Analysis of Firm Value Evaluation under Business Cycles: A Real Option Approach

• Main Authors: Wen-hao Cheng, 鄭文皓
• Other Authors: Wen-Kai Wang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/96n4je

碩士 === 國立高雄大學 === 金融管理學系碩士班 === 102 === This paper extends the corporate investment model in Carlson, Fisher and Giammarino (2004).We add the specific factor which they have not been discuss positively related to business cycles into the corporate investment model, and then develop our firm value evaluation model. Applying the concept of replacing strategy, we find that the specific factor will lead the model to overprice the stock price in a bull market and to underprice the stock price in a bear market. We incorporate the data in Taiwan stock market to examine whether it is consistent with the results in the model. The empirical evidence shows that the model underprice the stock in a bear market, in the case of a bull market the model underprice the stock. Even though it is not consistent with the findings, possible interpretations are offered.