search query: @author Lee, C. M. C. / total: 4
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| Author: | Lee, C. M. C. Myers, J. Swaminathan, B. |
| Title: | What is the intrinsic value of the Dow ? |
| Journal: | Journal of Finance
1999 : OCT, VOL. 54:5, p. 1693-1741 |
| Index terms: | Valuation Securities Stock markets Prices Models USA |
| Language: | eng |
| Abstract: | In the paper, the time-series relation btw. price and intrinsic value as a cointegrated system is modeled. In this framework, the performance of alternative estimates of intrinsic value for the Dow 30 stocks is compared. During 1963-1996, traditional market multiples have little predictive power. However, a V/P ratio, where V is based on a residual income valuation model, has statistically reliable predictive power. Further analysis shows time-varying interest rates and analyst forecasts are important to the success of V. |
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