An Empirical Analysis On the Investment Effect and the Risk Of Equity Valuation Models in Taiwan

• Main Authors: Jui-lin Hsu, 許瑞玲
• Other Authors: Der-ming Lieu
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/27983134932387977436

碩士 === 國立中山大學 === 財務管理學系研究所 === 92 === 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.