Forecasting P/E Ratio by Decomposing into Constituent Factros

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Lotfi, Ali | 2011

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 41828 (44)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Zamani, Shiva; Abdoh Tabrizi, Hossein
Abstract:
P/E ratio is studied in four levels in this study:
1)Macroeconomics level
2)Capital market level
3)Industry level
4)Company level
The first level studies effects of macroeconomics variables on P/E ratio. At this level we use variables such as economic growth, inflation, exchange rate, and etc.The next level uses capital market variables such as market volume, and IPO information.The third level that we study in this research is industry level. Stocks of an industry generally behave similar, because they have common advantages and disadvantages, thus industry is an effective factor on P/E ratio.The last level studies financial statements and internal features of a company. It assumed that financial indices of a company have an effect on P/E ratio of its stock.We try to study the effect of these variables on the P/E ratio in this research
Keywords:
Financial Time Series ; Price-to-Earnings Ratio ; Tehran Stock Exchange ; Linear Regression ; Modeling

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