Knowledge (XXG)

T-model

Source đź“ť

1069: 1246: 904: 53:
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
1773:
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
190: 2301: 1518: 1130: 1413:
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:
1769: 842: 2124: 1064:{\displaystyle {\mathit {P}}+\Delta {\mathit {P}}=({\mathit {A}}+\Delta {\mathit {A}})({\mathit {B}}+\Delta {\mathit {B}})\,={\mathit {A}}B+{\mathit {B}}\Delta {\mathit {A}}+{\mathit {A}}\Delta {\mathit {B}}+\Delta {\mathit {A}}\Delta {\mathit {B}}\,} 1401: 2377:
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
651: 1865: 390: 1601: 2002:, 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 554: 1303: 1921: 705: 2181: 756: 72: 2000: 2205: 1419: 1241:{\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)} 1774:
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.
1959: 2393:: 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. 2352: 585:, 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 1610: 1577: 2563: 763: 2022: 1782:
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 (
463: 416: 439: 1120: 1094: 887: 1310: 2411:
and its various descendants; fundamental models attempt to forecast return from a company's expected future financial performance, whereas CAPM-type models regard
2396:
Some of the practical difficulties involved with financial forecasts stem from the many vicissitudes possible in the calculation of earnings, the numerator in the
588: 309: 465:= 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 275: 1789: 244: 216: 327: 1581: 2556: 2009:
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
2508:
Dwyer, Hubert and Richard Lynn, "Is The Estep T-Model Consistently Useful?" Financial Analysts Journal, November/December 1992, Vol. 48, No. 6: 82–86.
486: 1260: 2549: 574:= book value. The company may have money left over after paying dividends and financing growth, or it may have a shortfall. In other words, 185:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {P}}B}}+{\frac {\Delta PB}{PB}}{\mathit {(}}1+g)} 2794: 1872: 656: 2523:
Erzegovesi, Luca, "Come impostare la previsione dei rendimenti azionari: il T-model," Economia & Management 1988, v. 2, p. 93–104
2137: 710: 2296:{\displaystyle {\frac {\mathit {P}}{\mathit {E}}}={\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {R}}OE({\mathit {T}}-{\mathit {g}})}}} 2447:
Estep, Preston W., "A New Method For Valuing Common Stocks", Financial Analysts Journal, November/December 1985, Vol. 41, No. 6: 26–27
1964: 2537:
Yamaguchi, Katsunari "Supply-side Estimate of Expected Equity Return on Industrial Japan", Security Analysts Journal, September 2005
1786:) at the beginning and end of the holding period. The third term of the T-Model becomes zero, and the remaining terms simplify to: 1513:{\displaystyle {\mathit {T}}={\frac {{\mathit {C}}F}{\mathit {P}}}+{\boldsymbol {\Phi }}g+{\frac {\Delta PB}{PB}}{\mathit {(}}1+g)} 2819: 2527:
Estep, Tony, "Cash Flows, Asset Values, and Investment Returns: Brief Summary", Banc of America Capital Management, March 2003
469:. The company funds its growth by investing in plant and equipment and working capital so that its asset base also grows at 2520:
Asikoglu, Yaman and Metin R. Ercan, "Inflation Flow-Through and Stock Prices," Journal of Portfolio Management, Spring 1992
2813: 3296: 3236: 3032: 2938: 2475:
Estep, Tony (July 1987), "Security Analysis And Stock Selection: Turning Financial Information Into Return Forecasts",
3022: 2990: 2894: 2848: 2831: 2784: 2408: 35: 2456:
Estep, Preston, "Cash Flows, Asset Values, and Investment Returns", The Journal of Portfolio Management, Spring 2003
1926: 2807: 2801: 1764:{\displaystyle {\boldsymbol {\Phi }}={\frac {{\mathit {M}}ktCap-grossassets+totalliabilities}{{\mathit {M}}ktCap}}} 2316: 3347: 2424: 578:
may be positive (company has money with which it can repurchase shares) or negative (company must issue shares).
3196: 2871: 2429: 1527: 837:{\displaystyle (3){\frac {\mathit {D}}{\mathit {P}}}={\frac {{\mathit {R}}OE-{\mathit {g}}}{{\mathit {P}}B}}} 3150: 3011: 2906: 2789: 2412: 2390: 2119:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {R}}OE(1-D/E)}{{\mathit {P}}B}}} 55: 3038: 2536: 3176: 2985: 3311: 3231: 2996: 2980: 2943: 2825: 2768: 2736: 2465:
Wilcox, Jarrod W., "The P/B-ROE Valuation Model," Financial Analysts Journal, Jan–Feb 1984, pp 58–66.
3342: 3241: 3186: 3110: 2970: 2900: 2729: 2702: 444: 397: 39: 3090: 2386: 3281: 3256: 3216: 3201: 3120: 3059: 3017: 2761: 2671: 2661: 2492: 1396:{\displaystyle (4){\frac {\Delta P}{P}}={\mathit {g}}+{\frac {\Delta PB}{PB}}{\mathit {(}}1+g)} 3145: 3130: 2882: 846:
Now we need a way to write the other portion of return, that due to price change, in terms of
421: 218:= total return from the stock over a period (appreciation + "distribution yield" — see below); 1105: 1079: 872: 646:{\displaystyle {\frac {{\mathit {D}}iv}{\mathit {P}}}+{\frac {{\mathit {X}}CF}{\mathit {P}}}} 3246: 3166: 2962: 2843: 2719: 2638: 2594: 2572: 2484: 3321: 3316: 3251: 3226: 3161: 3135: 3115: 3074: 3069: 3064: 3049: 3044: 2932: 2866: 2858: 2746: 2633: 1860:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {{\mathit {R}}OE-{\mathit {g}}}{1}}=ROE} 2382:); however, this by no means guarantees that it will be a successful stock-picking tool. 385:{\displaystyle (2){\mathit {T}}={\frac {\mathit {D}}{\mathit {P}}}+{\frac {\Delta P}{P}}} 288: 2185:
This is the standard Gordon "yield plus growth" model. It will be a correct estimate of
257: 3276: 3271: 3171: 3156: 2917: 2912: 2877: 2676: 2643: 2589: 2581: 229: 201: 2407:
Note that all "fundamental valuation methods" differ from economic models such as the
3336: 3140: 3125: 3100: 3054: 3006: 2709: 2666: 2653: 2604: 2532:
Wilcox, Jarrod and Philips, Thomas K., "The P/B-ROE Model Revisited" (March 10, 2004)
2404:
of the T-Model driven by cash items: cash flow, gross assets, and total liabilities.
2385:
Still, it has advantages over commonly used fundamental valuation techniques such as
1596:{\displaystyle {\mbox{(net income + depreciation + all other non-cash charges),}}\,} 3301: 3221: 3191: 3181: 3001: 2975: 2724: 2714: 2697: 2628: 2623: 2599: 2400:
term. With an eye toward making forecasting more robust, in 2003 Estep published a
31: 2415:
as the sum of a risk-free rate plus a premium for exposure to return variability.
3306: 3286: 3266: 3261: 3206: 3095: 3027: 549:{\displaystyle {\mathit {X}}CF={\mathit {E}}-{\mathit {D}}iv-{\mathit {g}}BV\,} 311:= the company's return on equity, i.e. earnings during the period / book value; 3291: 3211: 2888: 2751: 2526: 2309:
cannot be related to growth by a simple rule of thumb such as the so-called "
1493: 1376: 165: 2927: 2922: 2837: 2756: 2310: 2488: 3105: 2741: 1298:{\displaystyle {\frac {\Delta {\mathit {B}}}{\mathit {B}}}={\mathit {g}}} 477:. Then the amount of earnings retained for reinvestment will have to be 2496: 2401: 2379: 46: 17: 2692: 1916:{\displaystyle {\mathit {R}}OE={\frac {\mathit {E}}{{\mathit {B}}V}}} 700:{\displaystyle {\mathit {R}}OE={\frac {\mathit {E}}{{\mathit {B}}V}}} 473:, and debt/equity ratio is held constant, so that net worth grows at 2541: 2176:{\displaystyle {\mathit {T}}={\mathit {g}}+{\frac {D}{\mathit {P}}}} 751:{\displaystyle {\mathit {P}}B={\frac {\mathit {P}}{{\mathit {B}}V}}} 581:
Assume that the company buys or sells shares in accordance with its
2365:
The T-model is also closely related to the P/B-ROE model of Wilcox
2615: 2531: 2200:
is constant, the familiar price–earnings ratio can be written as:
277:= the ratio of price / book value at the beginning of the period. 34:. For the distribution model similar to Normal distribution, see 2193:
does not change and the company grows at its reinvestment rate.
1995:{\displaystyle {\mathit {T}}={\frac {\mathit {E}}{\mathit {P}}}} 246:= the growth rate of the company's book value during the period; 2545: 2325: 2282: 2272: 2256: 2247: 2231: 2217: 2212: 2167: 2153: 2143: 2105: 2067: 2051: 2038: 2028: 1986: 1981: 1970: 1945: 1932: 1902: 1895: 1878: 1834: 1818: 1805: 1795: 1738: 1627: 1533: 1448: 1438: 1425: 1343: 1290: 1279: 1272: 1227: 1220: 1204: 1191: 1184: 1167: 1160: 1055: 1045: 1032: 1022: 1012: 1002: 989: 975: 962: 949: 936: 923: 910: 823: 814: 798: 784: 779: 737: 730: 716: 686: 679: 662: 637: 624: 610: 597: 534: 518: 508: 492: 450: 403: 358: 353: 342: 126: 117: 101: 88: 78: 1405:
Substituting (3) and (4) into (2) gives (1), the T-Model.
322:
The return a shareholder receives from owning a stock is:
1588:(net income + depreciation + all other non-cash charges), 1586: 2319: 2305:
From this relationship we recognize immediately that
2208: 2140: 2025: 1967: 1929: 1875: 1792: 1613: 1584: 1530: 1422: 1313: 1263: 1133: 1108: 1082: 907: 875: 766: 713: 659: 591: 489: 447: 424: 400: 330: 291: 260: 232: 204: 75: 3083: 2958: 2857: 2777: 2685: 2652: 2613: 2579: 2346: 2295: 2175: 2118: 1994: 1953: 1915: 1859: 1763: 1595: 1571: 1512: 1395: 1297: 1240: 1114: 1088: 1063: 881: 836: 750: 699: 645: 548: 481:. After paying dividends, there may be an excess: 457: 433: 410: 384: 303: 269: 238: 210: 184: 30:"T model" redirects here. For the automobile, see 1954:{\displaystyle {\mathit {B}}V={\mathit {P}}\,} 850:. For notational clarity, temporarily replace 2557: 8: 2347:{\displaystyle {\frac {{\mathit {P}}/E}{g}}} 27:Connects fundamentals with investment return 2564: 2550: 2542: 66:Mathematically the T-model is as follows: 58:that can be used in investment selection. 2330: 2324: 2323: 2320: 2318: 2281: 2280: 2271: 2270: 2255: 2254: 2246: 2245: 2230: 2229: 2226: 2216: 2211: 2209: 2207: 2166: 2161: 2152: 2151: 2142: 2141: 2139: 2104: 2103: 2090: 2066: 2065: 2050: 2049: 2046: 2037: 2036: 2027: 2026: 2024: 1985: 1980: 1978: 1969: 1968: 1966: 1950: 1944: 1943: 1931: 1930: 1928: 1901: 1900: 1894: 1892: 1877: 1876: 1874: 1833: 1832: 1817: 1816: 1813: 1804: 1803: 1794: 1793: 1791: 1737: 1736: 1626: 1625: 1622: 1614: 1612: 1592: 1585: 1583: 1572:{\displaystyle {\mathit {C}}F=cashflow\,} 1568: 1532: 1531: 1529: 1492: 1491: 1468: 1457: 1447: 1437: 1436: 1433: 1424: 1423: 1421: 1375: 1374: 1351: 1342: 1341: 1323: 1312: 1289: 1288: 1278: 1271: 1270: 1264: 1262: 1226: 1219: 1218: 1212: 1203: 1202: 1190: 1183: 1182: 1176: 1166: 1159: 1158: 1152: 1134: 1132: 1107: 1081: 1060: 1054: 1053: 1044: 1043: 1031: 1030: 1021: 1020: 1011: 1010: 1001: 1000: 988: 987: 983: 974: 973: 961: 960: 948: 947: 935: 934: 922: 921: 909: 908: 906: 874: 822: 821: 813: 812: 797: 796: 793: 783: 778: 776: 765: 736: 735: 729: 727: 715: 714: 712: 685: 684: 678: 676: 661: 660: 658: 636: 623: 622: 619: 609: 596: 595: 592: 590: 545: 533: 532: 517: 516: 507: 506: 491: 490: 488: 449: 448: 446: 423: 402: 401: 399: 367: 357: 352: 350: 341: 340: 329: 290: 259: 231: 203: 164: 163: 140: 125: 124: 116: 115: 100: 99: 96: 87: 86: 77: 76: 74: 2440: 1923:and we are assuming in this case that 1099:from both sides and then dividing by 441:= price appreciation or decline, and 7: 1471: 1354: 1326: 1267: 1215: 1179: 1155: 1137: 1050: 1040: 1027: 1007: 970: 944: 918: 425: 370: 143: 25: 2820:Electronic communication network 1615: 1458: 2287: 2267: 2098: 2078: 1507: 1390: 1320: 1314: 1257:; moreover, we recognize that 980: 957: 954: 931: 773: 767: 337: 331: 179: 1: 2814:Multilateral trading facility 458:{\displaystyle {\mathit {D}}} 411:{\displaystyle {\mathit {P}}} 3237:Returns-based style analysis 3033:Post-modern portfolio theory 2939:Security characteristic line 1778:Relationship to other models 2991:Efficient-market hypothesis 2895:Capital asset pricing model 2832:Straight-through processing 2409:capital asset pricing model 3364: 2808:Alternative Trading System 2477:Financial Analysts Journal 2132:for ROE, this turns into: 29: 2425:Residual income valuation 2358:and the required return, 418:= beginning stock price, 2872:Arbitrage pricing theory 2430:Clean surplus accounting 1305:, so it turns out that: 895:We can write changes in 434:{\displaystyle \Delta P} 36:Student's t-distribution 3151:Initial public offering 3012:Modern portfolio theory 2907:Dividend discount model 2790:List of stock exchanges 2391:dividend discount model 1115:{\displaystyle \equiv } 1089:{\displaystyle \equiv } 882:{\displaystyle \equiv } 3039:Random walk hypothesis 2348: 2297: 2177: 2120: 1996: 1955: 1917: 1861: 1765: 1597: 1573: 1514: 1397: 1299: 1242: 1116: 1090: 1065: 883: 838: 752: 701: 647: 550: 459: 435: 412: 386: 305: 271: 240: 212: 186: 3177:Market capitalization 2986:Dollar cost averaging 2489:10.2469/faj.v43.n4.34 2354:; it also depends on 2349: 2298: 2178: 2121: 1997: 1956: 1918: 1862: 1766: 1598: 1574: 1515: 1398: 1300: 1243: 1117: 1091: 1066: 884: 839: 753: 702: 648: 551: 460: 436: 413: 387: 306: 272: 241: 213: 187: 2997:Fundamental analysis 2981:Contrarian investing 2944:Security market line 2849:Liquidity aggregator 2826:Direct market access 2737:Quantitative analyst 2317: 2206: 2138: 2023: 1965: 1927: 1873: 1790: 1611: 1582: 1528: 1420: 1311: 1261: 1131: 1106: 1080: 905: 873: 764: 758:this simplifies to: 711: 657: 589: 562:= excess cash flow, 487: 445: 422: 398: 328: 289: 258: 230: 202: 73: 3242:Reverse stock split 3187:Market manipulation 3111:Dual-listed company 2971:Algorithmic trading 2901:Capital market line 2703:Inter-dealer broker 1409:Cash-flow variation 304:{\displaystyle ROE} 3282:Stock market index 3121:Efficient frontier 3060:Technical analysis 3018:Momentum investing 2840:(private exchange) 2730:Proprietary trader 2672:Shares outstanding 2662:Authorised capital 2389:or the simplified 2344: 2293: 2173: 2116: 1992: 1951: 1913: 1857: 1761: 1593: 1590: 1569: 1510: 1393: 1295: 1238: 1112: 1086: 1061: 879: 834: 748: 697: 643: 546: 455: 431: 408: 382: 301: 270:{\displaystyle PB} 267: 236: 208: 182: 3330: 3329: 3131:Flight-to-quality 2883:Buffett indicator 2573:Financial markets 2342: 2291: 2221: 2171: 2114: 1990: 1911: 1843: 1759: 1589: 1489: 1452: 1372: 1336: 1283: 1231: 1195: 1171: 1147: 832: 788: 746: 695: 641: 614: 570:= dividends, and 380: 362: 239:{\displaystyle g} 211:{\displaystyle T} 161: 135: 16:(Redirected from 3355: 3348:Financial models 3247:Share repurchase 2959:Trading theories 2844:Crossing network 2802:Over-the-counter 2639:Restricted stock 2595:Secondary market 2566: 2559: 2552: 2543: 2509: 2506: 2500: 2499: 2472: 2466: 2463: 2457: 2454: 2448: 2445: 2353: 2351: 2350: 2345: 2343: 2338: 2334: 2329: 2328: 2321: 2302: 2300: 2299: 2294: 2292: 2290: 2286: 2285: 2276: 2275: 2260: 2259: 2252: 2251: 2250: 2235: 2234: 2227: 2222: 2220: 2215: 2210: 2182: 2180: 2179: 2174: 2172: 2170: 2162: 2157: 2156: 2147: 2146: 2125: 2123: 2122: 2117: 2115: 2113: 2109: 2108: 2101: 2094: 2071: 2070: 2055: 2054: 2047: 2042: 2041: 2032: 2031: 2017:doesn't change: 2001: 1999: 1998: 1993: 1991: 1989: 1984: 1979: 1974: 1973: 1960: 1958: 1957: 1952: 1949: 1948: 1936: 1935: 1922: 1920: 1919: 1914: 1912: 1910: 1906: 1905: 1898: 1893: 1882: 1881: 1866: 1864: 1863: 1858: 1844: 1839: 1838: 1837: 1822: 1821: 1814: 1809: 1808: 1799: 1798: 1770: 1768: 1767: 1762: 1760: 1758: 1742: 1741: 1734: 1631: 1630: 1623: 1618: 1602: 1600: 1599: 1594: 1591: 1587: 1578: 1576: 1575: 1570: 1537: 1536: 1519: 1517: 1516: 1511: 1497: 1496: 1490: 1488: 1480: 1469: 1461: 1453: 1451: 1446: 1442: 1441: 1434: 1429: 1428: 1402: 1400: 1399: 1394: 1380: 1379: 1373: 1371: 1363: 1352: 1347: 1346: 1337: 1332: 1324: 1304: 1302: 1301: 1296: 1294: 1293: 1284: 1282: 1277: 1276: 1275: 1265: 1247: 1245: 1244: 1239: 1237: 1233: 1232: 1230: 1225: 1224: 1223: 1213: 1208: 1207: 1196: 1194: 1189: 1188: 1187: 1177: 1172: 1170: 1165: 1164: 1163: 1153: 1148: 1143: 1135: 1121: 1119: 1118: 1113: 1095: 1093: 1092: 1087: 1070: 1068: 1067: 1062: 1059: 1058: 1049: 1048: 1036: 1035: 1026: 1025: 1016: 1015: 1006: 1005: 993: 992: 979: 978: 966: 965: 953: 952: 940: 939: 927: 926: 914: 913: 888: 886: 885: 880: 843: 841: 840: 835: 833: 831: 827: 826: 819: 818: 817: 802: 801: 794: 789: 787: 782: 777: 757: 755: 754: 749: 747: 745: 741: 740: 733: 728: 720: 719: 706: 704: 703: 698: 696: 694: 690: 689: 682: 677: 666: 665: 652: 650: 649: 644: 642: 640: 635: 628: 627: 620: 615: 613: 608: 601: 600: 593: 555: 553: 552: 547: 538: 537: 522: 521: 512: 511: 496: 495: 464: 462: 461: 456: 454: 453: 440: 438: 437: 432: 417: 415: 414: 409: 407: 406: 391: 389: 388: 383: 381: 376: 368: 363: 361: 356: 351: 346: 345: 310: 308: 307: 302: 276: 274: 273: 268: 245: 243: 242: 237: 217: 215: 214: 209: 191: 189: 188: 183: 169: 168: 162: 160: 152: 141: 136: 134: 130: 129: 122: 121: 120: 105: 104: 97: 92: 91: 82: 81: 40:Student's t-test 21: 3363: 3362: 3358: 3357: 3356: 3354: 3353: 3352: 3333: 3332: 3331: 3326: 3317:Voting interest 3227:Public offering 3162:Mandatory offer 3136:Government bond 3116:DuPont analysis 3079: 3075:Value investing 3070:Value averaging 3065:Trend following 3050:Style investing 3045:Sector rotation 2960: 2954: 2933:Net asset value 2859:Stock valuation 2853: 2773: 2681: 2648: 2634:Preferred stock 2609: 2575: 2570: 2517: 2515:Further reading 2512: 2507: 2503: 2474: 2473: 2469: 2464: 2460: 2455: 2451: 2446: 2442: 2438: 2421: 2413:expected return 2371: 2322: 2315: 2314: 2253: 2228: 2204: 2203: 2136: 2135: 2102: 2048: 2021: 2020: 1963: 1962: 1925: 1924: 1899: 1871: 1870: 1815: 1788: 1787: 1780: 1735: 1624: 1609: 1608: 1580: 1579: 1526: 1525: 1481: 1470: 1435: 1418: 1417: 1411: 1364: 1353: 1325: 1309: 1308: 1266: 1259: 1258: 1214: 1201: 1197: 1178: 1154: 1136: 1129: 1128: 1104: 1103: 1078: 1077: 903: 902: 871: 870: 820: 795: 762: 761: 734: 709: 708: 683: 655: 654: 621: 594: 587: 586: 485: 484: 443: 442: 420: 419: 396: 395: 369: 326: 325: 320: 287: 286: 256: 255: 228: 227: 200: 199: 153: 142: 123: 98: 71: 70: 64: 56:required return 43: 28: 23: 22: 15: 12: 11: 5: 3361: 3359: 3351: 3350: 3345: 3335: 3334: 3328: 3327: 3325: 3324: 3319: 3314: 3309: 3304: 3299: 3294: 3289: 3284: 3279: 3277:Stock exchange 3274: 3272:Stock dilution 3269: 3264: 3259: 3254: 3249: 3244: 3239: 3234: 3229: 3224: 3219: 3214: 3209: 3204: 3199: 3197:Mean reversion 3194: 3189: 3184: 3179: 3174: 3172:Market anomaly 3169: 3164: 3159: 3154: 3148: 3143: 3138: 3133: 3128: 3123: 3118: 3113: 3108: 3103: 3098: 3093: 3091:Bid–ask spread 3087: 3085: 3081: 3080: 3078: 3077: 3072: 3067: 3062: 3057: 3052: 3047: 3042: 3036: 3030: 3025: 3020: 3015: 3009: 3004: 2999: 2994: 2988: 2983: 2978: 2973: 2967: 2965: 2956: 2955: 2953: 2952: 2947: 2941: 2936: 2930: 2925: 2920: 2918:Earnings yield 2915: 2913:Dividend yield 2910: 2904: 2898: 2892: 2886: 2880: 2875: 2869: 2863: 2861: 2855: 2854: 2852: 2851: 2846: 2841: 2835: 2829: 2823: 2817: 2811: 2805: 2804:(off-exchange) 2799: 2798: 2797: 2792: 2781: 2779: 2778:Trading venues 2775: 2774: 2772: 2771: 2766: 2765: 2764: 2754: 2749: 2744: 2739: 2734: 2733: 2732: 2727: 2717: 2712: 2707: 2706: 2705: 2700: 2689: 2687: 2683: 2682: 2680: 2679: 2677:Treasury stock 2674: 2669: 2664: 2658: 2656: 2650: 2649: 2647: 2646: 2644:Tracking stock 2641: 2636: 2631: 2626: 2620: 2618: 2611: 2610: 2608: 2607: 2602: 2597: 2592: 2590:Primary market 2586: 2584: 2577: 2576: 2571: 2569: 2568: 2561: 2554: 2546: 2540: 2539: 2534: 2529: 2524: 2521: 2516: 2513: 2511: 2510: 2501: 2467: 2458: 2449: 2439: 2437: 2434: 2433: 2432: 2427: 2420: 2417: 2387:price–earnings 2370: 2367: 2341: 2337: 2333: 2327: 2289: 2284: 2279: 2274: 2269: 2266: 2263: 2258: 2249: 2244: 2241: 2238: 2233: 2225: 2219: 2214: 2169: 2165: 2160: 2155: 2150: 2145: 2112: 2107: 2100: 2097: 2093: 2089: 2086: 2083: 2080: 2077: 2074: 2069: 2064: 2061: 2058: 2053: 2045: 2040: 2035: 2030: 1988: 1983: 1977: 1972: 1947: 1942: 1939: 1934: 1909: 1904: 1897: 1891: 1888: 1885: 1880: 1856: 1853: 1850: 1847: 1842: 1836: 1831: 1828: 1825: 1820: 1812: 1807: 1802: 1797: 1779: 1776: 1757: 1754: 1751: 1748: 1745: 1740: 1733: 1730: 1727: 1724: 1721: 1718: 1715: 1712: 1709: 1706: 1703: 1700: 1697: 1694: 1691: 1688: 1685: 1682: 1679: 1676: 1673: 1670: 1667: 1664: 1661: 1658: 1655: 1652: 1649: 1646: 1643: 1640: 1637: 1634: 1629: 1621: 1617: 1567: 1564: 1561: 1558: 1555: 1552: 1549: 1546: 1543: 1540: 1535: 1509: 1506: 1503: 1500: 1495: 1487: 1484: 1479: 1476: 1473: 1467: 1464: 1460: 1456: 1450: 1445: 1440: 1432: 1427: 1410: 1407: 1392: 1389: 1386: 1383: 1378: 1370: 1367: 1362: 1359: 1356: 1350: 1345: 1340: 1335: 1331: 1328: 1322: 1319: 1316: 1292: 1287: 1281: 1274: 1269: 1236: 1229: 1222: 1217: 1211: 1206: 1200: 1193: 1186: 1181: 1175: 1169: 1162: 1157: 1151: 1146: 1142: 1139: 1111: 1085: 1057: 1052: 1047: 1042: 1039: 1034: 1029: 1024: 1019: 1014: 1009: 1004: 999: 996: 991: 986: 982: 977: 972: 969: 964: 959: 956: 951: 946: 943: 938: 933: 930: 925: 920: 917: 912: 878: 830: 825: 816: 811: 808: 805: 800: 792: 786: 781: 775: 772: 769: 744: 739: 732: 726: 723: 718: 693: 688: 681: 675: 672: 669: 664: 639: 634: 631: 626: 618: 612: 607: 604: 599: 544: 541: 536: 531: 528: 525: 520: 515: 510: 505: 502: 499: 494: 452: 430: 427: 405: 379: 375: 372: 366: 360: 355: 349: 344: 339: 336: 333: 319: 316: 315: 314: 313: 312: 300: 297: 294: 281: 280: 279: 278: 266: 263: 250: 249: 248: 247: 235: 222: 221: 220: 219: 207: 193: 192: 181: 178: 175: 172: 167: 159: 156: 151: 148: 145: 139: 133: 128: 119: 114: 111: 108: 103: 95: 90: 85: 80: 63: 60: 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 3360: 3349: 3346: 3344: 3341: 3340: 3338: 3323: 3320: 3318: 3315: 3313: 3310: 3308: 3305: 3303: 3300: 3298: 3295: 3293: 3290: 3288: 3285: 3283: 3280: 3278: 3275: 3273: 3270: 3268: 3265: 3263: 3260: 3258: 3255: 3253: 3252:Short selling 3250: 3248: 3245: 3243: 3240: 3238: 3235: 3233: 3230: 3228: 3225: 3223: 3220: 3218: 3215: 3213: 3210: 3208: 3205: 3203: 3200: 3198: 3195: 3193: 3190: 3188: 3185: 3183: 3180: 3178: 3175: 3173: 3170: 3168: 3165: 3163: 3160: 3158: 3155: 3152: 3149: 3147: 3144: 3142: 3141:Greenspan put 3139: 3137: 3134: 3132: 3129: 3127: 3126:Financial law 3124: 3122: 3119: 3117: 3114: 3112: 3109: 3107: 3104: 3102: 3101:Cross listing 3099: 3097: 3094: 3092: 3089: 3088: 3086: 3084:Related terms 3082: 3076: 3073: 3071: 3068: 3066: 3063: 3061: 3058: 3056: 3055:Swing trading 3053: 3051: 3048: 3046: 3043: 3040: 3037: 3034: 3031: 3029: 3026: 3024: 3023:Mosaic theory 3021: 3019: 3016: 3013: 3010: 3008: 3007:Market timing 3005: 3003: 3000: 2998: 2995: 2992: 2989: 2987: 2984: 2982: 2979: 2977: 2974: 2972: 2969: 2968: 2966: 2964: 2957: 2951: 2948: 2945: 2942: 2940: 2937: 2934: 2931: 2929: 2926: 2924: 2921: 2919: 2916: 2914: 2911: 2908: 2905: 2902: 2899: 2896: 2893: 2890: 2887: 2884: 2881: 2879: 2876: 2873: 2870: 2868: 2865: 2864: 2862: 2860: 2856: 2850: 2847: 2845: 2842: 2839: 2836: 2833: 2830: 2827: 2824: 2821: 2818: 2815: 2812: 2809: 2806: 2803: 2800: 2796: 2795:Trading hours 2793: 2791: 2788: 2787: 2786: 2783: 2782: 2780: 2776: 2770: 2767: 2763: 2760: 2759: 2758: 2755: 2753: 2750: 2748: 2745: 2743: 2740: 2738: 2735: 2731: 2728: 2726: 2723: 2722: 2721: 2718: 2716: 2713: 2711: 2710:Broker-dealer 2708: 2704: 2701: 2699: 2696: 2695: 2694: 2691: 2690: 2688: 2684: 2678: 2675: 2673: 2670: 2668: 2667:Issued shares 2665: 2663: 2660: 2659: 2657: 2655: 2654:Share capital 2651: 2645: 2642: 2640: 2637: 2635: 2632: 2630: 2627: 2625: 2622: 2621: 2619: 2617: 2612: 2606: 2605:Fourth market 2603: 2601: 2598: 2596: 2593: 2591: 2588: 2587: 2585: 2583: 2578: 2574: 2567: 2562: 2560: 2555: 2553: 2548: 2547: 2544: 2538: 2535: 2533: 2530: 2528: 2525: 2522: 2519: 2518: 2514: 2505: 2502: 2498: 2494: 2490: 2486: 2482: 2478: 2471: 2468: 2462: 2459: 2453: 2450: 2444: 2441: 2435: 2431: 2428: 2426: 2423: 2422: 2418: 2416: 2414: 2410: 2405: 2403: 2399: 2394: 2392: 2388: 2383: 2381: 2376: 2368: 2366: 2363: 2361: 2357: 2339: 2335: 2331: 2312: 2308: 2303: 2277: 2264: 2261: 2242: 2239: 2236: 2223: 2201: 2199: 2194: 2192: 2188: 2183: 2163: 2158: 2148: 2133: 2131: 2128:Substituting 2126: 2110: 2095: 2091: 2087: 2084: 2081: 2075: 2072: 2062: 2059: 2056: 2043: 2033: 2018: 2016: 2012: 2007: 2005: 1975: 1940: 1937: 1907: 1889: 1886: 1883: 1867: 1854: 1851: 1848: 1845: 1840: 1829: 1826: 1823: 1810: 1800: 1785: 1777: 1775: 1771: 1755: 1752: 1749: 1746: 1743: 1731: 1728: 1725: 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: 1619: 1606: 1603: 1565: 1562: 1559: 1556: 1553: 1550: 1547: 1544: 1541: 1538: 1523: 1520: 1504: 1501: 1498: 1485: 1482: 1477: 1474: 1465: 1462: 1454: 1443: 1430: 1415: 1408: 1406: 1403: 1387: 1384: 1381: 1368: 1365: 1360: 1357: 1348: 1338: 1333: 1329: 1317: 1306: 1285: 1256: 1252: 1248: 1234: 1209: 1198: 1173: 1149: 1144: 1140: 1126: 1124: 1109: 1102: 1098: 1083: 1076: 1071: 1037: 1017: 997: 994: 984: 967: 941: 928: 915: 900: 898: 893: 891: 876: 869: 865: 861: 857: 853: 849: 844: 828: 809: 806: 803: 790: 770: 759: 742: 724: 721: 691: 673: 670: 667: 632: 629: 616: 605: 602: 584: 579: 577: 573: 569: 565: 561: 556: 542: 539: 529: 526: 523: 513: 503: 500: 497: 482: 480: 476: 472: 468: 428: 392: 377: 373: 364: 347: 334: 323: 317: 298: 295: 292: 285: 284: 283: 282: 264: 261: 254: 253: 252: 251: 233: 226: 225: 224: 223: 205: 197: 196: 195: 194: 176: 173: 170: 157: 154: 149: 146: 137: 131: 112: 109: 106: 93: 83: 69: 68: 67: 61: 59: 57: 52: 48: 41: 37: 33: 19: 3302:Tender offer 3222:Public float 3192:Market trend 3182:Market depth 3002:Growth stock 2976:Buy and hold 2949: 2885:(Cap-to-GDP) 2725:Floor trader 2715:Market maker 2698:Floor broker 2686:Participants 2629:Golden share 2624:Common stock 2600:Third market 2504: 2483:(4): 34–43, 2480: 2476: 2470: 2461: 2452: 2443: 2406: 2397: 2395: 2384: 2374: 2372: 2364: 2359: 2355: 2306: 2304: 2202: 2197: 2195: 2190: 2186: 2184: 2134: 2129: 2127: 2019: 2014: 2010: 2008: 2003: 1868: 1783: 1781: 1772: 1607: 1604: 1524: 1521: 1416: 1412: 1404: 1307: 1254: 1250: 1249: 1127: 1122: 1100: 1096: 1074: 1073:Subtracting 1072: 901: 896: 894: 889: 867: 863: 859: 855: 851: 847: 845: 760: 582: 580: 575: 571: 567: 566:= earnings, 563: 559: 557: 483: 478: 474: 470: 466: 393: 324: 321: 65: 50: 44: 32:Ford Model T 3307:Uptick rule 3287:Stock split 3267:Squeeze-out 3262:Speculation 3207:Open outcry 3096:Block trade 3028:Pairs trade 3343:Investment 3337:Categories 3312:Volatility 3292:Stock swap 3212:Order book 2963:strategies 2889:Book value 2757:Arbitrager 2752:Speculator 2380:derivation 2013:. Then if 1125:, we get: 318:Derivation 2928:Fed model 2923:EV/EBITDA 2838:Dark pool 2769:Regulator 2614:Types of 2580:Types of 2311:PEG ratio 2278:− 2243:− 2085:− 2063:− 1830:− 1648:− 1616:Φ 1472:Δ 1459:Φ 1355:Δ 1327:Δ 1268:Δ 1216:Δ 1180:Δ 1156:Δ 1138:Δ 1110:≡ 1084:≡ 1051:Δ 1041:Δ 1028:Δ 1008:Δ 971:Δ 945:Δ 919:Δ 877:≡ 810:− 530:− 514:− 426:Δ 371:Δ 144:Δ 113:− 3257:Slippage 3217:Position 3202:Momentum 3106:Dividend 2785:Exchange 2742:Investor 2419:See also 653:. Since 3146:Haircut 2950:T-model 2762:Scalper 2582:markets 2497:4479045 2402:version 2375:ex post 2011:1 – D/E 866:. Then 62:Formula 54:into a 51:T-model 47:finance 18:T-Model 3167:Margin 3035:(PMPT) 2897:(CAPM) 2747:Hedger 2720:Trader 2693:Broker 2616:stocks 2495:  1869:Since 1784:PB = 1 1522:where 558:where 394:Where 198:where 3322:Yield 3297:Trade 3232:Rally 3153:(IPO) 3041:(RMH) 3014:(MPT) 2993:(EMH) 2946:(SML) 2935:(NAV) 2909:(DDM) 2903:(CML) 2874:(APT) 2867:Alpha 2834:(STP) 2828:(DMA) 2822:(ECN) 2816:(MTF) 2810:(ATS) 2493:JSTOR 2436:Notes 2373:When 862:with 854:with 49:, the 3157:Long 2961:and 2891:(BV) 2878:Beta 2130:E/BV 1605:and 899:as: 858:and 707:and 38:and 2485:doi 2398:ROE 2369:Use 2356:ROE 2307:P–E 2196:If 2189:if 2004:ROE 1253:is 583:XCF 576:XCF 568:Div 560:XCF 479:gBV 45:In 3339:: 2491:, 2481:43 2479:, 2362:. 2313:" 2198:PB 2191:PB 2015:PB 2006:. 1961:, 1255:PB 1123:AB 1097:AB 892:. 890:AB 860:BV 852:PB 848:PB 572:BV 2565:e 2558:t 2551:v 2487:: 2360:T 2340:g 2336:E 2332:/ 2326:P 2288:) 2283:g 2273:T 2268:( 2265:E 2262:O 2257:R 2248:g 2240:E 2237:O 2232:R 2224:= 2218:E 2213:P 2187:T 2168:P 2164:D 2159:+ 2154:g 2149:= 2144:T 2111:B 2106:P 2099:) 2096:E 2092:/ 2088:D 2082:1 2079:( 2076:E 2073:O 2068:R 2060:E 2057:O 2052:R 2044:+ 2039:g 2034:= 2029:T 1987:P 1982:E 1976:= 1971:T 1946:P 1941:= 1938:V 1933:B 1908:V 1903:B 1896:E 1890:= 1887:E 1884:O 1879:R 1855:E 1852:O 1849:R 1846:= 1841:1 1835:g 1827:E 1824:O 1819:R 1811:+ 1806:g 1801:= 1796:T 1756:p 1753:a 1750:C 1747:t 1744:k 1739:M 1732:s 1729:e 1726:i 1723:t 1720:i 1717:l 1714:i 1711:b 1708:a 1705:i 1702:l 1699:l 1696:a 1693:t 1690:o 1687:t 1684:+ 1681:s 1678:t 1675:e 1672:s 1669:s 1666:a 1663:s 1660:s 1657:o 1654:r 1651:g 1645:p 1642:a 1639:C 1636:t 1633:k 1628:M 1620:= 1566:w 1563:o 1560:l 1557:f 1554:h 1551:s 1548:a 1545:c 1542:= 1539:F 1534:C 1508:) 1505:g 1502:+ 1499:1 1494:( 1486:B 1483:P 1478:B 1475:P 1466:+ 1463:g 1455:+ 1449:P 1444:F 1439:C 1431:= 1426:T 1391:) 1388:g 1385:+ 1382:1 1377:( 1369:B 1366:P 1361:B 1358:P 1349:+ 1344:g 1339:= 1334:P 1330:P 1321:) 1318:4 1315:( 1291:g 1286:= 1280:B 1273:B 1251:A 1235:) 1228:B 1221:B 1210:+ 1205:1 1199:( 1192:A 1185:A 1174:+ 1168:B 1161:B 1150:= 1145:P 1141:P 1101:P 1075:P 1056:B 1046:A 1038:+ 1033:B 1023:A 1018:+ 1013:A 1003:B 998:+ 995:B 990:A 985:= 981:) 976:B 968:+ 963:B 958:( 955:) 950:A 942:+ 937:A 932:( 929:= 924:P 916:+ 911:P 897:P 868:P 864:B 856:A 829:B 824:P 815:g 807:E 804:O 799:R 791:= 785:P 780:D 774:) 771:3 768:( 743:V 738:B 731:P 725:= 722:B 717:P 692:V 687:B 680:E 674:= 671:E 668:O 663:R 638:P 633:F 630:C 625:X 617:+ 611:P 606:v 603:i 598:D 564:E 543:V 540:B 535:g 527:v 524:i 519:D 509:E 504:= 501:F 498:C 493:X 475:g 471:g 467:g 451:D 429:P 404:P 378:P 374:P 365:+ 359:P 354:D 348:= 343:T 338:) 335:2 332:( 299:E 296:O 293:R 265:B 262:P 234:g 206:T 180:) 177:g 174:+ 171:1 166:( 158:B 155:P 150:B 147:P 138:+ 132:B 127:P 118:g 110:E 107:O 102:R 94:+ 89:g 84:= 79:T 42:. 20:)

Index

T-Model
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

Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.

↑