MEASURING MARKET EFFICIENCY THROUGH VALUATION TECHNIQUES: THE CASE OF VISEGRAD COUNTRIES STOCK MARKETS

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F75081431%3A_____%2F23%3A00002566" target="_blank" >RIV/75081431:_____/23:00002566 - isvavai.cz</a>

Výsledek na webu

<a href="https://sciendo.com/article/10.2478/sbe-2023-0011" target="_blank" >https://sciendo.com/article/10.2478/sbe-2023-0011</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

MEASURING MARKET EFFICIENCY THROUGH VALUATION TECHNIQUES: THE CASE OF VISEGRAD COUNTRIES STOCK MARKETS

Popis výsledku v původním jazyce

Company valuation stands as the most controversial topic in the field of financial management. The study investigates the extent to which stock prices of the companies listed on Czech, Polish, Hungarian, and Slovak equity markets deviate from their estimated intrinsic value. DCF model was employed using Monte Carlo simulations with 500, 1000, and 10000 trials to generate estimated intrinsic value and compare them to market prices. The results of the study show that the Bratislava Stock Exchange (SAX) on average holds the lowest gap between intrinsic value per share and market prices with only 82% deviation, followed by PSE with 116% deviation, WIG20 with 207% deviation, and BUX with 246%. SAX appears with the best performance from 2009 to 2019, where the shares on average were traded with only 82% deviation from their estimated equilibrium price (intrinsic value). Findings regarding the differences between book value per share and stock prices are different, where SAX leads with 71% deviation, WIG20 with 181%, PSE with 188%, and BUX with 545%. Outcomes of the work are of interest to financial investors that seek to diversify their portfolios on the equity stocks. The study offers a new conceptual framework for testing the market efficiency of equity exchanges through company valuations techniques. From the policy perspective, institutions in charge get inform on the measures to be taken that would improve efficiency and strengthen the importance of the Visegrad equity markets.

Název v anglickém jazyce

MEASURING MARKET EFFICIENCY THROUGH VALUATION TECHNIQUES: THE CASE OF VISEGRAD COUNTRIES STOCK MARKETS

Popis výsledku anglicky

Company valuation stands as the most controversial topic in the field of financial management. The study investigates the extent to which stock prices of the companies listed on Czech, Polish, Hungarian, and Slovak equity markets deviate from their estimated intrinsic value. DCF model was employed using Monte Carlo simulations with 500, 1000, and 10000 trials to generate estimated intrinsic value and compare them to market prices. The results of the study show that the Bratislava Stock Exchange (SAX) on average holds the lowest gap between intrinsic value per share and market prices with only 82% deviation, followed by PSE with 116% deviation, WIG20 with 207% deviation, and BUX with 246%. SAX appears with the best performance from 2009 to 2019, where the shares on average were traded with only 82% deviation from their estimated equilibrium price (intrinsic value). Findings regarding the differences between book value per share and stock prices are different, where SAX leads with 71% deviation, WIG20 with 181%, PSE with 188%, and BUX with 545%. Outcomes of the work are of interest to financial investors that seek to diversify their portfolios on the equity stocks. The study offers a new conceptual framework for testing the market efficiency of equity exchanges through company valuations techniques. From the policy perspective, institutions in charge get inform on the measures to be taken that would improve efficiency and strengthen the importance of the Visegrad equity markets.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Studies in Business and Economics

ISSN

1842-4120

e-ISSN

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Svazek periodika

18

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

20

Strana od-do

198-217

Kód UT WoS článku

000988904900011

EID výsledku v databázi Scopus

2-s2.0-85159870853