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| Tekijä: | Becchetti, L. Giacomo, S. Di |
| Otsikko: | Deviations from fundamentals in US and EU stock markets: A comparative analysis |
| Lehti: | European Journal of Finance
2007 : APR/JUN, VOL. 13:3-4, p. 195-226 |
| Asiasana: | stock markets discounted cash flow price earnings ratios information insider trading models European Union USA |
| Kieli: | eng |
| Tiivistelmä: | In this paper, a 'two-stage growth' discounted cash flow (DCF) model is built to test whether changes in the underlying market fundamentals help to explain stock price movements. Based on two samples of U.S. and EU stocks, it is shown among others that the 'fundamental' earning price ratio (E/P) explains a significant share of cross-sectional variation of the observed E/P, this impact being stronger in the U.S. market. There are also more results reported in detail. It is argued that differences in regulatory environments and in the composition of investors btw. the U.S. and EU financial systems may help to explain the comparative findings. |
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