Discerning the Determinants of Common Stock Valuation: An Empirical Analysis

Yıl 2018, Cilt: 4 Sayı: 2, 9 - 30, 01.10.2018

Salvatore Joseph Terregrossa

Öz

This empirical study combines the fundamental intrinsic-value theory
with the modern-portfolio theory to help discern the main determinants of
common-stock valuation. This study differs from previous studies in that a
simulated ex ante, controlled valuation-experiment is performed: for each
dividend-paying firm in a cross-sectional sample alternately employed
in a stock-valuation model are first, actual dividends; and then second,
a measure representing the dividend-paying-ability of the firm. For each
alternative strategy a set of results is generated, then generalised and a
comparison is made to see which strategy works best. An analysis-ofvariance
and a comparison-of-forecast-errors respectively indicate that a
dividend-paying-ability measure (1) has greater informational content and
(2) generally leads to better price appraisal when employed in a valuation
model.

Anahtar Kelimeler

Valuation, Dividend-paying-ability, CAPM, JEL Classification: G 12

Kaynakça

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