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The effects of persistence, growth, and conservative accounting on the association of accounting information with market value /Bryan, Daniel Mitchell, January 2002 (has links)
Thesis (Ph. D.)--University of Oregon, 2002. / Typescript. Includes vita and abstract. Includes bibliographical references (leaves 93-96). Also available for download via the World Wide Web; free to University of Oregon users.
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The cross-sectional relationship between the fundamental variables and returns of Hang Seng Index constituent stocks of Hong Kong stock market.January 1996 (has links)
by Ho Man Shing, William. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 41-42). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.iii / LIST OF FIGURE --- p.v / LIST OF TABLES --- p.v / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Objectives of Research Project --- p.2 / Chapter II. --- LITERATURE REVIEW --- p.4 / Research work in the U. S --- p.4 / Research work in Japan and H. K --- p.5 / Chapter III. --- METHODOLOGY --- p.7 / Research design --- p.9 / Formation of portfolios --- p.10 / Univariate Analysis --- p.11 / Regression Analysis --- p.11 / Data collection --- p.12 / Chapter IV. --- RESULTS --- p.13 / Univariate analysis of returns and fundamental variables --- p.13 / Regression analysis of returns and fimdamental variables --- p.17 / Security level regression analysis of returns and fimdamental variables --- p.17 / Portfolio level regression analysis of returns and fundamental variables (ranked by different fundamental variables) --- p.21 / Portfolio level regression analysis of returns and fundamental variables (ranked by two different fundamental variables) --- p.27 / Effects of order of agglomeration and different combinations --- p.30 / Chapter V. --- SUMMARY AND CONCLUDING REMARKS --- p.37 / BIBLIOGRAPHY --- p.41 / APPENDICES / Chapter A --- List of Hang Seng Index Constituent Stocks during 1989 to1994 / Chapter B --- Print-out of the Regression Results at Security Level / Chapter C --- Print-out of the Regression Results at Portfolio Level (E/P then LS) / Chapter D --- Print-out of the Regression Results at Portfolio Level (LS then E/P)
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The effects of tracking stock issuances on operating performance, shareholder wealth, and the informativeness of accounting fundamentals /Woodland, Angela M. January 2001 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 70-71). Also available on the Internet.
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The effects of tracking stock issuances on operating performance, shareholder wealth, and the informativeness of accounting fundamentalsWoodland, Angela M. January 2001 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 70-71). Also available on the Internet.
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An examination of stock market properties : vector autoregression approach /Jeon, Kyung-Seong, January 1997 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 147-152). Also available on the Internet.
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An examination of stock market properties vector autoregression approach /Jeon, Kyung-Seong, January 1997 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1997. / Typescript. Vita. Includes bibliographical references (leaves 147-152). Also available on the Internet.
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An analysis of value relevance of book value and earningsLee, Siu Kuen Raymond 01 January 2001 (has links)
No description available.
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Specifika a úspěšnost fundamentální analýzy založené na ukazateli Price Earnings Ratio / Specifics and Success of Fundamental Analysis Based on Price Earnings RatioVorek, Marián January 2011 (has links)
This thesis describes fundamental analysis method based on a price to earnings ratio and an effort is put on the following areas: (i) empirical verification of factors determining the price to earnings ratio, (ii) empirical verification of an investment strategy based on historical price to earnings ratios and (iii) behavior of P/Es in bear market periods. The empirical verification of the main factors determining the price to earnings ratio is conducted on empirical data for a sample of eleven stocks listed on Prague Stock Exchange in period 2006-2011. The empirical verification of macroeconomic factors determining the price to earnings ratio as well as the empirical verification of an investment strategy based on historical price to earnings ratios are researched based on empirical data of an equity index S&P 500 in period 1954-2011 and an equity index PX in period 2001-2011. Behavior of P/Es in bear markets is researched on empirical data of index S&P 500 in period 1954-2011 and index PX in period 2001-2011.
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Does the sales-to-price ratio possess more explanatory power in determining percentage share returns for JSE data compared to previously assessed variables?Russell, Palmira Farinha 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2004. / ENGLISH ABSTRACT: A number of financial variables have received extensive attention from those analysts
determined to obtain that significant set of variables that improve their forecasts of expected
returns. Barbee. Mukherji and Raines (1996: 56-60) suggested that the focus shift to the
sales-to-price (S/P) ratio. Their findings indicated that the S/P ratio exhibited greater
explanatory power in assessing share returns on Standard and Poars (S&P) American data
compared to those variables already in the spot light.
This study focuses on a seventeen-year period extending from 1985 to 2002, and includes a
sample of industrial sector JSE-listed companies. The set of variables assessed are referred to
as the "explanatory variables" and include the following:
• Debt-to-equity (D/E) ratio,
• Book-to-market value (B/M) ratio,
• Market value of equity (MVE) variable; and
• Sales-to-price (S/P) ratio.
Correlation tests and regression analyses on permutations of these explanatory variables
against percentage share return data revealed the MVE variable to possess the dominant
relationship with percentage share returns. All models were shown (through inference) to
exhibit some validity, with the exception of that model which excluded the MVE variable as
an independent variable. The coefficient of the B/M ratio becomes significant when combined
with the MVE variable in a regression analysis, accounting for most of the explanatory power
of the model.
Results from this study were compared with those in Barbee, et al., (1996), Fricker (1996)
and Mouton (1998). The comparison revealed that Barbee, et al., (1996) is the only study (of
the authors considered) with sufficient evidence to infer significance in the S/P ratio as a
more powerful explanatory variable for determining share returns.
This study has therefore shown no support for the S/P ratio as an explanatory power in
determining percentage share returns, based on JSE data. The MVE variable was instead
shown to have the greatest explanatory power, specifically when combined with the BlM
ratio. / AFRIKAANSE OPSOMMING: 'n Aantal finansiele veranderlikes het aansienlike aandag van die analiste gekry ten einde 'n
betekenisvolle stel van veranderlikes daar te stel wat help om hul vooruitskattings van
opbrengste te verbeter. Barbee, Mukherji and Raines (1996: 56-60) het voorgestel dat die
fokus verskuif na die verkope tot prys (S/P) verhouding. Hul het bevind dat die S/P
verhouding groter verduidelikingsvermoe het by die beoordeling van aandeel opbrengste op
Standard en Poors (S&P) se Amerikaanse data as daardie veranderlikes wat reeds onder die
soeklig was.
Die studie fokus op 'n sewentienjaar-periode van 1985 tot 2002, en dek 'n monster van
genoteerde industriele aandele op die Johannesburg se Effektebeurs. Hierdie stel
veranderlikes word na verwys as die "verduidelikende veranderlikes" en sluit in:
• Skuld tot aandeelhouersfondse (D/E) verhoudings,
• Boek tot markwaarde (B/M) verhouding,
• Markwaarde van aandeelhouersbelang (MVE) veranderlike, en
• Verkope tot prys (S/P) verhouding.
Korrelasietoetse en regressie-analises op permutasies van hierdie verduidelikende
veranderlikes teenoor persentasie aandeel opbrengste het aangetoon dat die MVE die
dominante veranderlike met die persentasie aandeel opbrengste getoon het. Alle modelle
(deur gevolgtrekking) het 'n mate van betekenisvolheid openbaar, behalwe die model wat die
MVE veranderlike as onafhanklike veranderlike uitgesluit het. Die koeffisient van die B/M
verhouding het betekenisvol geword toe dit met die MVE-veranderlike in 'n regressie-analise
gekombineer is, en wat dan die grootste gedeelte van die verduidelikingswaarde van die
model verklaar.
Die resultate van die studie is vergelyk met die van Barbee, et aI., (1996), Fricker (1996) en
Mouton (1998). Die vergelyking het aangedui dat Barbee, et al., (1996) die enigste studie is
(van die skrywers ondersoek) wat genoegsame getuienis verkry het om die belangrikheid van
die S/P verhouding as 'n sterk veranderlike vir die aandeel opbrengste te verklaar.
Hierdie studie kon dus geen ondersteuning vind dat die S/P verhouding as 'n verduidelikende
veranderlike by die vasstelling van persentasie-opbrengste op die JSE data gebruik kan word
nie. Daarenteen het die MVE-veranderlike die grootste voorspellingswaarde gehad, veral as
dit gekombineer is met die B/M verhouding.
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A study into the relationship between the price earnings ratio and the price book ratio on the JSE Securities ExchangeLuthuli, Sandile 12 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2001. / ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always
sought to identify with certainty, factors that determine investment returns and share
price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier,
made the revelation that share price movements followed a random pattern, i.e. they
could not be predicted with certainty.
Through continual research, two schools of thought emerged - fundamental and
technical analysis. The fundamentalists' perspective is that through thorough due
diligence analysis of current and historical data, one will be able to identify good
investment prospects.The latter stipulates that future price movements can be predicted
from previous price movements, i.e. historical patterns replicate themselves over time.
The random walk theory suggested by Kendall was followed by the Capital Asset Pricing
Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black
(1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The
CAPMremains the backbone of modern financial theory and is the basis against which all
new developmentsare measured.
Subsequent studies have attempted to find other explanatory variables of return other
than beta. Banz (1981) found evidence of a relationship between size and returns later
referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk
factors, the size effect did not yield high returns adequately, thus challenging Banz's
findings.
In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that
given more accurate estimates of beta, no sized-based differences in returns could be
observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding
abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size,
leverage also played an important explanatory role of returns.
Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh
(1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size
and other non-market factors. The combination of these factors led to the conclusion that
the CAPM model had been misspecified.
Fama and French (1992 and 1995) expanded the research and sought to establish the
multi-dimensionality of beta. They found, inter alia, that equities with a high book value
vis-a-vis their price realised higher returns than their counterparts. They further found
profitability to be positively related to size. This led to a new ratio in financial analysis,
the price book ratio (PB).
The PB ratio has never emerged as a prominent analytical tool in the financial sector and
has historically been superseded by the price earnings (PE) ratio.
The author therefore seeks to establish the raison d' etre for the status quo by
undertaking an empirical study of the JSE Securities Exchange for the period commencing
1989 and ending 1998. Using financial data obtainable from annual financial statements,
the author proceeded to calculate PE and PB ratios.
Tracing the mathematical derivation of the two ratios and using the Pearson correlation
coefficient, trend analysis and the Spearman Rank correlation test, the author found that
there exists prima facie evidence to suggest that the PE ratio could be used as a proxy
for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio
as an explanatory tool. / AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat
beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In
1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat
aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid
voorspel kan word nie.
Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en
tegniese analise. Fundamentele ontleding veronderstel dat winsgewende
beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en
historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige
prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel,
dat patrone hulself oor 'n sekere periode herhaal.
Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel
(MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is.
Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM
vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe
ontwikkelings gemeet word.
Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes
anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n
verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen
(1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë
opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se
bevindinge bevraagteken.
In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese
veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte
gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat
bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het.
Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is
waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in
aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n
belangrike bydrae lewer in die bepaling van opbrengste.
Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en
Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie
veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander
nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die
gevolgtrekking dat die MPM model verkeerd gespesifiseerd was.
Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van
beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor
prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n
positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n
nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB).
Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente
analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu.
Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese
studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem.
Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek
verhoudings bereken.
Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson
korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te
gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die
prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek
verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot-
boek verhouding as 'n verklarende veranderlike.
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