O principal objetivo da dissertação é verificar se é possível superar o principal índice acionário brasileiro (Ibovespa) no longo prazo utilizando indicadores relativos (múltiplos de mercado), baseados em dados passados ou projetados. Foram escolhidos quatro indicadores, advindos de uma pesquisa com relatórios de 33 instituições que operam no mercado brasileiro e na disponibilidade de dados históricos e projetados. São eles: Preço/Lucro (P/L), Enterprise Value/Ebitda (EV/Ebitda), Preço/Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL). A comparação entre portfolios passados e projetados procura verificar se é válido o que o mercado aplica na prática, de melhor performance dos dados futuros em relação aos históricos. Considerando limitações inerentes ao mercado financeiro e ao período da pesquisa, os resultados sugerem que é possível obter um desempenho superior ao principal benchmark nacional, o Ibovespa, principalmente usando carteiras de Valor baseadas em menor Preço/Lucro (P/L) projetado e/ou passado. Os indicadores de menor Preço/ Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL) desempenharam bem, inclusive acima do Ibovespa, contudo foram estatisticamente menos significantes do que o P/L em diversos testes. Em relação ao múltiplo EV/Ebitda, os resultados para o portfolio de menor índice projetado foram um tanto quanto decepcionantes. O segundo indicador mais utilizado pelo mercado não teve significância estatística em seus retornos se comparado com zero. A montagem de portfolios considerou um caso base com 12 ações igualmente ponderadas. Também foram feitas sensibilidades de porfolios compostos de diferentes números de ações, bem como com ponderação por valor de mercado, exames de consistência através de portfolios randômicos e testes de retornos diários/mensais. / The main goal of this dissertation is to verify if it is possible to outperform the Brazilian stock index (Ibovespa) over the long term using relative valuation, based on past and predicted data. It was chosen four market multiples, according to a survey done with 33 brazilian investment firms: Price/Earnings (P/E), Enterprise Value/Ebitda (EV/Ebitda), Price/Book (P/B) and Enterprise Value/Net Sales (EV/Sales). Considering the limitation of time and data availability, the results suggest that it is possible to beat the market index using relative valuation, mainly with projected and past Value Price/Earnings portfolios. The P/B and EV/sales portfolios also had a good performance, but in smaller proportion when compared against P/E. Regarding to EV/Ebitda, the results were a little disappointing as the pure returns were not statistically different from zero. The base case portfolios were compounded by 12 stocks equally weighted. It was also run a sensitivity analysis using portfolios with different compositions (ranging from 5 to 18 stocks), randon portfolios and with value weighted.

This thesis is concerned with valuation of a firm. The Theoretic part contains a brief description of the valuation methods most commonly used at the present time and a procedure of valuation. The main part of the thesis focuses on application of yield pricing methods. The object of this thesis is to find out a value of Vodafone Czech Republic a.s. company by using Price-Earnings and Discounted Cash Flow methods. Macro and micro analysis together with financial analysis and financial plan create a good base for valuation. Finally, the work compares results derived from these methods and it assesses its suitability.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The price earnings multiple is a ratio of valuation and is published widely in the media as a comparative instrument of investment decisions. It is used to compare company valuation levels and their future growth/franchise opportunities. There have been numerous research studies done on the price earnings multiple, but no study has been able to design or derive a model to successfully predict the future price earnings multiple where the current stock price and following year-end earnings per share is used. The most widely accepted method of share valuation is to discount the future cash flows by an appropriate discount rate. Popular and widely used stock valuation models are the Dividend Discount Model and the Gordon Model. Both these models assume that future dividends are cash flows to the shareholder. Thomas K. Philips, the chief investment officer at Paradigm Asset Management in New York, constructed a valuation model at the end of 1999, which he published in The Journal of Portfolio Management. The model (Philips price earnings multiple model) was derived from the Dividend Discount Model and calculates an implied future price earnings multiple. The Philips price earnings multiple model includes the following independent variables: the cost of equity, the return on equity and the dividend payout ratio. Each variable in the Philips price earnings multiple model is a calculated present year-end point value, which was used to calculate the implied future price earnings multiple (present year stock price divided by following year-end earnings per share). This study used a historical five year (1995-2000) year-end data to calculate the implied and actual future price earnings multiple. Out of 225, Johannesburg Stock Exchange listed companies studied, only 36 were able to meet the criteria of the Philips price earnings multiple model. Correlation and population mean tests were conducted on the implied and constructed data sets. It proved that the Philips price earnings multiple model was unsuccesful in predicting the future price earnings multiple, at a statistical 0,20 level of significance. The Philips price earnings multiple model is substantially more complex than the Discount Dividend Model and includes greater restrictions and more assumptions. The Philips price earnings multiple model is a theoretical instrument which can be used to analyse hypothetical (with all model assumptions and restrictions having been met) companies. The Philips price earnings multiple model thus has little to no applicability in the practical valuation of stock price on Johannesburg Stock Exchange listed companies. / AFRIKAANSE OPSOMMING: Die prysverdienste verhouding is 'n waarde bepalingsverhouding en word geredelik gepubliseer in die media. Hierdie verhouding is 'n maatstaf om maatskappye se waarde vlakke te vergelyk en om toekomstige groei geleenthede te evalueer. Daar was al verskeie navorsingstudies gewy aan die prysverdiensteverhouding, maar nog geen model is ontwikkel wat die toekomstige prysverdiensteverhouding (die teenswoordige aandeelprys en toekomstige jaareind verdienste per aandeel) suksesvol kon modelleer nie. Die mees aanvaarbare metode vir waardebepaling van aandele is om toekomstige kontantvloeie te verdiskonteer teen 'n toepaslike verdiskonteringskoers. Van die vernaamste en mees gebruikte waardeberamings modelle is die Dividend Groei Model en die Gordon Model. Beide modelle gebruik die toekomstige dividendstroom as die toekomstige kontantvloeie wat uitbetaal word aan die aandeelhouers. Thomas K. Philips, die hoof beleggingsbeampte by Paradigm Asset Management in New York, het 'n waardeberamingsmodel ontwerp in 1999. Die model (Philips prysverdienste verhoudingsmodei) was afgelei vanaf die Dividend Groei Model en word gebruik om 'n geïmpliseerde toekomstige prysverdiensteverhouding te bereken. Die Philips prysverdienste verhoudingsmodel sluit die volgende onafhanklike veranderlikes in: die koste van kapitaal, die opbrengs op aandeelhouding en die uitbetalingsverhouding. Elke veranderlike in hierdie model is 'n berekende teenswoordige jaareinde puntwaarde, wat gebruik was om die toekomstige geïmpliseerde prysverdiensteverhouding (teenswoordige jaar aandeelprys gedeel deur die toekomstige verdienste per aandeel) te bereken. In hierdie studie word vyf jaar historiese jaareind besonderhede gebruik om die geïmpliseerde en werklike toekomstige prysverdiensteverhouding te bereken. Van die 225 Johannesburg Effektebeurs genoteerde maatskappye, is slegs 36 gebruik wat aan die vereistes voldoen om die Philips prysverdienste verhoudingsmodel te toets. Korrelasie en populasie gemiddelde statistiese toetse is op die berekende en geïmpliseerde data stelle uitgevoer en gevind dat die Philips prysverdienste verhoudingsmodel, teen 'n statistiese 0,20 vlak van beduidenheid, onsuksesvol was om die toekomstige prysverdiensteverhouding vooruit te skat. Die Philips prysverdienste verhoudingsmodel is meer kompleks as die Dividend Groei Model met meer aannames en beperkings. Die Philips prysverdienste verhoudingsmodel is 'n teoretiese instrument wat gebruik kan word om hipotetiese (alle model aannames en voorwaardes is nagekom) maatskappye te ontleed. Dus het die Philips prysverdienste verhoudingsmodel min tot geen praktiese toepassingsvermoë in die werkilke waardasie van aandele nie.

No description available.

This thesis aims to provide new insights into the importance of decomposing aggregate time series data using the Maximum Overlap Discrete Wavelet Transform. In particular, the analysis throughout this thesis involves decomposing aggregate financial time series data at hand into approximation (low-frequency) and detail (high-frequency) components. Following this, information and hidden relations can be extracted for different investment horizons, as matched with the detail components. The first study examines the ability of different GARCH models to forecast stock return volatility in eight international stock markets. The results demonstrate that de-noising the returns improves the accuracy of volatility forecasts regardless of the statistical test employed. After de-noising, the asymmetric GARCH approach tends to be preferred, although that result is not universal. Furthermore, wavelet de-noising is found to be more important at the key 99% Value-at-Risk level compared to the 95% level. The second study examines the impact of fourteen macroeconomic news announcements on the stock and bond return dynamic correlation in the U.S. from the day of the announcement up to sixteen days afterwards. Results conducted over the full sample offer very little evidence that macroeconomic news announcements affect the stock-bond return dynamic correlation. However, after controlling for the financial crisis of 2007-2008 several announcements become significant both on the announcement day and afterwards. Furthermore, the study observes that news released early in the day, i.e. before 12 pm, and in the first half of the month, exhibit a slower effect on the dynamic correlation than those released later in the month or later in the day. While several announcements exhibit significance in the 2008 crisis period, only CPI and Housing Starts show significant and consistent effects on the correlation outside the 2001, 2008 and 2011 crises periods. The final study investigates whether recent returns and the time-scaled return can predict the subsequent trading in ten stock markets. The study finds little evidence that recent returns do predict the subsequent trading, though this predictability is observed more over the long-run horizon. The study also finds a statistical relation between trading and return over the long-time investment horizons of [8-16] and [16-32] day periods. Yet, this relation is mostly a negative one, only being positive for developing countries. It also tends to be economically stronger during bull-periods.

Bakgrund: Åren 86-97 kännetecknas som en period med flera stora reformer och en svensk konjunktur som nådde sin botten med tre år i följd av negativ BNP-tillväxt. Påtagligt var även reaktionen från Stockholmsbörsen som i samband med lågkonjunkturen upplevde en kraftig nedgång. Vad drev då denna avkastningsutveckling, vinsterna eller värderingarna av dessa? Hur såg sambandet ut mellan konjunktur, bolagsvinster, vinstvärderingar och börsutveckling för perioden? Syfte: Syftet med denna uppsats, på uppdrag av Melker Schörling AB, är att studera avkastningsutveckling, bolagsvinster och P/E-multiplar över en konjunkturcykel för att analysera till vilken grad multipelexpansion/kontraktion kontra vinsttillväxt drivit avkastningen för olika branscher på Stockholmsbörsen. I ett andra skede utreds huruvida prognoser för P/E-tal och branschvinster på Stockholmsbörsen korrelerat med konjunkturen samt även hur EBITDA- och vinstmarginaler inverkat på aktievärderingar under tidsperioden. Utifrån studiens resultat kommer eventuella lärdomar kopplas till dagens konjunkturella situation. Genomförande: Insamlat datamaterial i form av siffror och nyckeltal utgår från Affärsvärldens tidsskrifter och årsböcker med början 1986 och slut 1997. Utifrån dessa har, för studien, relevanta beräkningar dessutom gjorts. Resultat: Studien av Stockholmsbörsen 86-97, där handelsbranschen genomled konjunkturnedgången bäst, visar inte på att konjunkturen spelar roll för avkastningsutvecklingen. Vinstprognoserna drev avkastningen under lågkonjunkturen medan vinstvärderingarna dämpade nedgången. Genomgående ökade vinstvärderingarna under lågkonjunkturen till följd av att vinstprognoserna föll mer än kursen. Studien visar på att dessa ökade vinstvärderingar innehöll överskattade vinstförväntningar. Innan börsnedgången befann sig P/E-talen på relativt låga nivåer och när utväxlingen i samband med lågkonjunkturens slut skedde var P/E-talen höga, vilket ifrågasätter huruvida P/E-talet egentligen är representativt under en lågkonjunktur samt dess förmåga att indikera på risk. Prognostiserat P/E-tal korrelerar väl med faktiskt P/E-tal men det faktiska fluktuerar i större grad. Marginalerna, som korrelerar negativt med vinstvärderingarna, uppvisar en laggningseffekt gentemot omsättningen. / Background: The years 86-97 are characterized as a period with many big reformations when the Swedish economy reached its bottom with three years in a row with negative GDP. The reaction from the Swedish stock market was substantial and Stockholmsbörsen went through a heavy bearish period. What was it that drove this stock return, the expected earnings or the valuation of them? What was the connection between the business cycle, earnings, valuations and stock return for this particular period? Aim: The aim of the thesis, on behalf of Melker Schörling AB, is to study stock return, company earnings and price-earnings ratios during a business cycle in order to analyse to what extent multiple expansion/contraction versus earnings growth have driven stock return for the different branches on Stockholmsbörsen. In a second stage we observe how estimates of branches’ price-earnings ratios and earnings correlate with the business cycle and what impact EBITDA and pre-tax profit margin have on valuation during the period. Based on the result of the thesis, contingent knowledge will be related to today’s economic situation. Completion: The data, consisting of figures and ratios, is collected from magazines and yearbooks of Affärsvärlden starting 1986 and ending 1997. With the help of these, relevant calculations have been made. Result: This study of Stockholmsbörsen during the years 86-97, where the consumer-goods index had the best performance, shows that the business cycle has no impact on the stock return. The earnings estimates drove the stock return during the economic slump of 91-93 while the valuations tempered the fall. Through the economic slump the valuations became higher due to the fact that the earnings estimates fell more than the stock return. The study also shows that the increased valuations consisted of overestimated earnings estimates. Before the stock market fell the price-earnings ratios were at relatively low levels and when bull period begun in the end of the economic slump the ratios were high. This fact questions whether the price-earnings ratio is representative during an economic slump and if the ratio indicates risk accurately. Forward PE correlates positively with current PE, but the current PE is more volatile. Margins, which correlate negatively with valuations, indicate a lagging effect towards sales growth.

<p>Bakgrund: Åren 86-97 kännetecknas som en period med flera stora reformer och en svensk konjunktur som nådde sin botten med tre år i följd av negativ BNP-tillväxt. Påtagligt var även reaktionen från Stockholmsbörsen som i samband med lågkonjunkturen upplevde en kraftig nedgång. Vad drev då denna avkastningsutveckling, vinsterna eller värderingarna av dessa? Hur såg sambandet ut mellan konjunktur, bolagsvinster, vinstvärderingar och börsutveckling för perioden?</p><p>Syfte: Syftet med denna uppsats, på uppdrag av Melker Schörling AB, är att studera avkastningsutveckling, bolagsvinster och P/E-multiplar över en konjunkturcykel för att analysera till vilken grad multipelexpansion/kontraktion kontra vinsttillväxt drivit avkastningen för olika branscher på Stockholmsbörsen.</p><p>I ett andra skede utreds huruvida prognoser för P/E-tal och branschvinster på Stockholmsbörsen korrelerat med konjunkturen samt även hur EBITDA- och vinstmarginaler inverkat på aktievärderingar under tidsperioden. Utifrån studiens resultat kommer eventuella lärdomar kopplas till dagens konjunkturella situation.</p><p>Genomförande: Insamlat datamaterial i form av siffror och nyckeltal utgår från Affärsvärldens tidsskrifter och årsböcker med början 1986 och slut 1997. Utifrån dessa har, för studien, relevanta beräkningar dessutom gjorts.</p><p>Resultat: Studien av Stockholmsbörsen 86-97, där handelsbranschen genomled konjunkturnedgången bäst, visar inte på att konjunkturen spelar roll för avkastningsutvecklingen. Vinstprognoserna drev avkastningen under lågkonjunkturen medan vinstvärderingarna dämpade nedgången. Genomgående ökade vinstvärderingarna under lågkonjunkturen till följd av att vinstprognoserna föll mer än kursen. Studien visar på att dessa ökade vinstvärderingar innehöll överskattade vinstförväntningar. Innan börsnedgången befann sig P/E-talen på relativt låga nivåer och när utväxlingen i samband med lågkonjunkturens slut skedde var P/E-talen höga, vilket ifrågasätter huruvida P/E-talet egentligen är representativt under en lågkonjunktur samt dess förmåga att indikera på risk. Prognostiserat P/E-tal korrelerar väl med faktiskt P/E-tal men det faktiska fluktuerar i större grad. Marginalerna, som korrelerar negativt med vinstvärderingarna, uppvisar en laggningseffekt gentemot omsättningen.</p> / <p>Background: The years 86-97 are characterized as a period with many big reformations when the Swedish economy reached its bottom with three years in a row with negative GDP. The reaction from the Swedish stock market was substantial and Stockholmsbörsen went through a heavy bearish period. What was it that drove this stock return, the expected earnings or the valuation of them? What was the connection between the business cycle, earnings, valuations and stock return for this particular period?</p><p>Aim: The aim of the thesis, on behalf of Melker Schörling AB, is to study stock return, company earnings and price-earnings ratios during a business cycle in order to analyse to what extent multiple expansion/contraction versus earnings growth have driven stock return for the different branches on Stockholmsbörsen.</p><p>In a second stage we observe how estimates of branches’ price-earnings ratios and earnings correlate with the business cycle and what impact EBITDA and pre-tax profit margin have on valuation during the period. Based on the result of the thesis, contingent knowledge will be related to today’s economic situation.</p><p>Completion: The data, consisting of figures and ratios, is collected from magazines and yearbooks of Affärsvärlden starting 1986 and ending 1997. With the help of these, relevant calculations have been made.</p><p>Result: This study of Stockholmsbörsen during the years 86-97, where the consumer-goods index had the best performance, shows that the business cycle has no impact on the stock return. The earnings estimates drove the stock return during the economic slump of 91-93 while the valuations tempered the fall. Through the economic slump the valuations became higher due to the fact that the earnings estimates fell more than the stock return. The study also shows that the increased valuations consisted of overestimated earnings estimates. Before the stock market fell the price-earnings ratios were at relatively low levels and when bull period begun in the end of the economic slump the ratios were high. This fact questions whether the price-earnings ratio is representative during an economic slump and if the ratio indicates risk accurately. Forward PE correlates positively with current PE, but the current PE is more volatile. Margins, which correlate negatively with valuations, indicate a lagging effect towards sales growth.</p>

The disclosure of headline earnings is one of the JSE Limited (JSE)’s listing requirements. All listed entities are required to comply with this disclosure requirement. Guidance in the form of The Circular on headline earnings is issued by the South African Institute of Chartered Accountants (SAICA), and is updated every time when there are changes to the International Financial Reporting Standards (IFRS). The Circular adopts a rules-based approach and specifies what is included and excluded in the calculation of headline earnings. The rules consist of general rules, which apply to all entities other than those industry groups with special provisions such as the life insurance entities. This study questions whether a rules-based headline earnings approach or a principles-based approach is more appropriate for the calculation of headline earnings of listed property entities on the JSE, for economic decision-making purposes. The research method consisted of questionnaires that were sent out to stakeholders. The responses from the CFOs and investment analysts show that principles-based headline earnings guidance is preferred over rules-based headline earnings guidance. / Business Management / M. Phil (Accounting Sciences)

本研究探討我國於2004年發佈之第35號財務會計準則公報，有關『資產減損之會計處理準則』。35號公報要求企業必須評估公司資產之價值，以避免資產價值之虛列，增加資產價值資訊之透明度。本研究就公開資訊之揭露與資訊透明度的觀點，探討與資產減損有關的三項議題：(1)資產減損之股價反應幅度與公司特質及減損資產類別的關聯性；(2)資產減損對分析師盈餘預測特性之影響；(3)資產減損對本益比之影響。本文之研究結果顯示：(1)對於提前於2004年年報適用的樣本與準時於2005年第一季季報適用的樣本，公司特質變數與股價反應幅度的關聯性有不同；而減損資產類別變數與股價反應幅度則未有顯著之關係；(2)相較於同產業且資產總額接近之未宣告認列資產減損的控制組公司，宣告認列資產減損之公司，其分析師盈餘預測之離散性與預測誤差降低；並且公司揭露認列的減損比率愈大，其分析師間盈餘預測的離散性及預測誤差愈小；(3)在與同產業且資產總額接近之未宣告認列資產減損之控制組公司相較下，宣告認列資產減損之公司，其減損認列後的本益比較減損認列前的期間為高，且認列減損之比率愈大者，其認列減損之後的本益比愈高。這些結果顯示35號公報之公布實施，強制規定公司全面檢視資產或重大投資之潛在未實現損失，將有助於增加資產及盈餘資訊之透明度與穩健性，並提高了分析師對公司盈餘預測能力及市場對公司盈餘資訊之評價。 / This paper studies the effects of the implementation of Statement on Financial Accounting Standards (hereafter, SFAS No. 35) in 2004 on “Accounting for Asset Impairments”. SFAS No. 35 requires that the company has to assess its assets to reflect the potential unrealized losses of assets and improve the transparency of the value of assets in financial statements. From the viewpoints of the disclosure on public information and the transparency of financial statements, this study examines the following three issues related to the asset write-offs: (a) how is the association between the magnitude of market reaction to write-off announcements, firms’ characteristic, and the categories of the asset written-off? (b) what is the impact of asset write-offs on analysts’ forecast dispersion and errors? (c) what is the impact of asset write-offs on price/earnings ratios? The results show that the magnitudes of market reaction in the early adoption samples in 2004 financial statements are different from that in the timely adoption samples in first quarter of 2005’s financial statement. However, The magnitudes of market reactions to the write-off are not significantly associated with categories of asset written-off. Furthermore, compared to control sample of non-adopting firms in the same industry and with similar total assets, the adopting firms have less analysts’ earnings forecast dispersion and errors. And, the larger the asset write-offs, the smaller the analysts’ earnings forecast dispersion and errors. Finally, the adopting firms have larger price/earnings ratios after the asset write-offs than control sample. The larger proportions of asset write-offs to total assets, the larger the price/earnings ratios after the firm the asset write-offs. Accordingly, the above evidence indicates that the reports implementations of SFAS No. 35 improves the transparency and conservatism of assets and earnings information, and to increase the valuations of earnings in the stock market in that the adopting firms are required to evaluate the potential unrealized losses on their long-lived assets and investments.

The disclosure of headline earnings is one of the JSE Limited (JSE)’s listing requirements. All listed entities are required to comply with this disclosure requirement. Guidance in the form of The Circular on headline earnings is issued by the South African Institute of Chartered Accountants (SAICA), and is updated every time when there are changes to the International Financial Reporting Standards (IFRS). The Circular adopts a rules-based approach and specifies what is included and excluded in the calculation of headline earnings. The rules consist of general rules, which apply to all entities other than those industry groups with special provisions such as the life insurance entities. This study questions whether a rules-based headline earnings approach or a principles-based approach is more appropriate for the calculation of headline earnings of listed property entities on the JSE, for economic decision-making purposes. The research method consisted of questionnaires that were sent out to stakeholders. The responses from the CFOs and investment analysts show that principles-based headline earnings guidance is preferred over rules-based headline earnings guidance. / Business Management / M. Phil. (Accounting Sciences)