Stock recommendations from stochastic discounted cash flows

Arbeitspapier

This paper presents two stocks recommendation systems based on a stochastic characterization of firm present value that extends the conventional discounted cash flow analysis. In the Single-Stock Quantile recommendation system, the market price of a company's stocks is compared with the estimated distribution of the company fair value to obtain an individual measure of mispricing, while in the Cross-Sectional Quantile system, a relative measure of mispricing is built using the fair value distribution of all firms at the same time. Both systems use mispricing information to build sell side and buy side portfolios. We provide a series of statistical exercises that show how these portfolios can consistently deliver significant excess returns, also when rebalancing costs are accounted for.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: LEM Working Paper Series ; No. 2020/17

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Financial Forecasting and Simulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Thema: Stochastic Discounted Cash Flow ; Asset Valuation ; Valuation Uncertainty ; Portfolio Strategy

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bottazzi, Giulio ; Cordoni, Francesco ; Livieri, Giulia ; Marmi, Stefano
• Ereignis: Veröffentlichung
• (wer): Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
• (wo): Pisa
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/228156
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ