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Empirical tests of the clean surplus valuation model : Canadian evidence

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Empirical tests of the clean surplus valuation model : Canadian evidence

Liu, Yue (2000) Empirical tests of the clean surplus valuation model : Canadian evidence. Masters thesis, Concordia University.

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Abstract

The main purpose of this research is to empirically test the validity of the clean surplus valuation model for Canadian public companies. The empirical results of this research confirm the high explanation power of the clean surplus model in predicting stock prices for Canadian public companies and support the use of the clean surplus model as a proxy for intrinsic firm value. Profitable trading strategies are successfully constructed based on the intrinsic values suggested by the model. It is evident that under-priced portfolios identified by the model consistently yield higher returns than other portfolios for all different holding periods. This research proves that the clean surplus valuation model provides a criteria that is both theoretically sound and empirically valid. By comparing the theoretical values with associated market prices, one can effectively construct profitable trading strategies by using fundamental variables and market values of mispriced stocks will eventually move toward their intrinsic values

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Liu, Yue
Pagination:42 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:John Molson School of Business
Date:2000
Thesis Supervisor(s):Switzer, Lorne N
ID Code:1157
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:17
Last Modified:08 Dec 2010 10:18
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