We have taken the listed companies in Taiwan from the first quarter of 1991 to the fourth quarter of 2001 as examples. The research results show as follows： 1.As to the linear information dynamics, Myers(1999) indicated that only part of the parameters estimated in LIM were supported. However, our study indicates that all parameters in LIM are supported oppositely. Hence, the limitations of LIM are more adequately useful in Taiwan’s stock market than that in the US. 2.Myers(1999) indicated that the firm value estimated by linear information dynamics is significantly less than the stock price. Such an understatement of value occurs because the negative intercept, and because the market fully captures the expectations of future RI. The models fail to capture the market’s expectations of future RI. The coefficients on the information variables in the price level regressions are not equivalent to the median valuation coefficients implied by the estimated coefficients in the linear information models. 3.As to the valuation model, this study regards non-financial indicators and competitive market structure variables as the other information of Ohlson model, which will significantly enhance the explaining capability towards the stock price. 4.As to the Conservatism coefficient, the Conservatism parameters estimated by LIM are fully capable of measuring the degree of conservativeness of a company’s accounting principle.
27
Hsiao-WeiWu and 吳曉維. "Analysis of Stock Intrinsic Value Using Residual Income Valuation Model as Investment Strategy." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/v94bf2.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
105
This study uses the residual income valuation model to estimate a firm’s (in the Taiwan market) fundamental value (V) and construct a portfolio based on the ratio of fundamental value and its market price (V/P).WE examine whether the buy and hold return of this portfolio is better or not than those of TSEC weighted index or Yuanta/P-shares Taiwan Dividend Plus ETF in the same period. The empirical results find that when we estimate a firm’s fundamental value based on its historical ROE, the V_h/P value can be a reliable indicator of future earnings. When we substitute historical ROE with forecasted earnings (V_f), which estimated by accounting-based earning forecasting model, the high V_f/P portfolio has superior return than the low V_f/P portfolio. Further, we calculate the abnormal returns relative to TSEC weighted index and find that the portfolio with higher V_f/P ratio could have higher abnormal returns. Finally, the result shows that when use V_f/P ratio as a strategy to build a portfolio, the buy-and–hold returns of the portfolio with higher V_f/Pratioare also higher than those of Yuanta/P-shares Taiwan Dividend Plus ETF.
28
Hsiao-TanYeh and 葉筱丹. "Applying Residual Income Valuation Model to Predict Cross-sectional Stock Returns:Evidence from Taiwan." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/a9ae3g.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
106
As for the Taiwan stock market, this study expands the earnings forecast model of Hou et al. (2012) and combines it to the Risidual Income Valuation Model (RIVM) by Frankel and Lee(1998), to estimate the intrinsic value (Vf) of the company and assess the predictive ability with the intrinsic value-to-stock price ratio (Vf/P) on future stock returns. According to the empirical results, the return of the portfolios for the highest Vf/P bought and held for 1 to 3 years is all superior to the return of 0050 Tracker Fund in the same period. When the portfolio is established with the highest Vf/P and the highest earnings quality which is further taken into consideration for the construction of portfolio. The results suggest that buying the portfolio and holding for a long time can good at obtaining higher excess returns. This study confirmed that RIVM has interpretive ability for the returns of stocks, which can be applied to the construction of portfolio in Taiwan securities market.
29
Hui-ChinTsai and 蔡惠琴. "Testing the Validity of Residual Income Valuation Model in Predicting Cross-sectional Stock Returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/773faq.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
106
Based on the residual income valuation model proposed by Frankel and Lee (1998), accompanied by earnings forecast model of Hou et al. (2012), this study additional incorporates four earnings quality signals into the explanatory variables of earning forecast model for the extended use to forecast company’s future earnings. We apply the RIVM to estimate the intrinsic value to test RIVM applicability to Taiwan stock market, construct portfolio with the V/P ratio and evaluate its forecast ability in stock returns. Our results show that RIVM evaluation mechanism is applicable to Taiwan stock market and the company’s intrinsic value evaluated by RIVM is highly correlated to stock price and has the forecast ability in stock returns. The optimum portfolio can be constructed according to V/P ratio and the return performance of this portfolio exceeds that of ETF 0050. If the earnings quality of the company’s financial statements is added to construct the portfolio, it can create the better return on investment.
30
Chun, Chen Yi, and 陳奕鈞. "Extended Dividend, Cash Flow, and Residual Income Valuation Models in Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/tsprms.
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Magalhães, João António Pizarro Monteiro de Meireles e. "Equity valuation : accounting for value, anchoring and speculation." Master's thesis, 2018. http://hdl.handle.net/10400.14/27616.
Full textAbstract:
Os modelos tradicionais de avaliação de ações, como por exemplo o
Dividend Discount Model e o Discounted Cash Flow, apresentam diversas
limitações. Segundo Graham (1973), o principal problema destes modelos reside
na incorporação de taxas de crescimento de longo-prazo, que os tornam
demasiado especulativos. Recentemente, Penman (2006) procurou contornar
este problema, tendo em consideração uma visão fundamentalista.
De acordo com esta visão, a avaliação deve-se, nos termos do autor,
ancorar, no que efetivamente se sabe acerca do valor da empresa a avaliar, e
separá-lo da especulação. Ora, se se deve fixar no que realmente se sabe acerca
do valor, Penman (2006) advoga que essa âncora reside no valor contabilístico.
Nesse contexto, o autor descreve um modelo de avaliação contabilístico, em
particular um Residual Income Model, com pressupostos muito específicos, como
o melhor modelo para debater esta problemática.
Assim sendo, o presente trabalho apresenta uma abordagem à objeção de
Graham (1973) sob esta perspetiva de Penman (2006), resumindo-se à avaliação
de um conjunto de empresas (no caso, uma amostra de empresas do DAX-30)
com base no Residual Income Model e posteriormente à interpretação dos
respetivos resultados de acordo com a teoria fundamentalista. Desta forma,
pretende-se encontrar um valor âncora para as ações de cada empresa da
amostra, e compará-lo com as percepções do mercado espelhadas no preço.
Deste modo, foram obtidos valores âncora (não especulativos) para as
ações de 22 empresas do DAX-30, sendo que se verificou um número
significativo de empresas com um valor âncora superior ao preço de mercado.The traditional stock valuation models, such as the Dividend Discount Model and the Discounted Cash Flow, present many limitations. According to Graham (1973), the main problem of these models lies in the incorporation of long-term growth rates, which in turn make them too speculative. Recently, Penman (2006) tried to finesse this problem, by considering a fundamentalist dictum. This fundamentalist dictum tells that one must anchor on what is known from the value of a firm, and separate it from speculation. Well, if it is to anchor on what is known, Penman (2006) claims that one shall anchor on accounting. In this context, the author describes an accrual-accounting Residual Income Model, with very specific assumptions, as the best model to address this problem. Thus, the present work provides an approach to the objection identified by Graham (1973), taking into account this perspective of Penman (2006), being summarized by the valuation of a set of firms (in this case, a sample of DAX-30 firms), based on the Residual Income Model, and an interpretation of the respective results according to the fundamentalist theory. Thereby, it is intended to find an anchor value for the shares of each sample firm and compare it with the market perceptions that are implicit in the share price. There were obtained anchor values for the shares of 22 firms from the DAX- 30, and there was a significative number of firms from the sample whose anchor share vaue (non-speculative) exceeded the market price.
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Afonso, Fábio Joaquim Gonçalves. "Equity valuation using accounting numbers : empirical analysis on different valuation methods estimates and how trimming affects explanatory power." Master's thesis, 2021. http://hdl.handle.net/10400.14/36797.
Full textAbstract:
This dissertation aims to investigate the performance of the Dividend Discount Model (DDM), the Residual Income Valuation Model (RIVM), the Discounted Cash-Flow Model (DCFM), and the multiples-based models (MBM), specifically the Forward Price to Earnings (P/E), when analysing a large sample analysis of US-listed firms. First analysis on the results indicates MBM as the most accurate model. A sensitivity analysis exposed the RIVM as the model most sensitive to changes in assumptions. Further sensitivity was made on the sample selection process where trimming was tested and proved to be reliable. Additionally, the role of Research and Development (R&D) was analysed as a possible reason for the difference between the outputs on the different valuation models, and how low-high-intensive R&D companies provide accurate intrinsic values. The analysis based on smaller samples for low-high R&D intensive firms found that high-intensive firms provided more accurate estimates. Further analysis on a small sample was conducted, where the investigation on the valuation methods used by analysts in equity valuation was compared with what literature suggests and with the large sample analysis results. The analysis on those reports indicated the MBM as the most essential for analysts on their valuations. After the multiples, DCFM was the model that comes up to be used more times in the reports. The analysis shows that the multiples model is the best model after both analyses of the large sample and analysts' reports.A presente dissertação tem como principal objetivo avaliar o comportamento do Dividend Discount Model (DDM), do Residual Income Valuation Model (RIVM), do Discounted Cash-Flow Model (DCFM) e também, do método de avaliação baseado em múltiplos, nomeadamente o Forward Price to Earnings (P/E), com base numa ampla amostra de todas as empresas listadas nos Estados Unidos entre 2005 e 2015. Resultados da primeira análise apontaram para o método dos múltiplos como o mais preciso. Uma análise de sensibilidade expôs o RIVM como o modelo mais sensível, no que concerne a alterações nas premissas. Adicionalmente, esta análise foi desenvolvida no processo de seleção da amostra em questão, em que o processo de trimming foi testado e provou ser superior. Ademais, o desempenho do Research & Development (R&D) foi analisado como possível razão para a diferença evidente entre os resultados dos diferentes modelos de avaliação e, para o facto das empresas de baixa-alta intensidade em R&D, concederem estimativas precisas ou não. A análise baseada em amostras menores para empresas baixa e alta intensidade de R&D concluiu que as empresas mais intensivas em R&D forneceram estimativas mais exatas. Consecutivamente, foi conduzido um caso de estudo onde a investigação sobre os métodos de avaliação utilizados por analistas, na avaliação do valor de empresas, foi comparada com a sugestões literárias e com os resultados da análise da amostra. O estudo destes relatórios, indicam o MBM como essencial para os analistas e as suas avaliações. Após o modelo de múltiplos, o DCFM foi considerado o modelo mais utilizado nos relatórios. A análise revela que, o modelo de múltiplos é o modelo preferível, após ambas as investigações, tanto na referente à amostra geral dos dados como nos relatórios dos analistas financeiros.
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Pereira, António Carlos Vidal de Beça. "Equity valuation using accounting numbers in high and low price to performance firms." Master's thesis, 2014. http://hdl.handle.net/10400.14/16648.
Full textAbstract:
The
surge
of
new
industries
in
the
economy
has
made
commonplace
a
situation
where
firms
are
trading
at
prices
greatly
superior
to
their
financial
performance.
In
such
conditions
doubts
may
arise
regarding
the
use
of
traditional
valuation
models
to
estimate
the
value
of
high
price
to
performance
firms.
This
dissertation
has
as
its
main
goal
to
determine
if
there
is
a
variation
in
terms
of
performance
by
traditional
valuation
models
when
applied
to
high
and
low
price
to
performance
firms.
Furthermore,
the
representation
of
performance
by
an
accounting
number
is
also
studied
in
order
to
determine
if
such
classification
results
in
significant
differences
across
firms.
It
is
found
that
when
price
to
operating
income
before
depreciation
(P/OI)
is
used
to
separate
firms
into
high
and
low
P/OI
sub-‐samples
more
significant
differences
between
sub-‐samples
arise
than
when
price
to
net
income
(P/NI)
is
used.
Moreover,
valuation
models
are
found
to
be
less
biased
and
more
accurate,
although
explaining
price
worse,
when
applied
to
high
P/OI
firms.
Finally,
relevant
differences
are
discovered
regarding
the
use
of
nonfinancial
information
to
represent
firm
performance
by
analysts
and
firms.
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Pedro, Cláudia Marina Aparício. "Bank Millenium SA capital group valuation: an applicationof equity models." Master's thesis, 2021. http://hdl.handle.net/10071/24146.
Full textAbstract:
The main purpose of this project is to conclude which valuation model is more appropriate to value
Bank Millennium so that it can be used in the future to decide whether invest or not in the bank.
To conclude about which model is more appropriate to value the bank, the difference between the
theoretical and market value is computed: the smallest the difference, the more appropriate the model
is.
The valuation approaches to be used are FCFE, Residual Income (RI), Bond Pricing and Relative
Valuation.
It can be concluded that the most appropriate model to value Bank Millennium is Relative Valuation
considering a combination of 2-year forward-looking PBV and PS ratios. Following this model, it can
be concluded that Bank Millennium’ shares at the end of the year 2020 were slightly undervalued.
The disregard of ESG issues, the assumptions made and the normal market trading may explain the
differences obtained between theoretical and market share.
To proceed with the Bank Millennium valuation, the data needed are 2018 up to 2020 Consolidated
Financial Statements and Annual Report. To run the DCF valuation, the starting point is the estimation
of the next 5 years cash flows, considering several assumptions. To get the final value of the bank, it is
needed to estimate the appropriate cost of capital (using CAPM) and then discount the cash flows to get
the present value. To pursue Relative Valuation it is needed to decide the peer group and obtain
information to compute the multiples.O principal objetivo deste projeto é concluir qual é o modelo de avaliação mais adequado para avaliar adequadamente o Bank Millennium, de forma a que esse modelo possa ser utilizado no futuro para investidores decidirem se investem ou não no banco. Para concluir sobre qual é o modelo mais apropriado para avaliar o banco, analisa-se a diferença entre o valor teórico e de mercado: quanto menor a diferença, melhor é o modelo. Os modelos de avaliação a serem utilizadas são FCFE, Residual Income (RI), Bond Pricing e Avaliação Relativa. Conclui-se que o modelo mais apropriado para avaliar o Bank Millennium é a Avaliação Relativa considerando uma combinação dos rácios PBV e PS previstos dos próximos 2 anos. Seguindo este modelo, concluí-se que as ações do Bank Millennium no final do ano de 2020 estão ligeiramente subvalorizadas. A desconsideração de questões ESG, os pressupostos assumidos e a negociação normal no mercado podem explicar as diferenças obtidas entre o valor teórico e de mercado de cada ação. Para proceder à avaliação do Bank Millennium, os dados necessários são as Demonstrações Financeiras e o Relatório de Contas consolidadas de 2018 a 2020. O ponto de partida é a estimativa dos cash flows dos próximos 5 anos, considerando vários pressupostos. Para obter o valor final do banco, é necessário estimar o custo de capital adequado (usando o CAPM) e descontar os cash flows para obter o valor atual. Para seguir a Avaliação Relativa é necessário escolher os pares, recolher informação e calcular os múltiplos.
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Sarmento, Gonçalo Leitão Fernandes de Morais. "Equity valuation using accounting numbers high vs. low proportion of intangibles in firms." Master's thesis, 2014. http://hdl.handle.net/10400.14/17291.
Full textAbstract:
The shift to a new economy places on intangible assets an indispensable instrument to
preserve the competitive positions of firms and their value creation process. Due to their
nature being difficult to define, the wealth created by intangible assets may not be fully
captured by the current accounting standards which are based on limited recognition
criteria. This paper sheds light on the importance of accounting information for
valuation and offers a study of how equity valuation models perform in measuring the
value of firms with high and low proportions of intangibles. To this end, a comprehensive
review of literature relevant to the matter of equity valuation using accounting numbers
is offered followed by the results of the analyses performed to a large and a small
samples of US and UK publicly traded firms. It is found that the separation of the samples
into firms with high and low proportions of intangibles produces in some cases evident
differences whilst in others there are no conclusive disparities. The RIVM is proven to
provide superior valuation performance when compared to the P/E multiple and some
tendencies in varying approaches to firm valuation by analysts, according to the extent
of intangible asset proportion, are observed yet not confirmed.
36
Yeh, Chao-Hui, and 葉兆輝. "Nonlinear Residual Income Model." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/53794244403138351031.
Full textAbstract:
博士國立中山大學
企業管理學系研究所
89
Nonlinear Residual Income Model Abstract Residual income has been proven to be a new approach of value relevance recently. The purpose of this study is to introduces residual income completely, and hopefully make some creativeness and contribution to residual income model. This paper is a both modeling and empirical study. In modeling, we have the following results： (1) Next period residual income is a nonlinear function of this period residual income, when we consider managers’ real option. (2) This study introduces “nonlinear residual income model” into Ohlson model, therefore firms’ value is a nonlinear function of this period residual income. (3) This paper develops an option-based valuation model. According to this paper, equity value consists of the expected value from maintaining current operations, plus the value of the (put) option to discontinue operations at date t+1, and value of the (call) option to expand operations at date t+1. Empirical tests based on 27,536 firm-year observations from 1991-99 supports the above predictions of (1) and (2). In addition to the traditional OLS, this paper applies a new statistical approach--Sliced Inversed Regression (SIR). By SIR, we identify that our data has nonlinear components. This paper provides an alternative choice of valuation model and suggests that future research should approach the basic of value drivers.
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Pei-JuLin and 林佩儒. "Forecasting Cross-sectional Stock Returns with Residual Income Valuation Model:Evidence from Taiwan." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/nb262d.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
106
Extending the earnings forecast model of Hou et al. (2012) by adding the proxies of economic rent added, this paper forecasted earnings of the company in future 1 to 3 years. We used Residual Income Valuation Model (RIVM) proposed by Frankel and Lee (1998) to estimate the fundamental value of the listed and OTC companies of Taiwan and selected those with higher value-to-price ratio (V/P) to establish portfolio. We inspect whether the return on investment of the portfolio buy-and-hold for a certain period of time is higher than that of 0050 of the same period and inspect the benefits of earnings quality of financial reports for the construction of investment portfolio performance with the use of RIVM. Besides, whether the portfolio constructed with high V/P still has better return on investment is tested additionally under IFRS. With the earnings forecast model as the basis, this paper avoided adopting forecasted earnings of analyst to evaluate problems produced by stocks of Taiwan, verifying that considering earnings quality of financial statements helps to improve portfolio performance; meanwhile, this paper finds that RIVM is still applicable to evaluation on stocks of Taiwan under IFRS.
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Patrão, Maria João Ligeiro. "Equity valuation using accounting numbers : a cross-industry analysis of equity valuation : theory and practice." Master's thesis, 2013. http://hdl.handle.net/10400.14/17335.
Full textAbstract:
This study presents an industry-level comparison of multiples-based and flows-based
equity valuation models for a dataset of 1,251 unique firms from the United States, in
the period 2006-2011. The purpose is to investigate which model performs best, and if
there are significant differences across industries. Models are compared in terms of
signed and absolute prediction errors, as well as the explanatory power of their
estimates, vis-à-vis contemporaneous stock prices. Across industries, forward price-toearnings
and an abnormal earnings growth model with no terminal value are rated as the
models with best fit in predicting market prices, on a risk-adjusted basis. This analysis
is complemented with a robustness assessment of peer selection criteria, finding that
Coarsened Exact Matching (CEM) – a systematic and more refined approach to identify
comparable firms – yields superior results for multiples-based models than traditional
peer selection methods. Further, it allows for measuring of the level of firm proximity.
The study concludes by comparing theoretical results with models used in practice by
financial analysts in the United Kingdom, documenting inconclusive results for the two
sampled industries – pharmaceutical and utilities.
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Pedro, Roberto. "Medidas de criação de valor : abordagens discounted cash flow e residual income na mensuração do valor." Master's thesis, 2017. http://hdl.handle.net/10400.14/31374.
Full textAbstract:
O valor e a forma apropriada de o determinar são temas centrais para a
gestão, tanto no momento de tomada de decisões de investimentos em ativos,
como em operações de fusão e aquisição de outras empresas ou até de avaliação
de desempenho da própria gestão de uma empresa.
Neste trabalho é desenvolvido um estudo comparativo das diversas
abordagens de avaliação de empresas, começando por uma revisão da
bibliografia relacionada com as diversas abordagens existentes.
Focando a análise nas diferenças, semelhanças e resultados obtidos pelas
abordagens Discounted Cash Flow e Residual Income, são aplicados os dois
modelos com pressupostos de custo de capital e crescimento comparáveis, a
uma amostra de dados financeiros de empresas cotadas do mesmo setor de
atividade (empresas europeias do setor automóvel). Os resultados obtidos pelas
duas abordagens são posteriormente comparados entre si e com o preço de
mercado das ações presentes na amostra.
Na parte final do trabalho é desenvolvida alguma discussão relativamente à
precisão das estimativas de valor geradas pelas duas abordagens, abrindo ainda
algumas possibilidades de investigação relacionada a explorar.Value and the appropriate way to determine it are topics of main importance in Management, be it at the moment of investment decisions in assets, in merger and acquisition operations of other companies, or even in the evaluation of the management’s performance in a company. In this article a comparative study is developed on several approaches to valuing a company, starting with a literature review of the theory concerning the different methods that exist. Focusing the quantitative analysis on the differences, similarities and results obtained by the approaches Discounted Cash Flow and Residual Income, both models are applied with comparable assumptions on cost of capital and growth, to a sample of financial data of listed companies, of a specific industry (European automotive companies). The results obtained are then compared between methods and with the market share price of the companies used in the sample. In the final part of the article some discussion is presented concerning the exactness of the value estimates of both approaches, which leads to other related investigation opportunities.
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Grilo, David José Sanches Esteves. "Modeling Goodwill for Eurozone Banks." Master's thesis, 2008. http://hdl.handle.net/10071/1334.
Full textAbstract:
A presente investigação pretende explicar a diferença entre o valor de mercado e o valor contabilístico de bancos comerciais, através de variáveis contabilísticas específicas.
Este estudo aplica o modelo proposto por Begley, Chamberlain e Li (2006) a uma amostra composta por bancos sedeados na Zona Euro. O modelo relaciona variáveis contabilísticas específicas de bancos com a diferença entre valor de mercado e valor contabilístico (goodwill), criando uma perspectiva do negócio da banca assente em actividades associadas a determinados activos e passivos.
O modelo identifica as actividades de concessão de crédito (CC) e de tomada de depósitos (TD) como determinantes na definição do goodwill, correspondentes ao papel tradicional da banca de intermediação financeira.
Os resultados empíricos demonstram que o goodwill dos bancos da Zona Euro deriva fundamentalmente da CC. Da TD não deriva valor para além do seu valor contabilístico, apesar de os rendimentos de serviços a clientes recebidos na forma de comissões incorporarem valor futuro, já que é esperado que o relacionamento entre os clientes e o banco perdure. Resultados sugerem que os serviços a clientes dos bancos da Zona Euro estão associados à CC em detrimento da TD.
Contudo, tal como observado em estudos anteriores, fica patente a indicação de que as actividades identificadas apresentam um alcance limitado sobre o negócio da banca, pois os activos e passivos operacionais designados não contemplam todos os itens não valorizados ao seu valor de mercado no balanço dos bancos. Esta conclusão aponta para a inclusão de futuras expansões do modelo.The present research aims to explain the difference between market and book value of banks, through bank-specific accounting measures. This study applies the theoretical model proposed by Begley, Chamberlain and Li (2006) on a sample composed by banks settled on Eurozone. Focused on banking business dynamics and its unique specificity, this line of work outstands against the prevalence of manufacturing settings on valuation research literature. The model relates banking-specific accounting measures with the difference between market and book value (which corresponds to goodwill), creating an activity-based perspective of banking business with associated financial assets and liabilities. The model identifies lending and borrowing activities as the key value drivers of goodwill, embodying the banking traditional role of financial intermediation of deposits/loans. Empirical proof states that Eurozone banks unrecorded value lies mostly on lending activity rather than on borrowing activity. Deposit taking does not endorse additional value beyond its book value, although fee income garnered through financial services provided to customers is recognized to incorporate future value, since it is expected that the relationship between the bank and the customer endures. Thus, results suggested that fee income of Eurozone banks is further associated with lending activity than with deposit taking activity. Nonetheless, as observed in previous research, empirical evidence shows that lending and borrowing activities encompass a limited scope of banking business, since designated operational assets and liabilities did not contemplate every item not marked-to-market on banks balance sheet. This conclusion points towards the inclusion of future modeling expansions.
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Kuo-FenShih and 石國芬. "Frankel and Lee (1998) Residual Income Model in Predicting Stock Return in Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/trd439.
Full textAbstract:
碩士國立成功大學
財務金融研究所碩士在職專班
105
This paper evaluates the usefulness of Frankel and Lee (1998) in Taiwan stock market. I estimate a firm’s fundamental value using the residual income valuation model and the earnings forecasts model to assess the intrinsic value of stock by Hou et al. (2012). These are done in order to estimate the relationship between the value-to-price ratios and expected stock returns in the Taiwan stock market. According to our results from one and three year periods, buy-and-hold returns from V/P strategies earned 20.45%, 35.58% and 45.82% abnormal returns; and buy-and-hold returns from higher V/P strategies also earned 14.17%, 23.79% and 26.51% abnormal returns, more than the ETF 0050 over those one and three year periods. In addition, we found abnormal returns, 26.73%, 44.85% and 57.36%, accompanying the high earnings quality and earnings forecasts model. This paper presents evidence that the earnings forecasts model can proxy for analysts’ forecasts in prior studies, and it provides an investment strategy for the stock market.
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Kuo, Chen-Yin, and 郭貞吟. "Two Essays on the Empirical Application of the Residual Income Model (RIM) in Taiwan Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/25554751698953692090.
Full textAbstract:
博士國立中正大學
企業管理所
97
Because the ability of the conventional Dividend Discount Model(DDM) in explaining stock price movement is criticized, some researchers proposed an alternative model－the Residual Income Model(RIM).They mostly found the RIM to perform better than the DDM. Therefore, this dissertation contains two essays on the empirical application of the RIM in Taiwan stock market. The purpose of the first essay is to examine the validity of the RIM in Taiwan. The purpose of the second essay is to analyze the response of stock price to structure information shocks based on the RIM. The dataset chosen by two essays contains all listing companies and five listing industries: electronic, finance, plastic＆chemical, electric machinery, and cement. Unlike past studies applying the regression model, the first essay employs VAR-based cross equation restriction tests proposed by Campbell and Shiller(1987). Because the tests based on RIM and VAR model proposed by Sim(1980) can avoid the problems from the regression model, and can examine the interaction of variables in multiple periods, this essay applies the tests to examine the validity of the RIM in Taiwan. The empirical findings show that for Taiwan stock valuation, when the first essay uses the Bivariate model, the RIM is valid. However, when using the Trivariate model, the RIM is not valid. The second essay links two variables of the RIM－residual income and stock price spread, and constructs the time series models, containing tangible and intangible information shocks. The purpose of this essay is to analyze whether Taiwan stock price behavior supports the overconfidence hypothesis proposed by Daniel et al.(1998). Does stock price variance result from tangible(fundamental) shocks or intangible (non-fundamental) shocks? Among the five industries, is there any difference in stock price behavior and stock price efficiency? The empirical findings are as follows. When using the Trivariate model and the dataset from the five industries, stock price under-reacts to tangible shocks and overreacts to intangible shocks. This finding supports the overconfidence hypothesis and improves the result of the Bivariate model. In addition, by forecast error variance decomposition, the result shows that stock price variance mainly results from tangible(fundamental) shocks, including residual income shock, earnings shock, and cost of equity capital shock from the RIM. The finding means that the RIM is valid for Taiwan stock valuation. Also, after comparing the five industries, the result shows that there is no significant difference in stock price behavior. As for stock price efficiency, finance and plastic＆chemical industries are the highest, and cement industry is the lowest. This finding can also help investors to choose their stock transactions strategies.
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Hang, Tao, and 黃道. "The Evaluation for the Listed Firms' Basement Value of Taiwan Stock Exchange Corporation: The Perspective of Residual Income Model." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/57236050364342278671.
Full textAbstract:
碩士中原大學
企業管理研究所
91
Recently, with the diversity of stock market and the chaos of market order, valuation is becoming an important issue for investors. In this thesis, we will try to understand the basement value of ”Taiwan Fifty Index” by using Ohlson’s “Residual Income Model”. According to the thesis, we found that： 1.In the aspect of forecasting ability, basement value to real price（V/P）is more suitable for long-term forecast of industrial rate of return；comparatively speaking, book value to real price（B/P）is more suitable for short-term forecast. 2.In the aspect of industrial application, is suitable for the forecast of long-term rate of return for all industries except financial industry and fundamental industry；B/P is a good reference in short-term for all industry；sales to real price（S/P）is better for financial industry and fundamental industry；equity to price（E/P）is more suitable for the electronic industry and cycle and non-cycle consumptive industry in the short-term. 3.After considering the growth rate of nominal GNP, deposit rate and the growth rate of trade, we found that forecasting ability of V/P is affected slightly in the short-term, and without any influence in the long-term. 4.According to the results of regression analysis, we found that the growth rate of nominal GNP is vital for all kinds of industries；and deposit rate is an important factor for financial industry either in short period or long period；the growth rate of trade is not a good index for the forecast of rate of return.
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Lao, Yi Yi. "Does earnings guidance contribute to investor short-termism?" 2013. http://hdl.handle.net/2152/21622.
Full textAbstract:
This study examines whether earnings guidance contributes to investor short-termism -- excessive focus on a firm's short term performance and insufficient consideration of its long-term value creation potential. Using an adaptation of Ohlson's (1995) valuation model, I find that investors place significantly higher (lower) weight on short-term (long-term) earnings of quarterly guidance firms than on the corresponding earnings of non-guidance firms. Further tests indicate that the differential weighting cannot be fully explained by measurement errors, earnings properties, risk, or accuracy of analysts' forecasts. For a sample of guidance initiating firms, I find no differential valuations of firm value components before the initiation of guidance, but large differential valuations after guidance initiation. In contrast, for guidance discontinuation firms, I find that investors shift their focus from short-term to long-term earnings after the discontinuation of guidance. Together, the results support critics' claim that quarterly guidance contributes to short-term fixation in the market.text