Estimating the distribution of enterprise values with quantile neural networks
學年 108
學期 1
出版（發表）日期 2020-01-27
作品名稱 Estimating the distribution of enterprise values with quantile neural networks
作品名稱（其他語言）
著者 Yeh, I-cheng
單位
出版者
著錄名稱、卷期、頁數 Soft Computing 24,　p.13085-13097
摘要 The probability density function of enterprise values may be more precise and useful in the cases of corporate investment, financing, or transactions. Although the quantile regression analysis can generate a set of models for a series of quantiles, it cannot generate the probability density function of the dependent variable. Therefore, this paper proposes a novel method of employing prediction results of the quantile neural networks to build probability density functions with which we can effectively assess enterprise values. Empirical evidence reveals that the estimated cumulative lognormal distribution curves of the Price-to-Book value ratio (PBR) and the data are well-matched. In addition, the corporate market value is equal to the PBR multiplied by the corporate stockholders equity. Thus, the corporate market value is also a lognormal distribution. PBR distributions of building and construction industries are more tilted to the left, implying that enterprise values of building and construction industries are lower than those of other industries with the same stockholders equity and return on equity.
關鍵字 Quantile regression analysis;neural networks;enterprise value;distribution
語言 en
ISSN 1433-7479
期刊性質 國外
收錄於 SCI
產學合作
通訊作者 I-Cheng Yeh
審稿制度 否
國別 DEU
公開徵稿
出版型式 ,電子版
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