Knowledge

T-model

Source đź“ť

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is a formula that states the returns earned by holders of a company's stock in terms of accounting variables obtainable from its financial statements. The T-model connects fundamentals with investment return, allowing an analyst to make projections of financial performance and turn those projections
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He provided a proof that this model is mathematically identical to the original T-model, and gives identical results under certain simplifying assumptions about the accounting used. In practice, when used as a practical forecasting tool it may be preferable to the standard T-model, because the
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In 2003, Estep published a version of the T-model that does not rely on estimates of return on equity, but rather is driven by cash items: cash flow from the income statement, and asset and liability accounts from the balance sheet. The cash-flow T-model is:
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values for growth, price/book, etc. are plugged in, the T-Model gives a close approximation of actually realized stock returns. Unlike some proposed valuation formulas, it has the advantage of being correct in a mathematical sense (see
640: 1854: 379: 1590: 1991:, the familiar earnings yield. In other words, earnings yield would be a correct estimate of expected return for a stock that always sells at its book value; in that case, the expected return would also equal the company's 543: 1292: 1910: 694: 2170: 745: 61: 1989: 2194: 1408: 1230:{\displaystyle {\frac {\Delta P}{P}}={\frac {\Delta {\mathit {B}}}{\mathit {B}}}+{\frac {\Delta {\mathit {A}}}{\mathit {A}}}\left({\mathit {1}}+{\frac {\Delta {\mathit {B}}}{\mathit {B}}}\right)} 1763:
specific accounting items used as input values are generally more robust (that is, less susceptible to variation due to differences in accounting methods), hence possibly easier to estimate.
1948: 2382:: it is mathematically complete, and each connection between company fundamentals and stock performance is explicit so that the user can see where simplifying assumptions have been made. 2341: 574:, and that a shareholder sells or buys enough shares to maintain her proportionate holding of the company's stock. Then the portion of total return due to distributions can be written as 1599: 1566: 752: 2011: 1771:
Some familiar valuation formulas and techniques can be understood as simplified cases of the T-model. For example, consider the case of a stock selling exactly at book value (
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and its various descendants; fundamental models attempt to forecast return from a company's expected future financial performance, whereas CAPM-type models regard
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Some of the practical difficulties involved with financial forecasts stem from the many vicissitudes possible in the calculation of earnings, the numerator in the
577: 298: 454:= distributions, i.e. dividends plus or minus the cash effect of company share issuance/buybacks. Consider a company whose sales and profits are growing at rate 264: 1778: 233: 205: 2552: 316: 1570: 1998:
Consider the case of a company that pays the portion of earnings not required to finance growth, or put another way, growth equals the reinvestment rate
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Dwyer, Hubert and Richard Lynn, "Is The Estep T-Model Consistently Useful?" Financial Analysts Journal, November/December 1992, Vol. 48, No. 6: 82–86.
475: 1249: 563:= book value. The company may have money left over after paying dividends and financing growth, or it may have a shortfall. In other words, 174:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {P}}B}}+{\frac {\Delta PB}{PB}}{\mathit {(}}1+g)} 1861: 645: 2512:
Erzegovesi, Luca, "Come impostare la previsione dei rendimenti azionari: il T-model," Economia & Management 1988, v. 2, p. 93–104
2126: 699: 2285:{\displaystyle {\frac {\mathit {P}}{\mathit {E}}}={\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {R}}OE({\mathit {T}}-{\mathit {g}})}}} 2545: 2436:
Estep, Preston W., "A New Method For Valuing Common Stocks", Financial Analysts Journal, November/December 1985, Vol. 41, No. 6: 26–27
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Yamaguchi, Katsunari "Supply-side Estimate of Expected Equity Return on Industrial Japan", Security Analysts Journal, September 2005
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Estep, Tony, "Cash Flows, Asset Values, and Investment Returns: Brief Summary", Banc of America Capital Management, March 2003
2538: 458:. The company funds its growth by investing in plant and equipment and working capital so that its asset base also grows at 2783: 2509:
Asikoglu, Yaman and Metin R. Ercan, "Inflation Flow-Through and Stock Prices," Journal of Portfolio Management, Spring 1992
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Estep, Tony (July 1987), "Security Analysis And Stock Selection: Turning Financial Information Into Return Forecasts",
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Estep, Preston, "Cash Flows, Asset Values, and Investment Returns", The Journal of Portfolio Management, Spring 2003
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may be positive (company has money with which it can repurchase shares) or negative (company must issue shares).
1516: 2802: 826:{\displaystyle (3){\frac {\mathit {D}}{\mathit {P}}}={\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {P}}B}}} 2108:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {R}}OE(1-D/E)}{{\mathit {P}}B}}} 3285: 3225: 3021: 2927: 2525: 3011: 2979: 2883: 2837: 2820: 2773: 2397: 24: 2796: 2790: 3336: 2454:
Wilcox, Jarrod W., "The P/B-ROE Valuation Model," Financial Analysts Journal, Jan–Feb 1984, pp 58–66.
2413: 3185: 2860: 2418: 433: 386: 3139: 3000: 2895: 2778: 2401: 2379: 44: 3027: 1385:{\displaystyle (4){\frac {\Delta P}{P}}={\mathit {g}}+{\frac {\Delta PB}{PB}}{\mathit {(}}1+g)} 835:
Now we need a way to write the other portion of return, that due to price change, in terms of
410: 207:= total return from the stock over a period (appreciation + "distribution yield" — see below); 3165: 2974: 1094: 1068: 861: 635:{\displaystyle {\frac {{\mathit {D}}iv}{\mathit {P}}}+{\frac {{\mathit {X}}CF}{\mathit {P}}}} 3300: 3220: 2985: 2969: 2932: 2814: 2757: 2725: 1849:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {g}}}{1}}=ROE} 8: 3331: 3230: 3175: 3099: 2959: 2889: 2718: 2691: 2371:); however, this by no means guarantees that it will be a successful stock-picking tool. 374:{\displaystyle (2){\mathit {T}}={\frac {\mathit {D}}{\mathit {P}}}+{\frac {\Delta P}{P}}} 277: 28: 2174:
This is the standard Gordon "yield plus growth" model. It will be a correct estimate of
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Note that all "fundamental valuation methods" differ from economic models such as the
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Wilcox, Jarrod and Philips, Thomas K., "The P/B-ROE Model Revisited" (March 10, 2004)
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of the T-Model driven by cash items: cash flow, gross assets, and total liabilities.
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Still, it has advantages over commonly used fundamental valuation techniques such as
1585:{\displaystyle {\mbox{(net income + depreciation + all other non-cash charges),}}\,} 3235: 3155: 2951: 2832: 2708: 2627: 2583: 2561: 2473: 2389:
term. With an eye toward making forecasting more robust, in 2003 Estep published a
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as the sum of a risk-free rate plus a premium for exposure to return variability.
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cannot be related to growth by a simple rule of thumb such as the so-called "
2368: 3290: 3210: 3180: 3170: 2990: 2964: 2713: 2703: 2686: 2617: 2612: 2588: 20: 2477: 3295: 3275: 3255: 3250: 3195: 3084: 3016: 1287:{\displaystyle {\frac {\Delta {\mathit {B}}}{\mathit {B}}}={\mathit {g}}} 466:. Then the amount of earnings retained for reinvestment will have to be 3280: 3200: 2877: 2740: 2485: 2916: 2911: 2826: 2745: 2299: 1905:{\displaystyle {\mathit {R}}OE={\frac {\mathit {E}}{{\mathit {B}}V}}} 689:{\displaystyle {\mathit {R}}OE={\frac {\mathit {E}}{{\mathit {B}}V}}} 462:, and debt/equity ratio is held constant, so that net worth grows at 2530: 2165:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {D}{\mathit {P}}}} 740:{\displaystyle {\mathit {P}}B={\frac {\mathit {P}}{{\mathit {B}}V}}} 570:
Assume that the company buys or sells shares in accordance with its
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The T-model is also closely related to the P/B-ROE model of Wilcox
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is constant, the familiar price–earnings ratio can be written as:
266:= the ratio of price / book value at the beginning of the period. 35: 23:. For the distribution model similar to Normal distribution, see 2182:
does not change and the company grows at its reinvestment rate.
1984:{\displaystyle {\mathit {T}}={\frac {\mathit {E}}{\mathit {P}}}} 235:= the growth rate of the company's book value during the period; 2681: 2604: 1394:
Substituting (3) and (4) into (2) gives (1), the T-Model.
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The return a shareholder receives from owning a stock is:
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From this relationship we recognize immediately that
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For notational clarity, temporarily replace 2546: 2336:{\displaystyle {\frac {{\mathit {P}}/E}{g}}} 16:Connects fundamentals with investment return 2553: 2539: 55:Mathematically the T-model is as follows: 47:that can be used in investment selection. 1939: 1581: 1561:{\displaystyle {\mathit {C}}F=cashflow\,} 1557: 1049: 972: 534: 3324: 1912:and we are assuming in this case that 1397: 2560: 2534: 2463: 1088:from both sides and then dividing by 430:= price appreciation or decline, and 13: 2503: 2314: 2271: 2261: 2245: 2236: 2220: 2206: 2201: 2156: 2142: 2132: 2094: 2056: 2040: 2027: 2017: 1975: 1970: 1959: 1934: 1921: 1891: 1884: 1867: 1823: 1807: 1794: 1784: 1727: 1616: 1522: 1460: 1437: 1427: 1414: 1343: 1332: 1315: 1279: 1268: 1261: 1256: 1216: 1209: 1204: 1193: 1180: 1173: 1168: 1156: 1149: 1144: 1126: 1044: 1039: 1034: 1029: 1021: 1016: 1011: 1001: 996: 991: 978: 964: 959: 951: 938: 933: 925: 912: 907: 899: 812: 803: 787: 773: 768: 726: 719: 705: 675: 668: 651: 626: 613: 599: 586: 523: 507: 497: 481: 439: 414: 392: 359: 347: 342: 331: 132: 115: 106: 90: 77: 67: 14: 3348: 2809:Electronic communication network 1604: 1447: 2491: 2457: 2448: 2439: 2430: 2276: 2256: 2087: 2067: 1496: 1379: 1309: 1303: 1246:; moreover, we recognize that 969: 946: 943: 920: 762: 756: 326: 320: 168: 1: 2803:Multilateral trading facility 447:{\displaystyle {\mathit {D}}} 400:{\displaystyle {\mathit {P}}} 306: 3226:Returns-based style analysis 3022:Post-modern portfolio theory 2928:Security characteristic line 1767:Relationship to other models 7: 2980:Efficient-market hypothesis 2884:Capital asset pricing model 2821:Straight-through processing 2407: 2398:capital asset pricing model 10: 3353: 2797:Alternative Trading System 2466:Financial Analysts Journal 2121:for ROE, this turns into: 50: 18: 3072: 2947: 2846: 2766: 2674: 2641: 2602: 2568: 2414:Residual income valuation 2347:and the required return, 407:= beginning stock price, 2861:Arbitrage pricing theory 2424: 2419:Clean surplus accounting 1294:, so it turns out that: 884:We can write changes in 423:{\displaystyle \Delta P} 25:Student's t-distribution 3140:Initial public offering 3001:Modern portfolio theory 2896:Dividend discount model 2779:List of stock exchanges 2380:dividend discount model 1104:{\displaystyle \equiv } 1078:{\displaystyle \equiv } 871:{\displaystyle \equiv } 3028:Random walk hypothesis 2357: 2337: 2286: 2166: 2109: 1985: 1944: 1906: 1850: 1754: 1586: 1562: 1503: 1386: 1288: 1231: 1105: 1079: 1054: 872: 827: 741: 690: 636: 539: 448: 424: 401: 375: 294: 260: 229: 201: 175: 3166:Market capitalization 2975:Dollar cost averaging 2478:10.2469/faj.v43.n4.34 2343:; it also depends on 2338: 2287: 2167: 2110: 1986: 1945: 1907: 1851: 1755: 1587: 1563: 1504: 1387: 1289: 1232: 1106: 1080: 1055: 873: 828: 742: 691: 637: 540: 449: 425: 402: 376: 295: 261: 230: 202: 176: 2986:Fundamental analysis 2970:Contrarian investing 2933:Security market line 2838:Liquidity aggregator 2815:Direct market access 2726:Quantitative analyst 2306: 2195: 2127: 2012: 1954: 1916: 1862: 1779: 1600: 1571: 1517: 1409: 1300: 1250: 1120: 1095: 1069: 894: 862: 753: 747:this simplifies to: 700: 646: 578: 551:= excess cash flow, 476: 434: 411: 387: 317: 278: 247: 219: 191: 62: 3231:Reverse stock split 3176:Market manipulation 3100:Dual-listed company 2960:Algorithmic trading 2890:Capital market line 2692:Inter-dealer broker 1398:Cash-flow variation 293:{\displaystyle ROE} 3271:Stock market index 3110:Efficient frontier 3049:Technical analysis 3007:Momentum investing 2829:(private exchange) 2719:Proprietary trader 2661:Shares outstanding 2651:Authorised capital 2378:or the simplified 2333: 2282: 2162: 2105: 1981: 1940: 1902: 1846: 1750: 1582: 1579: 1558: 1499: 1382: 1284: 1227: 1101: 1075: 1050: 868: 823: 737: 686: 632: 535: 444: 420: 397: 371: 290: 259:{\displaystyle PB} 256: 225: 197: 171: 3319: 3318: 3120:Flight-to-quality 2872:Buffett indicator 2562:Financial markets 2331: 2280: 2210: 2160: 2103: 1979: 1900: 1832: 1748: 1578: 1478: 1441: 1361: 1325: 1272: 1220: 1184: 1160: 1136: 821: 777: 735: 684: 630: 603: 559:= dividends, and 369: 351: 228:{\displaystyle g} 200:{\displaystyle T} 150: 124: 3344: 3337:Financial models 3236:Share repurchase 2948:Trading theories 2833:Crossing network 2791:Over-the-counter 2628:Restricted stock 2584:Secondary market 2555: 2548: 2541: 2532: 2531: 2498: 2495: 2489: 2488: 2461: 2455: 2452: 2446: 2443: 2437: 2434: 2342: 2340: 2339: 2334: 2332: 2327: 2323: 2318: 2317: 2310: 2291: 2289: 2288: 2283: 2281: 2279: 2275: 2274: 2265: 2264: 2249: 2248: 2241: 2240: 2239: 2224: 2223: 2216: 2211: 2209: 2204: 2199: 2171: 2169: 2168: 2163: 2161: 2159: 2151: 2146: 2145: 2136: 2135: 2114: 2112: 2111: 2106: 2104: 2102: 2098: 2097: 2090: 2083: 2060: 2059: 2044: 2043: 2036: 2031: 2030: 2021: 2020: 2006:doesn't change: 1990: 1988: 1987: 1982: 1980: 1978: 1973: 1968: 1963: 1962: 1949: 1947: 1946: 1941: 1938: 1937: 1925: 1924: 1911: 1909: 1908: 1903: 1901: 1899: 1895: 1894: 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2762: 2670: 2637: 2623:Preferred stock 2598: 2564: 2559: 2506: 2504:Further reading 2501: 2496: 2492: 2462: 2458: 2453: 2449: 2444: 2440: 2435: 2431: 2427: 2410: 2402:expected return 2360: 2319: 2313: 2312: 2311: 2309: 2307: 2304: 2303: 2270: 2269: 2260: 2259: 2244: 2243: 2242: 2235: 2234: 2219: 2218: 2217: 2215: 2205: 2200: 2198: 2196: 2193: 2192: 2155: 2150: 2141: 2140: 2131: 2130: 2128: 2125: 2124: 2093: 2092: 2091: 2079: 2055: 2054: 2039: 2038: 2037: 2035: 2026: 2025: 2016: 2015: 2013: 2010: 2009: 1974: 1969: 1967: 1958: 1957: 1955: 1952: 1951: 1933: 1932: 1920: 1919: 1917: 1914: 1913: 1890: 1889: 1888: 1883: 1881: 1866: 1865: 1863: 1860: 1859: 1822: 1821: 1806: 1805: 1804: 1802: 1793: 1792: 1783: 1782: 1780: 1777: 1776: 1769: 1726: 1725: 1724: 1615: 1614: 1613: 1611: 1603: 1601: 1598: 1597: 1574: 1572: 1569: 1568: 1521: 1520: 1518: 1515: 1514: 1481: 1480: 1470: 1459: 1457: 1446: 1436: 1426: 1425: 1424: 1422: 1413: 1412: 1410: 1407: 1406: 1400: 1364: 1363: 1353: 1342: 1340: 1331: 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65: 63: 60: 59: 53: 45:required return 32: 17: 12: 11: 5: 3350: 3340: 3339: 3334: 3317: 3316: 3314: 3313: 3308: 3303: 3298: 3293: 3288: 3283: 3278: 3273: 3268: 3266:Stock exchange 3263: 3261:Stock dilution 3258: 3253: 3248: 3243: 3238: 3233: 3228: 3223: 3218: 3213: 3208: 3203: 3198: 3193: 3188: 3186:Mean reversion 3183: 3178: 3173: 3168: 3163: 3161:Market anomaly 3158: 3153: 3148: 3143: 3137: 3132: 3127: 3122: 3117: 3112: 3107: 3102: 3097: 3092: 3087: 3082: 3080:Bid–ask spread 3076: 3074: 3070: 3069: 3067: 3066: 3061: 3056: 3051: 3046: 3041: 3036: 3031: 3025: 3019: 3014: 3009: 3004: 2998: 2993: 2988: 2983: 2977: 2972: 2967: 2962: 2956: 2954: 2945: 2944: 2942: 2941: 2936: 2930: 2925: 2919: 2914: 2909: 2907:Earnings yield 2904: 2902:Dividend yield 2899: 2893: 2887: 2881: 2875: 2869: 2864: 2858: 2852: 2850: 2844: 2843: 2841: 2840: 2835: 2830: 2824: 2818: 2812: 2806: 2800: 2794: 2793:(off-exchange) 2788: 2787: 2786: 2781: 2770: 2768: 2767:Trading venues 2764: 2763: 2761: 2760: 2755: 2754: 2753: 2743: 2738: 2733: 2728: 2723: 2722: 2721: 2716: 2706: 2701: 2696: 2695: 2694: 2689: 2678: 2676: 2672: 2671: 2669: 2668: 2666:Treasury stock 2663: 2658: 2653: 2647: 2645: 2639: 2638: 2636: 2635: 2633:Tracking stock 2630: 2625: 2620: 2615: 2609: 2607: 2600: 2599: 2597: 2596: 2591: 2586: 2581: 2579:Primary market 2575: 2573: 2566: 2565: 2558: 2557: 2550: 2543: 2535: 2529: 2528: 2523: 2518: 2513: 2510: 2505: 2502: 2500: 2499: 2490: 2456: 2447: 2438: 2428: 2426: 2423: 2422: 2421: 2416: 2409: 2406: 2376:price–earnings 2359: 2356: 2330: 2326: 2322: 2316: 2278: 2273: 2268: 2263: 2258: 2255: 2252: 2247: 2238: 2233: 2230: 2227: 2222: 2214: 2208: 2203: 2158: 2154: 2149: 2144: 2139: 2134: 2101: 2096: 2089: 2086: 2082: 2078: 2075: 2072: 2069: 2066: 2063: 2058: 2053: 2050: 2047: 2042: 2034: 2029: 2024: 2019: 1977: 1972: 1966: 1961: 1936: 1931: 1928: 1923: 1898: 1893: 1886: 1880: 1877: 1874: 1869: 1845: 1842: 1839: 1836: 1831: 1825: 1820: 1817: 1814: 1809: 1801: 1796: 1791: 1786: 1768: 1765: 1746: 1743: 1740: 1737: 1734: 1729: 1722: 1719: 1716: 1713: 1710: 1707: 1704: 1701: 1698: 1695: 1692: 1689: 1686: 1683: 1680: 1677: 1674: 1671: 1668: 1665: 1662: 1659: 1656: 1653: 1650: 1647: 1644: 1641: 1638: 1635: 1632: 1629: 1626: 1623: 1618: 1610: 1606: 1556: 1553: 1550: 1547: 1544: 1541: 1538: 1535: 1532: 1529: 1524: 1498: 1495: 1492: 1489: 1484: 1476: 1473: 1468: 1465: 1462: 1456: 1453: 1449: 1445: 1439: 1434: 1429: 1421: 1416: 1399: 1396: 1381: 1378: 1375: 1372: 1367: 1359: 1356: 1351: 1348: 1345: 1339: 1334: 1329: 1324: 1320: 1317: 1311: 1308: 1305: 1281: 1276: 1270: 1263: 1258: 1225: 1218: 1211: 1206: 1200: 1195: 1189: 1182: 1175: 1170: 1164: 1158: 1151: 1146: 1140: 1135: 1131: 1128: 1100: 1074: 1046: 1041: 1036: 1031: 1028: 1023: 1018: 1013: 1008: 1003: 998: 993: 988: 985: 980: 975: 971: 966: 961: 958: 953: 948: 945: 940: 935: 932: 927: 922: 919: 914: 909: 906: 901: 867: 819: 814: 805: 800: 797: 794: 789: 781: 775: 770: 764: 761: 758: 733: 728: 721: 715: 712: 707: 682: 677: 670: 664: 661: 658: 653: 628: 623: 620: 615: 607: 601: 596: 593: 588: 533: 530: 525: 520: 517: 514: 509: 504: 499: 494: 491: 488: 483: 441: 419: 416: 394: 368: 364: 361: 355: 349: 344: 338: 333: 328: 325: 322: 308: 305: 304: 303: 302: 301: 289: 286: 283: 270: 269: 268: 267: 255: 252: 239: 238: 237: 236: 224: 211: 210: 209: 208: 196: 182: 181: 170: 167: 164: 161: 156: 148: 145: 140: 137: 134: 128: 122: 117: 108: 103: 100: 97: 92: 84: 79: 74: 69: 52: 49: 15: 9: 6: 4: 3: 2: 3349: 3338: 3335: 3333: 3330: 3329: 3327: 3312: 3309: 3307: 3304: 3302: 3299: 3297: 3294: 3292: 3289: 3287: 3284: 3282: 3279: 3277: 3274: 3272: 3269: 3267: 3264: 3262: 3259: 3257: 3254: 3252: 3249: 3247: 3244: 3242: 3241:Short selling 3239: 3237: 3234: 3232: 3229: 3227: 3224: 3222: 3219: 3217: 3214: 3212: 3209: 3207: 3204: 3202: 3199: 3197: 3194: 3192: 3189: 3187: 3184: 3182: 3179: 3177: 3174: 3172: 3169: 3167: 3164: 3162: 3159: 3157: 3154: 3152: 3149: 3147: 3144: 3141: 3138: 3136: 3133: 3131: 3130:Greenspan put 3128: 3126: 3123: 3121: 3118: 3116: 3115:Financial law 3113: 3111: 3108: 3106: 3103: 3101: 3098: 3096: 3093: 3091: 3090:Cross listing 3088: 3086: 3083: 3081: 3078: 3077: 3075: 3073:Related terms 3071: 3065: 3062: 3060: 3057: 3055: 3052: 3050: 3047: 3045: 3044:Swing trading 3042: 3040: 3037: 3035: 3032: 3029: 3026: 3023: 3020: 3018: 3015: 3013: 3012:Mosaic theory 3010: 3008: 3005: 3002: 2999: 2997: 2996:Market timing 2994: 2992: 2989: 2987: 2984: 2981: 2978: 2976: 2973: 2971: 2968: 2966: 2963: 2961: 2958: 2957: 2955: 2953: 2946: 2940: 2937: 2934: 2931: 2929: 2926: 2923: 2920: 2918: 2915: 2913: 2910: 2908: 2905: 2903: 2900: 2897: 2894: 2891: 2888: 2885: 2882: 2879: 2876: 2873: 2870: 2868: 2865: 2862: 2859: 2857: 2854: 2853: 2851: 2849: 2845: 2839: 2836: 2834: 2831: 2828: 2825: 2822: 2819: 2816: 2813: 2810: 2807: 2804: 2801: 2798: 2795: 2792: 2789: 2785: 2784:Trading hours 2782: 2780: 2777: 2776: 2775: 2772: 2771: 2769: 2765: 2759: 2756: 2752: 2749: 2748: 2747: 2744: 2742: 2739: 2737: 2734: 2732: 2729: 2727: 2724: 2720: 2717: 2715: 2712: 2711: 2710: 2707: 2705: 2702: 2700: 2699:Broker-dealer 2697: 2693: 2690: 2688: 2685: 2684: 2683: 2680: 2679: 2677: 2673: 2667: 2664: 2662: 2659: 2657: 2656:Issued shares 2654: 2652: 2649: 2648: 2646: 2644: 2643:Share capital 2640: 2634: 2631: 2629: 2626: 2624: 2621: 2619: 2616: 2614: 2611: 2610: 2608: 2606: 2601: 2595: 2594:Fourth market 2592: 2590: 2587: 2585: 2582: 2580: 2577: 2576: 2574: 2572: 2567: 2563: 2556: 2551: 2549: 2544: 2542: 2537: 2536: 2533: 2527: 2524: 2522: 2519: 2517: 2514: 2511: 2508: 2507: 2494: 2487: 2483: 2479: 2475: 2471: 2467: 2460: 2451: 2442: 2433: 2429: 2420: 2417: 2415: 2412: 2411: 2405: 2403: 2399: 2394: 2392: 2388: 2383: 2381: 2377: 2372: 2370: 2365: 2355: 2352: 2350: 2346: 2328: 2324: 2320: 2301: 2297: 2292: 2266: 2253: 2250: 2231: 2228: 2225: 2212: 2190: 2188: 2183: 2181: 2177: 2172: 2152: 2147: 2137: 2122: 2120: 2117:Substituting 2115: 2099: 2084: 2080: 2076: 2073: 2070: 2064: 2061: 2051: 2048: 2045: 2032: 2022: 2007: 2005: 2001: 1996: 1994: 1964: 1929: 1926: 1896: 1878: 1875: 1872: 1856: 1843: 1840: 1837: 1834: 1829: 1818: 1815: 1812: 1799: 1789: 1774: 1764: 1760: 1744: 1741: 1738: 1735: 1732: 1720: 1717: 1714: 1711: 1708: 1705: 1702: 1699: 1696: 1693: 1690: 1687: 1684: 1681: 1678: 1675: 1672: 1669: 1666: 1663: 1660: 1657: 1654: 1651: 1648: 1645: 1642: 1639: 1636: 1633: 1630: 1627: 1624: 1621: 1608: 1595: 1592: 1554: 1551: 1548: 1545: 1542: 1539: 1536: 1533: 1530: 1527: 1512: 1509: 1493: 1490: 1487: 1474: 1471: 1466: 1463: 1454: 1451: 1443: 1432: 1419: 1404: 1395: 1392: 1376: 1373: 1370: 1357: 1354: 1349: 1346: 1337: 1327: 1322: 1318: 1306: 1295: 1274: 1245: 1241: 1237: 1223: 1198: 1187: 1162: 1138: 1133: 1129: 1115: 1113: 1098: 1091: 1087: 1072: 1065: 1060: 1026: 1006: 986: 983: 973: 956: 930: 917: 904: 889: 887: 882: 880: 865: 858: 854: 850: 846: 842: 838: 833: 817: 798: 795: 792: 779: 759: 748: 731: 713: 710: 680: 662: 659: 656: 621: 618: 605: 594: 591: 573: 568: 566: 562: 558: 554: 550: 545: 531: 528: 518: 515: 512: 502: 492: 489: 486: 471: 469: 465: 461: 457: 417: 381: 366: 362: 353: 336: 323: 312: 287: 284: 281: 274: 273: 272: 271: 253: 250: 243: 242: 241: 240: 222: 215: 214: 213: 212: 194: 186: 185: 184: 183: 165: 162: 159: 146: 143: 138: 135: 126: 120: 101: 98: 95: 82: 72: 58: 57: 56: 48: 46: 41: 37: 30: 26: 22: 3291:Tender offer 3211:Public float 3181:Market trend 3171:Market depth 2991:Growth stock 2965:Buy and hold 2938: 2874:(Cap-to-GDP) 2714:Floor trader 2704:Market maker 2687:Floor broker 2675:Participants 2618:Golden share 2613:Common stock 2589:Third market 2493: 2472:(4): 34–43, 2469: 2465: 2459: 2450: 2441: 2432: 2395: 2386: 2384: 2373: 2363: 2361: 2353: 2348: 2344: 2295: 2293: 2191: 2186: 2184: 2179: 2175: 2173: 2123: 2118: 2116: 2008: 2003: 1999: 1997: 1992: 1857: 1772: 1770: 1761: 1596: 1593: 1513: 1510: 1405: 1401: 1393: 1296: 1243: 1239: 1238: 1116: 1111: 1089: 1085: 1063: 1062:Subtracting 1061: 890: 885: 883: 878: 856: 852: 848: 844: 840: 836: 834: 749: 571: 569: 564: 560: 556: 555:= earnings, 552: 548: 546: 472: 467: 463: 459: 455: 382: 313: 310: 54: 39: 33: 21:Ford Model T 3296:Uptick rule 3276:Stock split 3256:Squeeze-out 3251:Speculation 3196:Open outcry 3085:Block trade 3017:Pairs trade 3332:Investment 3326:Categories 3301:Volatility 3281:Stock swap 3201:Order book 2952:strategies 2878:Book value 2746:Arbitrager 2741:Speculator 2369:derivation 2002:. Then if 1114:, we get: 307:Derivation 2917:Fed model 2912:EV/EBITDA 2827:Dark pool 2758:Regulator 2603:Types of 2569:Types of 2300:PEG ratio 2267:− 2232:− 2074:− 2052:− 1819:− 1637:− 1605:Φ 1461:Δ 1448:Φ 1344:Δ 1316:Δ 1257:Δ 1205:Δ 1169:Δ 1145:Δ 1127:Δ 1099:≡ 1073:≡ 1040:Δ 1030:Δ 1017:Δ 997:Δ 960:Δ 934:Δ 908:Δ 866:≡ 799:− 519:− 503:− 415:Δ 360:Δ 133:Δ 102:− 3246:Slippage 3206:Position 3191:Momentum 3095:Dividend 2774:Exchange 2731:Investor 2408:See also 642:. Since 3135:Haircut 2939:T-model 2751:Scalper 2571:markets 2486:4479045 2391:version 2364:ex post 2000:1 – D/E 855:. Then 51:Formula 43:into a 40:T-model 36:finance 3156:Margin 3024:(PMPT) 2886:(CAPM) 2736:Hedger 2709:Trader 2682:Broker 2605:stocks 2484:  1858:Since 1773:PB = 1 1511:where 547:where 383:Where 187:where 3311:Yield 3286:Trade 3221:Rally 3142:(IPO) 3030:(RMH) 3003:(MPT) 2982:(EMH) 2935:(SML) 2924:(NAV) 2898:(DDM) 2892:(CML) 2863:(APT) 2856:Alpha 2823:(STP) 2817:(DMA) 2811:(ECN) 2805:(MTF) 2799:(ATS) 2482:JSTOR 2425:Notes 2362:When 851:with 843:with 38:, the 3146:Long 2950:and 2880:(BV) 2867:Beta 2119:E/BV 1594:and 888:as: 847:and 696:and 27:and 2474:doi 2387:ROE 2358:Use 2345:ROE 2296:P–E 2185:If 2178:if 1993:ROE 1242:is 572:XCF 565:XCF 557:Div 549:XCF 468:gBV 34:In 3328:: 2480:, 2470:43 2468:, 2351:. 2302:" 2187:PB 2180:PB 2004:PB 1995:. 1950:, 1244:PB 1112:AB 1086:AB 881:. 879:AB 849:BV 841:PB 837:PB 561:BV 2554:e 2547:t 2540:v 2476:: 2349:T 2329:g 2325:E 2321:/ 2315:P 2277:) 2272:g 2262:T 2257:( 2254:E 2251:O 2246:R 2237:g 2229:E 2226:O 2221:R 2213:= 2207:E 2202:P 2176:T 2157:P 2153:D 2148:+ 2143:g 2138:= 2133:T 2100:B 2095:P 2088:) 2085:E 2081:/ 2077:D 2071:1 2068:( 2065:E 2062:O 2057:R 2049:E 2046:O 2041:R 2033:+ 2028:g 2023:= 2018:T 1976:P 1971:E 1965:= 1960:T 1935:P 1930:= 1927:V 1922:B 1897:V 1892:B 1885:E 1879:= 1876:E 1873:O 1868:R 1844:E 1841:O 1838:R 1835:= 1830:1 1824:g 1816:E 1813:O 1808:R 1800:+ 1795:g 1790:= 1785:T 1745:p 1742:a 1739:C 1736:t 1733:k 1728:M 1721:s 1718:e 1715:i 1712:t 1709:i 1706:l 1703:i 1700:b 1697:a 1694:i 1691:l 1688:l 1685:a 1682:t 1679:o 1676:t 1673:+ 1670:s 1667:t 1664:e 1661:s 1658:s 1655:a 1652:s 1649:s 1646:o 1643:r 1640:g 1634:p 1631:a 1628:C 1625:t 1622:k 1617:M 1609:= 1555:w 1552:o 1549:l 1546:f 1543:h 1540:s 1537:a 1534:c 1531:= 1528:F 1523:C 1497:) 1494:g 1491:+ 1488:1 1483:( 1475:B 1472:P 1467:B 1464:P 1455:+ 1452:g 1444:+ 1438:P 1433:F 1428:C 1420:= 1415:T 1380:) 1377:g 1374:+ 1371:1 1366:( 1358:B 1355:P 1350:B 1347:P 1338:+ 1333:g 1328:= 1323:P 1319:P 1310:) 1307:4 1304:( 1280:g 1275:= 1269:B 1262:B 1240:A 1224:) 1217:B 1210:B 1199:+ 1194:1 1188:( 1181:A 1174:A 1163:+ 1157:B 1150:B 1139:= 1134:P 1130:P 1090:P 1064:P 1045:B 1035:A 1027:+ 1022:B 1012:A 1007:+ 1002:A 992:B 987:+ 984:B 979:A 974:= 970:) 965:B 957:+ 952:B 947:( 944:) 939:A 931:+ 926:A 921:( 918:= 913:P 905:+ 900:P 886:P 857:P 853:B 845:A 818:B 813:P 804:g 796:E 793:O 788:R 780:= 774:P 769:D 763:) 760:3 757:( 732:V 727:B 720:P 714:= 711:B 706:P 681:V 676:B 669:E 663:= 660:E 657:O 652:R 627:P 622:F 619:C 614:X 606:+ 600:P 595:v 592:i 587:D 553:E 532:V 529:B 524:g 516:v 513:i 508:D 498:E 493:= 490:F 487:C 482:X 464:g 460:g 456:g 440:D 418:P 393:P 367:P 363:P 354:+ 348:P 343:D 337:= 332:T 327:) 324:2 321:( 288:E 285:O 282:R 254:B 251:P 223:g 195:T 169:) 166:g 163:+ 160:1 155:( 147:B 144:P 139:B 136:P 127:+ 121:B 116:P 107:g 99:E 96:O 91:R 83:+ 78:g 73:= 68:T 31:.

Index

Ford Model T
Student's t-distribution
Student's t-test
finance
required return
PEG ratio
derivation
price–earnings
dividend discount model
version
capital asset pricing model
expected return
Residual income valuation
Clean surplus accounting
doi
10.2469/faj.v43.n4.34
JSTOR
4479045
Estep, Tony, "Cash Flows, Asset Values, and Investment Returns: Brief Summary", Banc of America Capital Management, March 2003
Wilcox, Jarrod and Philips, Thomas K., "The P/B-ROE Model Revisited" (March 10, 2004)
Yamaguchi, Katsunari "Supply-side Estimate of Expected Equity Return on Industrial Japan", Security Analysts Journal, September 2005
v
t
e
Financial markets
markets
Primary market
Secondary market
Third market
Fourth market

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