Title page for etd-0613104-110855


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URN etd-0613104-110855
Author Jui-lin Hsu
Author's Email Address No Public.
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Department Finance
Year 2003
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title An Empirical Analysis On the Investment Effect and the Risk Of Equity Valuation Models in Taiwan
Date of Defense 2004-06-11
Page Count 89
Keyword
  • business valuation
  • PE
  • VAR
  • FCF.EBO
  • PB
  • Abstract How do we evaluate an enterprise’s reasonable value? What would be the effective method? In the following research, I try to evaluate an enterprise’s real value by four models: FCF model, EBO model, PB model, and PE model. Which model would generate the most accurate result and interpret the volatility of the stock market better? In addition, how effective are they?
    According to my research, the volatility of the stock price can be interpreted by the PB model best. PB model’s R2 can reach as high as 76%. As for the accuracy, PE model can generate the most accurate estimation, whose tendency ratio is 34%. PB model, EBO model and FCF model rank the second, third and forth, respectively. 
    The portfolios invested in accordance with the FCF model, EBO model, PB model, and PE model earn positive returns of 24%, 12%, 15% and 6%, respectively. Over half of the invested targets have positive return. In this period, the Taiwanese Stock Weighted Index fell from 8638.75 to 6142.32, generating a -29% of return. That is, the 4 evaluation models recommended by my research do have different results from the market. The market does not reflect the true value of the enterprises.
    Finally, I try to combine the enterprise evaluation models with the measurement of risk. The result shows that the penetration does not occur in FCF model and the variance- covariance model, while that occurs three times, four times and two times in the EBO model, PB model and PE model, respectively. Comparing the measured risk among all these models with the real risk, I find an average error 30.44% in the variance-covariance model, 20.26% in the FCF model, 8.11% in the EBO model, 10.91% in the PB model and 8.55% in the PE model. The risks measured by the enterprise evaluation models, have lower error. However, the risk measured by the variance-covariance model generates a 30.44% of error. As a result, measuring risks by the enterprise evaluation models is workable for the public.
    Advisory Committee
  • Jen-Jsung Huang - chair
  • Miao-Ling Chen - co-chair
  • Der-ming Lieu - advisor
  • Files
  • etd-0613104-110855.pdf
  • indicate not accessible
    Date of Submission 2004-06-13

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