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AN ASSESSMENT OF NON-LINEAR ROBUST WEIGHTED REGRESSION IN VALUING CORPORATE EQUITY SECURITIES

Journal of Business and Behavioral Sciences, 2022-04, Vol.34 (1), p.122-130 [Peer Reviewed Journal]

Copyright American Society of Business and Behavioral Sciences Spring 2022 ;ISSN: 1099-5374 ;EISSN: 1946-8113

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  • Title:
    AN ASSESSMENT OF NON-LINEAR ROBUST WEIGHTED REGRESSION IN VALUING CORPORATE EQUITY SECURITIES
  • Author: Russon, Manuel G ; Bansal, Vipul
  • Subjects: Bias ; Book value ; Discount rates ; Dividends ; Earnings per share ; Equity ; Estimates ; Financial services ; Initial public offerings ; Portfolio management ; Regression analysis ; Securities prices ; Time series ; Valuation
  • Is Part Of: Journal of Business and Behavioral Sciences, 2022-04, Vol.34 (1), p.122-130
  • Description: Typical equity valuation regression models use OLS to model price as a function of balance sheet metrics. The predicted values from such regressions are deployed in a portfolio management and/or IPO process. Due to the nature of the input data, such models are often severely affected by outlying observations, skewed data, scale problems and nonlinearities, all of which result in biased predicted values of price. Here, robust weighted nonlinear regression is used to model price as a function of earnings and book value. This regression methodology mitigates the afore mentioned biases and provides better price estimates than OLS. These better price estimates, in turn, facilitate better decisions by primary and secondary market participants, as well as financial services participants in general.
  • Publisher: San Diego: American Society of Business and Behavioral Sciences
  • Language: English
  • Identifier: ISSN: 1099-5374
    EISSN: 1946-8113
  • Source: ProQuest One Psychology
    AUTh Library subscriptions: ProQuest Central
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