Incremental Information Content of Sophisticated Valuation Models

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MALEKIAN ESFANDIAR; NAZARI HASSAN

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Journal: FINANCIAL ACCOUNTING Year:2018 | Volume:10 | Issue:38 Page(s): 1-21

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Title

Incremental Information Content of Sophisticated Valuation Models

Author(s)

MALEKIAN ESFANDIAR | NAZARI HASSAN | Issue Writer Certificate

Keywords

ValuationQ1

Stock Valuation ModelsQ1

Contrarian Investment StrategyQ1

Abstract

Valuation signals have been among the most popular between equity portfolio managers for recognizing overvalue and undervalue stocks. They use wide range of Valuation models such as Residual Income Model and Real Option Model which are more complicated and need more data to calculate in comparison with simple models like price to earnings ratio, book yield, and dividend yield. In this research, signaling capability of simple and sophisticated Valuation models in Tehran Stock Exchange for the period of 1388-1395 were studied. Efficacy of these models were evaluated from two aspects of quality and strength of signaling by creating different buy and sell portfolios seasonally, mid-yearly, and annually using data of 90 companies. Using measures of excess return, information ratio, profitability, and information coefficient were used, we concluded that sophisticated models had no efficacy in recognizing undervalue and overvalue stocks. Meanwhile, we found that dividend yield is of great interest for investors especially in recognizing overvalue stocks.

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APA: Copy

MALEKIAN, ESFANDIAR, & NAZARI, HASSAN. (2018). Incremental Information Content of Sophisticated Valuation Models. FINANCIAL ACCOUNTING, 10(38 ), 1-21. SID. https://sid.ir/paper/168169/en

Vancouver: Copy

MALEKIAN ESFANDIAR, NAZARI HASSAN. Incremental Information Content of Sophisticated Valuation Models. FINANCIAL ACCOUNTING[Internet]. 2018;10(38 ):1-21. Available from: https://sid.ir/paper/168169/en

IEEE: Copy

ESFANDIAR MALEKIAN, and HASSAN NAZARI, “Incremental Information Content of Sophisticated Valuation Models,” FINANCIAL ACCOUNTING, vol. 10, no. 38 , pp. 1–21, 2018, [Online]. Available: https://sid.ir/paper/168169/en

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