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Title:Three Essays in Capital Markets Research
Author(s):Lee, Sangwoo
Doctoral Committee Chair(s):Louis K.C.Chan
Department / Program:Finance
Discipline:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
Abstract:The third essay estimates firms' intrinsic value using the accounting-based valuation model and examines the predictive power of the estimated value for future stock returns. The key empirical issue of the model is to estimate future residual income. While most research has relied on the earnings forecasts of security analysts for future residual income, we attempt to estimate firms' future residual income using their past earnings history. This approach is based on our finding that firms exhibit persistence over time in their earnings (measured by ROA or ROE). We find that the resulting residual income-based value-to-price ratio helps to explain stocks even after controlling for book-to-market ratio effects.
Issue Date:2005
Type:Text
Language:English
Description:85 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.
URI:http://hdl.handle.net/2142/87435
Other Identifier(s):(MiAaPQ)AAI3199060
Date Available in IDEALS:2015-09-28
Date Deposited:2005


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