A comparison of alternative models for estimating firm’s growth rate

被引：3

作者：

Brick I.E. ^{[1
]}

Chen H.-Y. ^{[2
]}

Hsieh C.-H. ^{[3
]}

Lee C.-F. ^{[4
]}

机构：

[1] Department of Finance and Economics, Rutgers University, Newark and New Brunswick, NJ

[2] Department of Finance, National Chengchi University, Taipei

[3] Department of Finance, National Central University, Taoyuan

[4] Department of Finance and Economics, Rutgers University, Room 5118 100 Rockefeller Road, Piscataway, NJ

来源：

Review of Quantitative Finance and Accounting | 2016年 / 47卷 / 2期

关键词：

Determinants of growth forecast errors; Equity valuation; Estimation of growth rate; Gordon’s growth model;

D O I：

10.1007/s11156-015-0504-6

中图分类号：

学科分类号：

摘要：

The growth rate plays an important role in determining a firm’s asset and equity values, nevertheless the basic assumptions of the growth rate estimation model are less well understood. In this paper, we demonstrate that the model makes strong assumptions regarding the financing mix of the firm. In addition, we discuss various methods to estimate firms’ growth rate, including arithmetic average method, geometric average method, compound-sum method, continuous regression method, discrete regression method, and inferred method. We demonstrate that the arithmetic average method is very sensitive to extreme observations, and the regression methods yield similar but somewhat smaller estimates of the growth rate compared to the compound-sum method. Interestingly, the ex-post forecast shows that arithmetic average method (compound-sum method) yields the best (worst) performance with respect to estimating firm’s future dividend growth rate. Firm characteristics, like size, book-to-market ratio, and systematic risk, have significant influence on the forecast errors of dividend and sales growth rate estimation. © 2015, Springer Science+Business Media New York.

引用

页码：369 / 393

页数：24

共 19 条

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