Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.89/2-07
CC BY-SA   Open Access 

Issue archive / 5/2017
Wykorzystanie modelu RKRV do identyfikacji przewartościowania akcji na przykładzie GPW
(STOCK OVERVALUATION IDENTIFICATION USING RKRV MODEL: EVIDENCE FROM WSE)

Authors: Michał Kałdoński

Tomasz Jewartowski
Keywords: stock overvaluation market-to-book ratio decomposition of market-to-book ratio Rhodes- Kropf-Robinson-Viswanathan model
Data publikacji całości:2017
Page range:15 (89-103)
Cited-by (Crossref) ?:

Abstract

Purpose – The aim of the paper is to assess the usefulness of Rhodes-Kropf-Robinson-Viswanathan (RKRV) model in identifying overvalued companies listed on Warsaw Stock Exchange. Design/methodology/approach – The assessment is based on the RKRV model’s classification accuracy, i.e. its relative ability to classify companies as overvalued. The proper classification should give statistically significant differences of overvaluation proxies between overvalued and undervalued companies. Findings – Our research reveals that market-to-book ratio decomposition – which is the key point of RKRV model – helps to identify overvalued companies more precisely than the raw ratio or the industry-adjusted ratio. Originality/value – Our paper ads to the literature on the methods used to identify stock overvaluation on the Polish capital market.
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