“Intrinsic Value vs. Market Value: An Empirical Mean-Reversion-Based Study”

Hassan El Ibrami, Saidatou Dicko

Abstract


The market very often overestimates financial assets because of speculation. This makes it difficult to determine the proper value of a company. We believe that intrinsic value should be used to make an accurate assessment. Hence, financial statements data should be used to determine the value of a company. The main purpose of this paper is to measure the performance of a mean reversion structural model in pricing shares. The model was developed by El Ibrami and Naciri (2012). The market is used as a benchmark to determine the performance of the model analyzed. The results of the study show that the market overestimated mean reversion companies by about 10% and remain consistent throughout the industries. Keywords: Mean reversion, Equity, EBIT, Volatility.

Full Text: PDF DOI: 10.5296/ijafr.v2i2.2703

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

To make sure that you can receive messages from us, please add the 'macrothink.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.

Copyright © Macrothink Institute ISSN 2162-3082

'Macrothink Institute' is a trademark of Macrothink Institute, Inc.