Comparison sample of securities valuation: Comparison of fundamental factors and industry peers

• Main Authors: Stanley Lai, 賴威宇
• Other Authors: Jin‑Huei Yeh
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/2wa9s4

碩士 === 國立中央大學 === 財務金融學系 === 106 === At present, the mainstream evaluation method of securities is to use the estimated evaluation multiplier to evaluate ( EG PB ratio, PE ratio). Past studies using industry criterion averages as corporate assessment multiplier estimates. However, such companies may not have similar characteristics in terms of these drivers and thus should not be traded at the same multiple. This article wants to study the importance of fundamental factors for evaluation. Compared with the traditional industries criterion averages, individual company evaluations are more impacted by fundamental factors. This article uses Knudsen, Kold, Plenborg (2017)'s research method SARD (Sum of Absolute Rank Differences) to select ROE, debt ratio, earnings per share growth rate, Capitalization, and gross profit margin for Taiwanese listed stock from 2001 to 2016. Benchmark multiplier using PB. The empirical results show that the original industry peers estimated the PB error mean/median of 0.592/0.401. Using the SARD estimation can effectively reduce the error to 0.338/0.305. If the industry is first selected, the SARD estimation can further reduce the error to 0.267/ 0.234, it is proved that selecting the fundamental factor as the screening criterion can effectively reduce the estimation error.