• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.1
• /
• pp.29-36
• /
• 2020

Stock price multiple is one of the most well-known equity valuation technique used to forecast equity price. It measures by multiplying "the ratio of stock price to a value driver" by a value driver. The value driver can be earning per share (EPS), sales or other financial measurements. The objective of price multiple technique is to evaluate the value of assets and compare how similar assets are priced in the market. Although stock price multiple technique is common in financial filed, studies on the application of the technique in Thailand is still limited. The present study is conducted to serve three major objectives. The first objective is to apply the technique to measure value of firms in banking sector in the Stock Exchange of Thailand. The second objective is to develop composite price multiple index to forecast equity prices. The third objective is to compare valuation accuracy of different value drivers of price multiple (i.e. EPS, Earnings Growth, Earnings Before Interest Taxes Depreciation and Amortization, Sales, Book Value and Composite Index) in forecasting equity prices. Results indicated that EPS is the most accurate value drivers of price multiple used to forecast equity price of firms in baking sector.

• The Journal of Asian Finance, Economics and Business
• /
• v.9 no.3
• /
• pp.203-215
• /
• 2022

Bayesian Networks are multivariate probabilistic factor graphs that are used to assess underlying factor relationships. From January 2005 to December 2018, the study examines how Dynamic Bayesian Networks can be utilized to estimate portfolio risk and return as well as determine inter-factor relationships among reversal profit-generating components in Pakistan's emerging market (PSX). The goal of this article is to uncover the factors that cause reversal profits in the Pakistani stock market. In visual form, Bayesian networks can generate causal and inferential probabilistic relationships. Investors might update their stock return values in the network simultaneously with fresh market information, resulting in a dynamic shift in portfolio risk distribution across the networks. The findings show that investments in low net profit margin, low investment, and high volatility-based designed portfolios yield the biggest dynamical reversal profits. The main triggering aspects related to generation reversal profits in the Pakistan market, in the long run, are net profit margin, market risk premium, investment, size, and volatility factor. Investors should invest in and build portfolios with small companies that have a low price-to-earnings ratio, small earnings per share, and minimal volatility, according to the most likely explanation.

• The Korean Journal of Financial Management
• /
• v.17 no.1
• /
• pp.161-180
• /
• 2000

본 연구는 주가를 예측하는데 있어서 선형 회귀모형을 이용하는 방법과 비선형 인공신경망 모형을 이용하는 방법을 비교 분석하여, 어떤 모형이 더 우수한 예측성과를 내는지를 검증한다. 자본시장에서 투자자들은 접근하는 정보가 다르고 각기 상이한 예측 변수들을 토대로 나름대로의 예측치를 만들어 낸다. 이렇게 볼 때 개별 투자자들이 이용하는 다양한 정보집합을 결합하여 단일의 뛰어난 정보집합을 만들어내는 것은 매우 어려운 과제이다. 따라서 본 연구에서는 이용 가능한 소수의 예측 변수들을 어떤 방식으로 결합하는 것이 예측오차의 분산을 최소화할 수 있는지에 대한 현실적인 접근방법을 모색하고자 한다. 거시경제변수나 시장자료를 입력변수로 사용한 기존 연구와는 달리 본 연구에서는 재무제표 정보를 입력변수로 사용하였다 즉, 대차대조표의 최종요약치인 주당 지분의 장부가치와 손익계산서의 최종요약치인 주당 순이익을 입력변수로 사용했으며 1991년부터 1995년까지의 추정(학습)결과를 토대로 모형을 선택하여 1996년의 제무제표 정보로 1997년의 주가를 예측하는 것이 본 연구의 과제이다. 연구결과, 대체로 선형회귀모형에 비해 비선형 신경망 모형이 예측오차의 분산을 감소시키는 것으로 나타났다.

• Korean small business review
• /
• v.31 no.4
• /
• pp.67-93
• /
• 2009

The purpose of this paper is to explore the relations between financial constraints and dividend smoothing of innovative small and medium sized enterprises(SMEs) listed on Korea Securities Market and Kosdaq Market of Korea Exchange. The innovative SMEs is defined as the firms with high level of R&D intensity which is measured by (R&D investment/total sales) ratio, according to Chauvin and Hirschey (1993). The R&D investment plays an important role as the innovative driver that can increase the future growth opportunity and profitability of the firms. Therefore, the R&D investment have large, positive, and consistent influences on the market value of the firm. In this point of view, we expect that the innovative SMEs can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. And also, we expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Aivazian et al.(2006) exert that the financial unconstrained firms with the high accessibility to capital market can adjust dividend payment faster than the financial constrained firms. We collect the sample firms among the total SMEs listed on Korea Securities Market and Kosdaq Market of Korea Exchange during the periods from January 1999 to December 2007 from the KIS Value Library database. The total number of firm-year observations of the total sample firms throughout the entire period is 5,544, the number of firm-year observations of the dividend firms is 2,919, and the number of firm-year observations of the non-dividend firms is 2,625. About 53%(or 2,919) of these total 5,544 observations involve firms that make a dividend payment. The dividend firms are divided into two groups according to the R&D intensity, such as the innovative SMEs with larger than median of R&D intensity and the noninnovative SMEs with smaller than median of R&D intensity. The number of firm-year observations of the innovative SMEs is 1,506, and the number of firm-year observations of the noninnovative SMEs is 1,413. Furthermore, the innovative SMEs are divided into two groups according to level of financial constraints, such as the financial unconstrained firms and the financial constrained firms. The number of firm-year observations of the former is 894, and the number of firm-year observations of the latter is 612. Although all available firm-year observations of the dividend firms are collected, deletions are made in the case of financial industries such as banks, securities company, insurance company, and other financial services company, because their capital structure and business style are widely different from the general manufacturing firms. The stock repurchase was involved in dividend payment because Grullon and Michaely (2002) examined the substitution hypothesis between dividends and stock repurchases. However, our data structure is an unbalanced panel data since there is no requirement that the firm-year observations data are all available for each firms during the entire periods from January 1999 to December 2007 from the KIS Value Library database. We firstly estimate the classic Lintner(1956) dividend adjustment model, where the decision to smooth dividend or to adopt a residual dividend policy depends on financial constraints measured by market accessibility. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between current payout rato and target payout ratio each year. In the Lintner model, dependent variable is the current dividend per share(DPS_t), and independent variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t). We hypothesized that firms adjust partially the gap between the current dividend per share(DPS_t) and the target payout ratio(Ω) each year, when the past dividend per share(DPS_t-1) deviate from the target payout ratio(Ω). We secondly estimate the expansion model that extend the Lintner model by including the determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory. In the expansion model, dependent variable is the current dividend per share(DPS_t), explanatory variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t), and control variables are the current capital expenditure ratio(CEA_t), the current leverage ratio(LEV_t), the current operating return on assets(ROA_t), the current business risk(RISK_t), the current trading volume turnover ratio(TURN_t), and the current dividend premium(DPREM_t). In these control variables, CEA_t, LEV_t, and ROA_t are the determinants suggested by the residual dividend theory and the agency theory, ROA_t and RISK_t are the determinants suggested by the dividend signaling theory, TURN_t is the determinant suggested by the transactions cost theory, and DPREM_t is the determinant suggested by the catering theory. Furthermore, we thirdly estimate the Lintner model and the expansion model by using the panel data of the financial unconstrained firms and the financial constrained firms, that are divided into two groups according to level of financial constraints. We expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, because the former can finance more easily the investment funds through the market accessibility than the latter. We analyzed descriptive statistics such as mean, standard deviation, and median to delete the outliers from the panel data, conducted one way analysis of variance to check up the industry-specfic effects, and conducted difference test of firms characteristic variables between innovative SMEs and noninnovative SMEs as well as difference test of firms characteristic variables between financial unconstrained firms and financial constrained firms. We also conducted the correlation analysis and the variance inflation factors analysis to detect any multicollinearity among the independent variables. Both of the correlation coefficients and the variance inflation factors are roughly low to the extent that may be ignored the multicollinearity among the independent variables. Furthermore, we estimate both of the Lintner model and the expansion model using the panel regression analysis. We firstly test the time-specific effects and the firm-specific effects may be involved in our panel data through the Lagrange multiplier test that was proposed by Breusch and Pagan(1980), and secondly conduct Hausman test to prove that fixed effect model is fitter with our panel data than the random effect model. The main results of this study can be summarized as follows. The determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory explain significantly the dividend policy of the innovative SMEs. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between the current payout ratio and the target payout ratio each year. In the core variables of Lintner model, the past dividend per share has more effects to dividend smoothing than the current earnings per share. These results suggest that the innovative SMEs maintain stable and long run dividend policy which sustains the past dividend per share level without corporate special reasons. The main results show that dividend adjustment speed of the innovative SMEs is faster than that of the noninnovative SMEs. This means that the innovative SMEs with high level of R&D intensity can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. The other main results show that dividend adjustment speed of the financial unconstrained SMEs is faster than that of the financial constrained SMEs. This means that the financial unconstrained firms with high accessibility to capital market can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Futhermore, the other additional results show that dividend adjustment speed of the innovative SMEs classified by the Small and Medium Business Administration is faster than that of the unclassified SMEs. They are linked with various financial policies and services such as credit guaranteed service, policy fund for SMEs, venture investment fund, insurance program, and so on. In conclusion, the past dividend per share and the current earnings per share suggested by the Lintner model explain mainly dividend adjustment speed of the innovative SMEs, and also the financial constraints explain partially. Therefore, if managers can properly understand of the relations between financial constraints and dividend smoothing of innovative SMEs, they can maintain stable and long run dividend policy of the innovative SMEs through dividend smoothing. These are encouraging results for Korea government, that is, the Small and Medium Business Administration as it has implemented many policies to commit to the innovative SMEs. This paper may have a few limitations because it may be only early study about the relations between financial constraints and dividend smoothing of the innovative SMEs. Specifically, this paper may not adequately capture all of the subtle features of the innovative SMEs and the financial unconstrained SMEs. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.

• Journal of Digital Convergence
• /
• v.12 no.9
• /
• pp.75-81
• /
• 2014

This study is analyzed using the Shanghai stock market and Shenzhen stock market data in order to analyze the usefulness of accounting information to appear from the introduction of international accounting standards in China. Summarized the relevant previous researches for objective study approach, studied the hypothesis based on the empirical analysis and set a hypothesis as adjusting the stuffs to fix in this research model. In this study, Analyzed the hypothesis to input of detailed variables for analyzing the value relevance between periods before fair value and after fair value. Also, in this hypothesis study, analyzed and estimated to affect the quality of information the acceptant period when compare with acceptant periods and before periods of fair value. These results suggested that impact the net asset value per share and earnings per share of the company because the value of the relationship had statistically significant at the level of relevance. Therefore, in the future studies about fair value assessment, will be expected that usefulness of the enterprise value evaluation method enable to discuss it such as critical sucess factors.

• Journal of Digital Convergence
• /
• v.14 no.8
• /
• pp.105-113
• /
• 2016

This study analyzed and verified panel data based on CSMAR (China Stock Market & Accounting Research) DB from 2002 to 2014 in order to find out significant differences of conservative accounting before and after Chinese companies adopted international accounting standards. Financial changes in companies can occur at the point of change in accounting standards, and as the difference would affect conservative accounting, it is important to understand conservatism in financial transaction. In this study, earnings per share and price, return on equity, and debt ratio were measured. As a result of analysis, conservative accounting has increased after the introduction of accounting standards, and as the debt ratio was higher, the proportion of conservative accounting was higher. Thus, at a certain point of change in accounting standards, companies apply conservative accounting in order to improve reliability in an unstable future financial environment. Therefore, this study is expected not only to practically influence business practice in changes in GAAP rules but also to provide useful guidance for future studies.

• Journal of Information Technology Services
• /
• v.15 no.2
• /
• pp.51-63
• /
• 2016

In this study, we conducted a comparative analysis of R&D investment efficiency and operational efficiency of IT firms using Data Envelopment Analysis (DEA). We categorized thirteen sample firms into two groups-IT manufacturing and IT service-after an extensive literature review on IT industry classification. We adopted an output-oriented two-stage DEA model suggested by Banker et al. (1984) with total asset and R&D investment as input variables. Then, we constructed investment efficiency and operational efficiency by using Return on Equity (ROE) and Return on Asset (ROA) as intervening variables and operating income and Earnings Per Share (EPS) as output variables. The outcome of the analysis is summarized as follows. First of all, IT manufacturing firms were more efficient (57% on average) than IT service firms. To be specific, IT service firms showed decreasing returns to scale (DRS) with diseconomy of scale. In contrast, IT service firms showed higher operational efficiency (81.5% on average) than IT manufacturing firms. Also, we conducted a Mann-Whitney U test to compare the output of IT service firms and IT manufacturing firms. Lastly, we found a negative correlation ($R^2$ = -.754) between R&D investment efficiency and operational efficiency which infers the trade-off between two constructs

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.4
• /
• pp.97-105
• /
• 2020

This paper explores the impact of capital structure on firm performance in the context of Vietnam. The paper investigates the different effect of capital structure on firm performance in state-owned and non-state enterprises listed on the Vietnam stock market. The panel data of research sample includes 488 non-financial listed companies on the Vietnam stock market for a period of six years, from 2013 to 2018. The Generalized Least Square (GLS) is employed to address econometric issues and to improve the accuracy of the regression coefficients. In this research, firm performance is measured by return on equity (ROE), return on assets (ROA), and earnings per share (EPS). The ratios of short-term liabilities, long-term liabilities, and total liabilities to total assets are proxy for capital structure. Firm sizes, growth rate, liquidity, and ratio of fixed assets to total assets are control variables in the study. The empirical results show that capital structure has a statistically significant negative effect on the firm performance. The result also shows this effect is stronger in state-owned enterprises than non-state enterprises in Vietnam. These evidences provide a new insight to managers of both state-owned and non-state enterprises on how to improve the firm's performance with capital structure.

• The Journal of Asian Finance, Economics and Business
• /
• v.7 no.10
• /
• pp.751-759
• /
• 2020

This study examines the impact of mergers on the financial performance of the Jordanian public shareholding companies. The study employs data collected for a sample of 10 Jordanian non-financial public firms that were engaged in legal horizontal merger deals between 2000 and 2013. The data was collected from the published annual financial reports of the merging companies and comparative companies for three years before the merger and three years after the merger. Event study methodology was applied to examine the data. Four measures of financial performance (FP) were used, which are return on assets (ROA), return on equity (ROE), earnings per share (EPS), and net profit margin (NPM). Two methods were used in the analysis - the change model and the intercept model using financial performance raw data and industry-adjusted data. The findings in general showed no significant impact of mergers on the financial performance of merging firms using the change model. However, by using the intercept model, significant impact of mergers on the financial performance was found on the sample of the study. The significant impact was found for mergers on the raw ROE of the merging firms, and on the ROA and NPM of the industry-adjusted firms.

• The Journal of Asian Finance, Economics and Business
• /
• v.8 no.5
• /
• pp.135-141
• /
• 2021

The study aims to examine the impact of liquidity and solvency management on the financial performance of Jordanian manufacturing companies listed on the Amman Stock Exchange, for a period of 10 years from 2010 to 2019. The size of the company was used as a control variable. The study employs Return on Assets (ROA) and Earnings Per Share (EPS) to measure financial performance. Current ratio (CR) and total debts to total assets were used as proxies for liquidity and solvency management, while logarithm of total assets was used to measure the size. Correlation and multi regression analyses have been applied to analyze the data. The results show a statistically significant impact of independent and control variables (liquidity and solvency management and the size of the company) on financial performance, while the detailed results of the hypotheses indicate that liquidity has an insignificant reverse impact on financial performance. With respect to other variables, there is a significant positive impact of size on performance and a significant negative impact of solvency on performance. The study suggests in light of results, increasing investments in companies' assets by focusing on internal financing, such that large-sized companies with low leverage will have a good performance.