تعداد نشریات | 25 |
تعداد شمارهها | 932 |
تعداد مقالات | 7,652 |
تعداد مشاهده مقاله | 12,494,924 |
تعداد دریافت فایل اصل مقاله | 8,886,391 |
معرفی و آزمون مدل رشد ZZ برای ارزشگذاری سهام | ||
راهبرد مدیریت مالی | ||
مقاله 3، دوره 12، شماره 2 - شماره پیاپی 45، تیر 1403، صفحه 53-86 اصل مقاله (573.53 K) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22051/jfm.2024.46040.2893 | ||
نویسندگان | ||
میثم احمدوند* 1؛ حسن قالیباف اصل2 | ||
1دانشآموختة دکتری، گروه مالی و بانکداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی | ||
2دانشیار، گروه مدیریت، دانشکده علوم اجتماعی و اقتصادی، دانشگاه الزهرا. | ||
چکیده | ||
این پژوهش قصد دارد ضمن معرفی مدلی جدید برای ارزشگذاری سهام تحت عنوان مدل رشد ZZ، قدرت آن را نسبت به مدل گوردون اندازهگیری نماید. برای آزمون قدرت این مدل در تعیین ارزش منصفانة سهام شرکتهای پذیرفتهشدة ایرانی، پس از محاسبة میانگین نرخ رشد و دورة بازگشت سرمایة موردنیاز شرکتها و با توجه به درآمد هر سهم آنها در سالهای مالی 1399 تا 1401، ارزش سهام شرکتها در سالهای مذکور با استفاده از مدل نامبرده برآورد شده است. در مرحلة بعد، از مدل گوردون برای تعیین ارزش سهام بهره گرفته شده است. در نهایت، ارزشهای برآوردی سهام شرکتهای منتخب با استفاده از این دو مدل و میزان انحراف هریک از آنها از میانگین قیمت بازار تعدیلشدة سهام، از طریق روش مقایسة میانگینهای دو گروه مستقل، با یکدیگر قیاس شده است. یافتههای پژوهش نشان میدهد در هریک از صنایع مورد بررسی، میانگین انحراف ارزشهای برآوردی سهمها با استفاده از مدل رشد ZZ از میانگین قیمت بازار تعدیلشدة آنها، در مقایسه با حالتی که از مدل گوردون برای تعیین ارزش سهام شرکتها استفاده میشود، بهطور معنیداری پایینتر است. بنابراین، کاملاً مشهود است که مدل رشد ZZ در مقایسه با مدل گوردون، توانسته است ارزش سهام شرکتها را با دقت بالاتری برآورد نماید. | ||
کلیدواژهها | ||
ارزشگذاری سهام؛ مدل رشد ZZ؛ دوره بازگشت سرمایه موردنیاز؛ مدل گوردون؛ بازار سهام ایران | ||
عنوان مقاله [English] | ||
Introducing and Testing the ZZ Growth Model for Stock Valuation | ||
نویسندگان [English] | ||
Maysam Ahmadvand1؛ Hassan Ghalibafasl2 | ||
1Allameh Tabataba`i University | ||
2Alzahra University | ||
چکیده [English] | ||
This paper aims to introduce a new model for stock valuation called the ZZ growth model, as well to measure its power compared to the Gordon model in estimating the intrinsic value of stocks. To test the power of the ZZ growth model in determining the fair value of the stocks of companies in the Iranian stock market, after calculating the average growth rate and the required payback period of the companies in the sample and according to their EPSs in the fiscal years 2020-2022, the values of the selected stocks in the mentioned years have been estimated and determined using this model. In the next stage, the Gordon model has been used to determine the values of companies' stocks. Finally, the values estimated using these two models and the deviation of each of them from the average adjusted stock market prices through the Independent Samples T-test, have been compared. The research findings indicate that in each of investigated industries, the ZZ growth model compared to the Gordon model, has been able to estimate the value of stocks with much higher accuracy. | ||
کلیدواژهها [English] | ||
Stock Valuation, The ZZ Growth Model, Required Payback Period, The Gordon model, Iranian Stock Market | ||
سایر فایل های مرتبط با مقاله
|
||
مراجع | ||
Abhayawansa, S., Aleksanyan, M., & Bahtsevanoglou, J. (2015). The use of intellectual capital information by sell-side analysts in company valuation. Accounting and Business Research, 45(3), 279-306.
Aghaie, M. A., Ghorbani, S., & Kosha, S. (2013). Research on usefulness of stock valuation models to anticipate stock prices in Tehran Stock Exchange. Journal of Accounting and Auditing Research, 4(16), 4-15. [In Persian]
Amiri, A., Ravanpaknodezh, H., & Jelodari, A. (2016). Comparison of stock valuation models with their intrinsic value in Tehran Stock Exchange. Marketing and Branding Research, 3, 24-40.
Arabsalehi, M., & Kamali Dehkordi, A. (2021). Comparative investigating of stock valuation discount models in companies listed on Tehran Stock Exchange. Journal of Financial Management Perspective, 11(33), 113-138. [In Persian]
Askarzadeh, Gh., Khalili Araghi, M., Nikomaram, H., & Rahnamay Rodposhti, F. (2017). Behavioral stock valuation using 3d grouping. Journal of Financial Management Strategy, 5(2), 1-26. [In Persian]
Baghi, M., Ebrahimi, M., & Nikzad Chaleshtari, Gh. (2014). Comparison of dividend discount model, discounted free cash flow model and residual income model in the valuation of stocks of manufacturing companies listed on Tehran Stock Exchange. Quarterly Financial Accounting, 6(22), 89-113. [In Persian]
Brigham E. F., & Daves, P. R. (2002). Intermediate financial management (7th ed.). Mason, Ohio, Thomson/South-Western.
Brigham E. F., & Houston, J. F. (2004). Fundamentals of financial management. United Kingdom, Thomson/South-Western.
Cantor, R., Hamilton, D. T., & Tennant, J. (2007). Confidence intervals for corporate default rates. Special comment of Moody’s. Available at SSRN: https://ssrn.com/abstract=995545.
Clatworthy, M., & Lee, E. (2017). Financial analysts’ role in valuation and stewardship. Accounting and Business Research, 48(1), 1-4.
Damodaran, A. (2012). Investment valuation (2nd ed.). John Wiley & Sons, Inc.
Demirakos, E. G., Strong, N. C., & Walker, M. (2010). Does valuation model choice affect target price accuracy? European Accounting Review, 19(1), 35-72.
Dermine, J. (2010). Bank valuation and value-based management: Deposit and loan pricing, performance evaluation, and risk management (1st ed.). McGraw-Hill Education.
Dichev, I. D. (1998). Is the risk of bankruptcy a systematic risk? The Journal of Finance, 53(3), 1131-1147.
Eivazlu, R., & Razaghi, D. (2023). Presenting a suitable model for the valuation of companies. Journal of Securities and Exchange, 16(62), 253-282. [In Persian]
Eslampanah, M., Chavoshi, S. K., & Fallah Shams, M. (2014). Comparing the efficiency of the traditional discounted cash flow model with the Monte Carlo simulated discounted cash flow model in stock valuation. Quarterly Financial Engineering and Securities Management, 5(19), 93-110. [In Persian]
Fama, E. F. (1965). The behavior of stock market prices. The Journal of Business, 38(1), 34-105.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Frensidy, B., Pelealu, R. J., & Robiyanto, R. (2020). Analysis of equity valuation models and target price accuracy: Evidence from analyst reports in Indonesia. SAGE Open, October-December, 1-13.
Gordon, M. J. (1962). The savings investment and valuation of a corporation. The Review of Economics and Statistics, 44(1), 37-51.
Graham, B., & Dodds, D. L. F. (1934). Security analysis: Principles and technique (1st ed.). New York, McGraw-Hill Book Co.
Graham, B., & Dodds, D. L. F. (1940). Security analysis: The classic 1940 (2nd ed.). New York, McGraw-Hill Book Co.
Graham, B., Dodds, D. L. F., Cottle, S., & Tatham, C. (1962). Security analysis (4th ed.). New York, McGraw-Hill Book Co.
Gross. S. (2006). Banks and shareholder value: An overview of bank valuation and empirical evidence on shareholder value for banks (1st ed.). Deutscher Universitätsverlag Wiesbaden.
Gupta, V. (2018). Predicting accuracy of valuation multiples using value drivers: Evidence from Indian listed firms. Theoretical Economics Letters, 8(5), 755-772.
Harasheh, M., Amaduzzi, A., & Darwish, F. (2020). The relevance of valuation models: Insights from Palestine Exchange. International Journal of Islamic and Middle Eastern Finance and Management, 13(5), 827-845.
Hirt, G. A., & Block, S. B. (2006). Fundamentals of investment management (7th ed.). United Kingdom, Irwin/McGraw-Hill.
Hui, K. W., Nelson, K. K., & Yeung, P. E. (2016). On the persistence and pricing of industry-wide and firm-specific earnings, cash flows, and accruals. Journal of Accounting and Economics, 61(1), 185-202.
Imam, S., Barker, R., & Clubb, C. (2008). The use of valuation models by UK investment analysts. European Accounting Review, 17(3), 503-535.
Kraakman, N. (2012). How to determine a realistic growth rate for a company. Available at: https://www.valuespreadsheet.com/
Lee, C. M. C., Myers, J., & Swaminathan, B. (1999). What is the intrinsic value of the Dow? The Journal of Finance, 54(5), 1693-1741.
Leong, K. Y., Ariff, M., Zarei, A., & Bhatti, M. I. (2023). Bank stock valuation theories: Do they explain prices based on theories? International Journal of Managerial Finance, 19(2), 331-350.
Liu, J., Nissim, D., & Thomas, J. (2002). Equity valuation using multipliers. Journal of Accounting Research, 40(1), 135-172.
Malekian, E., & Nazari, H. (2018). Incremental information content of sophisticated valuation models. Quarterly Financial Accounting, 10(38), 1-21. [In Persian]
Mayo, H. B. (2003). Investments: An introduction (7th ed.). Cincinnati, Ohio, Thomson/South-Western.
Moyer, R. C., Mcguigan, J. R., & Kretlow, W. J. (2003). Contemporary financial management (9th ed.). Southwestern Publishing House.
Nasseh, A., & Strauss, J. (2004). Stock prices and the dividends discount model: Did their relation break down in the 1990s? The Quarterly Review of Economics and Finance, 44(2), 191-207.
Nissim, D. (2013). Relative valuation of U.S. insurance companies. Review of Accounting Studies, 18(2), 324-359.
Rahgozar, R. (2006). Valuation models and their efficacy predicting stock prices. Iranian Accounting & Auditing Review, 13(3), 114-130.
Rasheed, A., Khalid Sohail, M., Din, S-U., & Ijaz, M. (2018). How do investment banks price initial public offerings? An empirical analysis of emerging market. International Journal of Financial Studies, 6(3), 77-95.
Resende, A. (2020). Empirical evidence of the Gordon’s growth model accuracy on US stocks’ valuation [Master Thesis]. ESCP Business School, Paris.
Sanna, D. (2020). A fast and parsimonious way to estimate the implied rate of return on equity. MPRA Paper 102072, University Library of Munich, Germany. http://dx.doi.org/10.2139/ssrn.3636156
Taraghi Jah, Z., & Nikoomaram, H. (2015). Stock valuation models with a view to achieving optimal model in the banking industry of Iran. Financial Knowledge of Securities Analysis, 8(28), 41-56. [In Persian]
Thakur, M. (2023). Gordon growth model. Available at: https://www.educba.com/gordon-growth-model/
William, J. B. (1938). The theory of investment value. Cambridge, Mass., Harvard University Press.
Xu, J. (2022). Advantages and disadvantages of dividend discount model and better alternatives. Proceedings of the 2022 International Conference on Mathematical Statistics and Economic Analysis (MSEA 2022).
Zhang, Z. (2013). Finance – Fundamental Problems and Solutions. Springer Heidelberg, New York, Dordrecht, London. | ||
آمار تعداد مشاهده مقاله: 251 تعداد دریافت فایل اصل مقاله: 203 |