Dividend discount, discounted cash flow and residual income model mispricing ratios, and stock return prediction : value line evidence / by Stephen H.L. Yip.

Yip, Stephen H. L. (2000). Dividend discount, discounted cash flow and residual income model mispricing ratios, and stock return prediction : value line evidence / by Stephen H.L. Yip. Master's Thesis, School of Business, The University of Queensland.

       
Attached Files (Some files may be inaccessible until you login with your UQ eSpace credentials)
Name Description MIMEType Size Downloads
THE14854.pdf Full text application/pdf 3.19MB 1
Author Yip, Stephen H. L.
Thesis Title Dividend discount, discounted cash flow and residual income model mispricing ratios, and stock return prediction : value line evidence / by Stephen H.L. Yip.
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2000
Thesis type Master's Thesis
Total pages 79
Language eng
Subjects 14 Economics
Formatted abstract The empirical application of the residual income model and its relationship with future stock price has been a topical area of research recently. Researchers have formed mispricing ratios by dividing the residual income model estimate of intrinsic value by the current price of the firm. Recent studies find that this mispricing ratio has been useful in predicting future stock returns. This research aims to re-examine the ability of an intrinsic value mispricing ratio to predict future stock returns. The current research is extended by the use of the residual income model, the discounted cash flow model and the dividend discount model to derive intrinsic value. A secondary aim of this research is to examine whether the three valuation models, that are theoretically equivalent, generate the same abnormal returns. The three intrinsic value mispricing ratios are unable to generate three-year abnormal returns over the period of 1993-1997. However, when the individual years are examined, positive abnormal returns accrue for the period of 19931994. This thesis conclusively establishes that the three intrinsic value estimates generate the same abnormal returns, when operationalised in a consistent manner.

 
Citation counts: Google Scholar Search Google Scholar
Access Statistics: 183 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Tue, 16 Nov 2010, 16:43:09 EST by Mr Kevin Liang on behalf of The University of Queensland Library