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The relationship between stock price, book value and residual income:   A panel error correction approach
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2015 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this paper we examine the short and long-term relations between stock price, book value and residual income.  We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.

Place, publisher, year, edition, pages
2015. , p. 5
Keyword [en]
Accounting based valuation, stock valuation, residual income, Ohlson’s model, PECM, Cointegration, Panel unit root, Stock price, book value, dividends, dividend discount model
Keyword [sv]
aktier, utdelningar, residual inkomst, aktie värderingar, Ohlson's model
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:uu:diva-254344OAI: oai:DiVA.org:uu-254344DiVA, id: diva2:817913
Subject / course
Statistics
Supervisors
Available from: 2015-06-18 Created: 2015-06-07 Last updated: 2015-06-18Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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