| Summary: | 碩士 === 國立中興大學 === 企業管理學系研究所 === 91 === Our paper extends Lintner valuation model based on Callen and Morel (2000), and combines the risk factors into Lintner valuation model. Otherwise we combine the risk factors into RIV valuation model based on Myers (1999), and to drive our four accounting based valuation models. We also employ the empirical data of NYSE’s stock market to examine the usefulness of these four accounting based valuation models. Furthermore, we adopt these models to predict stock price, and thus investigate the forecast error of price to understand which is the better valuation model for NYSE’s stock market.
Our conclusions are:(1) In our empirical valuation model one and two, systematic risk, idiosyncratic risk, and firm size have impacts on price. The systematic risk is negative related to price, and idiosyncratic risk is positive related to price. (2) The model three driven by our study is better than model one, nonlinear model indeed can stand for NYSE’s stock market. (3) The manufacturing and building industries are suited to the Lintner model driven by our study, and RIV valuation model incorporates residual earnings, book value of equity, systematic risk, idiosyncratic risk, and firm size is suited to service industry. (4) From the forecast error results of price, these industries and all samples are suited to RIV model; high growth rate firms is suited to RIV model, but medium and low growth rate firm are suited to Lintner model. For all, RIV model is suited to NYSE’s stock market from regression results and the forecast error of price.
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