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    題名: A comparison of alternative models for estimating firm’s growth rate
    作者: 陳鴻毅
    Brick, Ivan E.;Chen, Hong-Yi;Hsieh, Chai-Hsun;Lee, Cheng-Few
    貢獻者: 財管系
    關鍵詞: Equity valuation;Estimation of growth rate;Gordon’s growth model;Determinants of growth forecast errors
    日期: 2016-08
    上傳時間: 2016-08-25 14:40:54 (UTC+8)
    摘要: The growth rate plays an important role in determining a firm’s asset and equity values, nevertheless the basic assumptions of the growth rate estimation model are less well understood. In this paper, we demonstrate that the model makes strong assumptions regarding the financing mix of the firm. In addition, we discuss various methods to estimate firms’ growth rate, including arithmetic average method, geometric average method, compound-sum method, continuous regression method, discrete regression method, and inferred method. We demonstrate that the arithmetic average method is very sensitive to extreme observations, and the regression methods yield similar but somewhat smaller estimates of the growth rate compared to the compound-sum method. Interestingly, the ex-post forecast shows that arithmetic average method (compound-sum method) yields the best (worst) performance with respect to estimating firm’s future dividend growth rate. Firm characteristics, like size, book-to-market ratio, and systematic risk, have significant influence on the forecast errors of dividend and sales growth rate estimation.
    關聯: Review of Quantitative Finance and Accounting, 47(2), 369-393
    資料類型: article
    DOI: http://dx.doi.org/10.1007/s11156-015-0504-6
    顯示於類別:[財務管理學系] 期刊論文

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