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A Theoretical and Empirical Analysis of the Relationship Between Market and Book Values
Citation
Bartholdy, J and Peare, P and Willett, RJ, A Theoretical and Empirical Analysis of the Relationship Between Market and Book Values, Advances in Quantitative Analysis of Finance and Accounting, World Scientific Publishing Co. Pty. Ltd., Lee, Cheng-Few (ed), Singapore, pp. 111-144. ISBN 981-238-669-6 (2004) [Other Book Chapter]
Abstract
Practitioners and academics often use book values instead of market values when market data is not available. This is appropriate only if market values and book values are related. In this paper a theoretical model of the relationship between market values and book values is developed and this model is tested directly using time-series analysis. The results obtained suggest that although market values and book values may differ in the short run there is a linear relationship between them in the long run. However a simple dynamic forecast of the model suggests that it could take more than 10 years for the two series to approach each other after a shock to one or both of the series. That is, the long run may be too long to be of any practical use.
Item Details
| Item Type: | Other Book Chapter |
|---|---|
| Research Division: | Economics |
| Research Group: | Econometrics |
| Research Field: | Time-series analysis |
| Objective Division: | Economic Framework |
| Objective Group: | Microeconomics |
| Objective Field: | Market-based mechanisms |
| UTAS Author: | Willett, RJ (Professor Roger Willett) |
| ID Code: | 100480 |
| Year Published: | 2004 |
| Deposited By: | TSBE |
| Deposited On: | 2015-05-18 |
| Last Modified: | 2015-05-18 |
| Downloads: | 0 |
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