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Monetary Policy and Stock Market Valuation
In: International Journal of Central Banking, forthcoming
SSRN
Monetary Policy and Stock Market Valuation
In: Bank of Finland Research Discussion Paper No. 16/2020
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Working paper
Monetary Policy and Stock Market Valuation
In: Bank of Finland Research Discussion Papers, 16, 2020
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Working paper
Inter-firm collaboration: valuation, contracting, and firm restructuring
In: Gabler Edition Wissenschaft
In: Innovation und Entrepreneurship
Corporate investment and stock market valuation
In: Journal of Business Finance &; Accounting
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Stock Valuation and Learning About Profitability
In: NBER Working Paper No. w8991
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Corporate governance and firm valuation
In: Journal of accounting and public policy, Band 25, Heft 4, S. 409-434
ISSN: 0278-4254
Stock Market Valuation and Output Growth in India
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Working paper
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The stock market valuations of R and D and electronics firms during Taiwan's recent economic transition
In: The developing economies, Band 44, Heft 1, S. 53-78
ISSN: 0012-1533
The objective of this paper is to study the market valuation of R&D investments in the Taiwan stock market from July 1988 to June 2002. The motivation stems from Taiwan's recent economic transition from a labor-intensive, then to a capital-intensive, and currently to a technology-based economy. The results support not only the existence but also the persistence of R&D-associated mispricing. More importantly, it has become stronger as the electronics industry gradually dominates the economy. Firstly, R&D-intensive stocks tend to outperform stocks with little or no R&D. Secondly, the R&D-intensity effect cannot fully be attributed to firm size. Thirdly, the R&D-intensity effect is more pronounced for firms in the electronics industry after 1996. (Dev Econ/GIGA)
World Affairs Online
Valuation and Returns on Stock Return Volatility
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Working paper
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Working paper
Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility
In: NBER Working Paper No. w27367
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Working paper
A GENERALIZED EARNINGS‐BASED STOCK VALUATION MODEL
In: The Manchester School, Band 73, Heft s1, S. 1-31
ISSN: 1467-9957
This paper provides a model for valuing stocks that takes into account the stochastic processes for earnings and interest rates. Our analysis differs from past research of this type in being applicable to stocks that have a positive probability of zero or negative earnings. By avoiding the singularity at the zero point, our earnings‐based pricing model achieves improved pricing performance. The out‐of‐sample pricing performance of the generalized earnings valuation model (GEVM) and the Bakshi and Chen pricing model are compared on four stocks and two indices. The generalized model has smaller pricing errors and greater parameter stability. Furthermore, deviations between market and model prices tend to be mean‐reverting using the GEVM model, suggesting that the model may be able to identify stock market misvaluation.