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Three essays of firm's fundamentals and asset pricing
Descriptive
TypeOfResource
Text
TitleInfo
(ID = T-1)
Title
Three essays of firm's fundamentals and asset pricing
Identifier
ETD_2830
Identifier
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http://hdl.rutgers.edu/1782.1/rucore10002600001.ETD.000056114
Language
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eng
Genre
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theses
Subject
(ID = SBJ-1);
(authority = RUETD)
Topic
Management
Subject
(ID = SBJ-2);
(authority = ETD-LCSH)
Topic
Stock price forecasting
Subject
(ID = SBJ-3);
(authority = ETD-LCSH)
Topic
Investments
Subject
(ID = SBJ-4);
(authority = ETD-LCSH)
Topic
Equity
Subject
(ID = SBJ-5);
(authority = ETD-LCSH)
Topic
Financial statements
Subject
(ID = SBJ-6);
(authority = ETD-LCSH)
Topic
Earnings management
Abstract
(type = abstract)
In my dissertation research, I have three essays discussing the firm’s fundamentals and their asset pricing implications. In the first essay entitled “Alternative Equity Valuation Models”, we use simultaneous equations estimation and combined forecasting methods to examine future stock prices forecast ability of Ohlson (1995) Model, Feltham and Ohlson (1995) Model, and Warren and Shelton (1971) Model. We also investigate whether comprehensive earnings can provide incremental price-relevant information beyond net income. Overall, we find that the simultaneous equations estimation procedure can produce more accurate future stock price forecasts than the traditional single equation estimation method, and combined forecast method can further reduce the prediction errors by using combination of individual forecasts. We also find supporting evidence that investors can use comprehensive earnings to more accurately forecast future stock prices in these valuation models. My second essay entitled “Technical, Fundamental, and Combined Information for Separating Winners from Losers” jointly use fundamental and technical information to improve the technical momentum strategy. We examine how fundamental accounting information can be used to supplement the technical information, such as past returns and past trading volume data, to separate momentum winners from losers. More specifically, we propose a unified framework of incorporating fundamental indicators FSCORE (Piotroski, 2000) and GSCORE (Mohanram, 2005) into the technical momentum strategy. Our empirical results suggest that the combined momentum strategy outperforms technical momentum strategy for both growth and value stocks. My third essay entitled “The Economic Consequences of Real Earnings Management” examines how real activities based earnings management affect firm’s payout and investment decisions. Our paper focuses on real earnings management in a general equilibrium production (GEP) economy setting, and studies the economic implications of this phenomenon on the economy. To formalize the notion of real earnings management, we propose that risk-averse managers "manage" earnings through investment-payout decisions that are conditioned by their history and habits. In addition, we permit habits to change randomly which introduces another source of risk. We explicitly solve for the endogenous asset prices and interest rate, and show how this additional risk from managerial habits is priced in the production economy.
PhysicalDescription
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electronic resource
Extent
ix, 189 p. : ill.
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application/pdf
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text/xml
Note
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Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Wei-Kang Shih
Name
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Shih
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Wei-Kang
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1981-
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author
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WEI-KANG SHIH
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Lee
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Cheng-Few
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chair
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Cheng-Few Lee
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Govindaraj
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Suresh
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co-chair
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Suresh Govindaraj
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Chen
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Ren-Raw
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Ren-Raw Chen
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Kim
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Jin-Mo
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Jin-Mo Kim
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Lee
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Picheng
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Picheng Lee
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Tandon
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Kishore
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outside member
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Kishore Tandon
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Rutgers University
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degree grantor
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Graduate School - Newark
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school
OriginInfo
DateCreated
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2010
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2010
Place
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xx
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
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ETD
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Title
Graduate School - Newark Electronic Theses and Dissertations
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rucore10002600001
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NjNbRU
Identifier
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doi:10.7282/T3FN160J
Genre
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ETD doctoral
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Rights
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The author owns the copyright to this work.
Copyright
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Copyright protected
Availability
Status
Open
Reason
Permission or license
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Name
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SHIH
GivenName
WEI-KANG
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DateTime
2010-08-29 19:01:04
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WEI-KANG SHIH
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Rutgers University. Graduate School - Newark
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Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
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