Table 11. Summary of price and return...

Table 11.

Summary of price and return models

Model	Dependent variable	Independent variables	R² (%)	RMSE
RIM price model	Equity price	BV and AR	82	0.77
DDM price model	Equity price	ΔBV and EPS	78	0.85
RIM return model	Equity return	BV/P and AR/P	10	0.24
DDM return model	Equity return	ΔBV/P and EPS/P	14.8	0.23
Standard market model	Equity return	Market return	3	0.25

Model	Dependent variable	Independent variables	R² (%)	RMSE
RIM price model	Equity price	BV and AR	82	0.77
DDM price model	Equity price	ΔBV and EPS	78	0.85
RIM return model	Equity return	BV/P and AR/P	10	0.24
DDM return model	Equity return	ΔBV/P and EPS/P	14.8	0.23
Standard market model	Equity return	Market return	3	0.25

Notes:

BV (book value per share), AR (PV of abnormal returns) BV/P (the book value to price) AR/P (PV of abnormal returns to price), ΔBV (change in book value), EPS (PV of earning per share), ΔBV/P (change in book value to price) and EPS/P (earning per share to price), R² (explanatory power) and RMSE (root mean square error)

[ViewLarge]

Sharing Unavailable