Market Value Approximation Using Multiples: An Investigation of American Large-, Mid-, and Small-Cap Stocks
(2015) BUSN89 20151Department of Business Administration
- Abstract
- The aim of this paper is to provide answers to questions related to valuation accuracy and error determinants by investigating the US market over the last 15 years (2000-2014). The first questions are related to the market efficiency in its weak form, while the rest of the paper is focused on valuation accuracy using the multiples approach and the error determinant variables that can influence the valuation accuracy. The main results for the market efficiency are that only the small capitalization index (S&P 600) is efficient in its weak form. Regarding valuation accuracy, it was discovered that the 12-month forward-looking multiples are more accurate at approximating market values than trailing multiples. In addition, the authors were... (More)
- The aim of this paper is to provide answers to questions related to valuation accuracy and error determinants by investigating the US market over the last 15 years (2000-2014). The first questions are related to the market efficiency in its weak form, while the rest of the paper is focused on valuation accuracy using the multiples approach and the error determinant variables that can influence the valuation accuracy. The main results for the market efficiency are that only the small capitalization index (S&P 600) is efficient in its weak form. Regarding valuation accuracy, it was discovered that the 12-month forward-looking multiples are more accurate at approximating market values than trailing multiples. In addition, the authors were able to conclude that equity multiples performed better than entity multiples. Lastly, through estimations, it is proven that valuation errors are influenced by specific error determinants both from the current period and the past period observations, while the valuation error of the previous year appears to have a significant influence on the new valuation error. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/5474068
- author
- Berglund, Oscar LU and Zisiadou, Argyro LU
- supervisor
- organization
- course
- BUSN89 20151
- year
- 2015
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Valuation Error, Valuation Accuracy, Error Determinants, Multiples, Market Efficiency, US market, Capitalization
- language
- English
- id
- 5474068
- date added to LUP
- 2015-06-16 16:36:54
- date last changed
- 2015-06-16 16:36:54
@misc{5474068,
abstract = {{The aim of this paper is to provide answers to questions related to valuation accuracy and error determinants by investigating the US market over the last 15 years (2000-2014). The first questions are related to the market efficiency in its weak form, while the rest of the paper is focused on valuation accuracy using the multiples approach and the error determinant variables that can influence the valuation accuracy. The main results for the market efficiency are that only the small capitalization index (S&P 600) is efficient in its weak form. Regarding valuation accuracy, it was discovered that the 12-month forward-looking multiples are more accurate at approximating market values than trailing multiples. In addition, the authors were able to conclude that equity multiples performed better than entity multiples. Lastly, through estimations, it is proven that valuation errors are influenced by specific error determinants both from the current period and the past period observations, while the valuation error of the previous year appears to have a significant influence on the new valuation error.}},
author = {{Berglund, Oscar and Zisiadou, Argyro}},
language = {{eng}},
note = {{Student Paper}},
title = {{Market Value Approximation Using Multiples: An Investigation of American Large-, Mid-, and Small-Cap Stocks}},
year = {{2015}},
}