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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/51561 |
| Date | 12 1900 |
| Creators | Coetzee, G. J |
| Contributors | Du P Smith, J., Stellenbosch University. Faculty of Economic & Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 74 p. : ill. |
| Rights | Stellenbosch University |
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