Three Essays in Capital Markets Research

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Lee, Sang Woo

Contributors dc:contributor

• Louis K.C.Chan

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI3199060

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/87435