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Louis K.C.Chan Lee, Sang Woo 2015-09-28T16:03:15Z 2015-09-28T16:03:15Z 10000-01-01 2005 2005 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. Made available in DSpace on 2015-09-28T16:03:15Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3199060.pdf: 1887960 bytes, checksum: ce435f17b3d9cef184e0da37e5af4fe7 (MD5) Previous issue date: 2005 Embargo set by: Seth Robbins for item 88716 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 85 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005. http://hdl.handle.net/2142/87435 (MiAaPQ)AAI3199060 eng Economics, Finance Three Essays in Capital Markets Research text Finance Finance University of Illinois at Urbana-Champaign Dissertation Ph.D.