最新Investing with a Stock Valuation Model - Yale University：投资股票的估值模型-耶鲁大学.幻灯片.ppt

《最新Investing with a Stock Valuation Model - Yale University：投资股票的估值模型-耶鲁大学.幻灯片.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、InvestingwithaStockValuationModel-YaleUniversity：投资股票的估值模型-耶鲁大学.TheBakshi-Chen-Dong(BCD)ModelFundamentalVariables:currentEPS,expectedfutureEPS,and30-yrbondyieldFirm-specificparameters:EPSgrowthvolatilityLong-runEPSgrowthrateDurationofbusiness-growthcycleSystematicor

2、betariskofthefirmCorrelationbetweenthefirm'sEPSandtheinterest-rateenvironment30-yrTreasuryyield’sparameters:Itslong-runlevelInterest-ratevolatilityDurationofinterest-ratecycleComparisonTheBCDModelDetailedparameterizationofEPSprocessesandinterest-rateprocessParamete

3、rstobeestimatedfrompastdataClosed-formstockvaluationformulaPastdataareusedtoestimateparametersSo,valuationreflectsbothpastvaluationstandardforthestockandthestochasticdiscountingoffutureprospectsTheResidual-EarningsModel(e.g.,Lee,MeyerandSwaminathan(1998))Twoparamet

4、ers:betaanddividend-payoutratioNoclosed-formvaluationformula.Requiresadhocapproximationofthestock’sfuturepriceatendofforecastinghorizonValuationisindependentofpastvaluationstandardforthestockBehaviorofLMSValue/PriceoverTimeThisfigureshowstheaverageLee-Myers-Swaminat

5、hanV/PratiopathforeachquartileobtainedbysortingallstocksaccordingtotheirV/PasofJanuary1990.BehaviorofE/PRatioThisfigureshowstheaverageE/PratiopathforeachquartileobtainedbysortingallstocksaccordingtotheirE/PratiosasofJanuary1990.Youwouldliketoseetheqartilescrossingea

6、chotherovertime.Yes,theydotosomeextent.BCDModelMispricingStep1:usepast2-yrdatatoestimatemodelparametersforthestockStep2:usecurrentEPS,1-yr-forwardEPSforecastand30-yryield,plustheestimatedparameters,tocomputethestock’scurrentmodelprice(outofsample)Mispricing=[marketp

7、rice-modelprice]/modelpriceThus,anegativemispricingmeansanundervaluedstock,andsoon.BehaviorofBCDModelMispricingThisfigureshowstheaverageBCDModelmispricingpath,foreachquartileobtainedbysortingallstocksaccordingtotheirmispricinglevelsasofJanuary1990.Thequartilesswitch

8、fromover-toundervalued,andviceversa,everyfewyears!PersistenceofBCDModelMispricingASmallSummaryBCDModelmispricingistheleastpersistentoverti