株式評價理論에 관한 硏究 = Stock Valuation Models
저자
발행기관
啓明大學 産業經營硏究所(Research Institute for Business and Entrepreneurship KEIMYUNG UNIVERSITY)
학술지명
권호사항
발행연도
1977
작성언어
Korean
KDC
325.04
자료형태
학술저널
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수록면
125-151(27쪽)
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In this paper, we assumes that the objective of the firm is to maximize its market value of shareholder wealth because this principle provides a rational guide for running a business a for allocating resources efficiently in an economy. Shareholder wealth is represented by market price of the company's common stock, which, in turn, is a reflection of the firm's investment, financing, and dividend decisions.
How do the investment and financing decisions of management affect the market value of the firm? The answer is equivocal and, like other areas in business finance, abounds with controversy. For example, the general problem of security valuation has attracted the attention of three major schools of thought: fundamentalists, technicians, and random-walk proponents. The fundamentalist approach seems to be most theoretical and produced a number of models.
The existence of many divergent valuation models is the result of the various beliefs espoused by security analysts. It also depends on different views with respect to the possible relationships among the variables deemed to be most relevant in the implicit valuation process of investors and the usefulness of different models in determining or predicting future share price movements.
The objective of this paper is to overview these approaches and to provide a
foundation for the specification of certain functional relationship which can be verified in Korean Securities Market.
2. Fundamental Approach
The proponents of the fundamental approach to security valuation believe that stock prices are reflections of the intrinsic value of the firm. They also believe that stock-price levels and movements can be explained and predicted in terms of the expected value of the relevant variables. They suggest that the market value of the firm be determined by such factors as earning, investment opportunities, and discounted-cash-flow information. Therefore, the basic problem to be solved in the fundamental school is the determination of what investors really capitalize when they make their decisions in the market.
Fundamentalists are usually classified into four different models as follows: 1) Dividend valuation models. 2) Earnings valuation models. 3) Discounted-cash-flow models. 4) Investment-opportunities models.
All above four valuation approaches are formally equivalent. We shall not prove this contention here, but we refer to the excellent paper by Miller and Modigliani("Dividend policy, growth and the Valuation Shares," Journal of Business, Oct., 1961) which shows that all these models derive from the same fundamental valuation equation.
3. Technical Approach
The best-known representative of the technical approach is the chartists. Chartists believe that future stock prices can be predicted from their past price movements. They base this belief on the proposition that there are certain identifiable, recurrent of price movements that can be used to predict the future movements and trends of speculative prices.
Chartists typically maintain a graphic record of a particular security's daily or weekly price, tracing range, and value traded. They also maintain the charts on a current basis and continually analyze them for trends that might be developing. The method of forecasting is not definite and precise, but is rather a sort of "eyeballing" approach which is more of an art than a discipline. Thus it not a technique that enjoy the support and confidence of the academic society.
4. Random-Walk Hypothesis
In contrast to the contentions of the technicians and the fundamentalists that their framework can be used to predict share prices, the random-walk proponents refute the usefulness of either public or privileged information in forecasting market values. Indeed, in a series of studies, they have presented evidences that the use of such things as past prices, public announcements of dividends, earnings, and so on, or even monopolistic access to information is nearly inconsequential.
The theory of random walks is basically composed of two hypotheses. They are: (1) Successive price changes in various stock exchanges are independent of previous movements. (2) Security price changes conform to some probability distribution. Both the technical and random-walk schools basically ignore the investment and financing decisions of the firm and attempt to predict market values on the basis of market patterns.
5. Financial Decisions and Market Valuation
The financing decisions of the firm change the composition of the sources of funds and shirt the balance between debt and equity. The argument of capital structure between traditional view and Modigliani-Miller propositions notwithstanding, nearly all valuation theorists agree that the introduction of debt does affect the value of the firm in the market.
Once we admit the importance of debt financing to the market valuation of a
corporation we must attempt to provide some integrated framework which functionally relates the capital-budgeting and financing decisions of the firm to the behavior of stockholders in the marketplace. In this paper, three recently developed frameworks are explained, as follows; (1) The taxonomic reconciliation of financing and valuation proposed by W.R. Sloane and A. Reisman, in which various methods of equity and debt financing are introduced into a generalized valuation model. (2) The functional integration of budgeting, financing, and valuation proposed by Eugene . Lerner and Willard T. Careleton. (3) A generalization of the market valuation process along the lines of state-preference theory recently attempted by S. C. Myers.
6. Valuation Models: Limitations and Future Directions
What matters with security valuation model? It may be the empirical validity of the behavioral assumptions incorporated in these models. Some were empirically tested; some were not or perhaps, given the state of the art and technology, cannot be tested completely.
There are several explanations for the poor empirical performance of testable valuation models. First, most of these models are restricted analytically be unacceptable behavioral assumptions and empirically by the employment of standard regression methodology. Second, the quality of input data does not guaranteed higher compatibility or consistency with structural form of the model. Third the typical equity valuation model is mechanistic in nature and does not allow imaginative behavior based on adaptive learning and changes in expectations. Finally, the problem of valuation within the context of uncertainty is very difficult and does not lend itself easily to precise
specifications.
These problems also map out future areas of fruitful research. In this view, Keenan suggests three major areas of interest, as follows:
(1) Research into the formation of investor expectations.
(2) Research into the problem of capital structure and its effects upon share-price valuation. (3) Research into the interactions of the firm and the public sector.
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