Premia z tytułu wielkości w wycenie przedsiębiorstw

• Autorzy: Dariusz Zarzecki

Warianty tytułu

Size Premium in Business Valuation

• Języki publikacji: PL

Abstrakty

Zagadnienie premii z tytułu wielkości pojawiło się wraz z wynikami badań na temat tzw. anomalii na rynku kapitałowym. W artykule omówiono istotę tych anomalii na przykładzie tzw. efektu wskaźnika cena/zysk oraz efektu wielkości. (fragment tekstu)

EN

The Size Premium is defined as the return on small company stocks in excess of that predicted by the CAPM. It is the additional return that cannot be explained by the betas of small companies. The Premium is to compensate an extra risk resulting from investments in small companies - risk that is not explained by the CAPM. In this paper, the most important issues related to the "Size Effect" and "Size Premium" are examined.(original abstract)

Słowa kluczowe

PL

Wycena przedsiębiorstwa; Kalkulacja stopy zwrotu; Premia; Wskaźnik C/Z

EN

Enterprise valuation; Rate of return calculation; Bonus; Price-earnings ratio P/E

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2009
• Numer: nr 48 Zarządzanie finansami firm : teoria i praktyka
• Strony: 931--944

Twórcy

autor

Dariusz Zarzecki

• Uniwersytet Szczeciński

Bibliografia

• Arnott R.D., What Hath MPT Wrought: Which Risks Reap Rewards?, [w:] F. Fabozzi (red.), The Institutional Investor Focus on Investment Management, Ballinger Publishing Company, Cambridge 1989.
• Banz R. W., The relationship between return and market value of common stocks, "Journal of Financial Economics" 9, March 1981.
• Basu S., Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis, "Journal of Finance" 32, June 1977.
• Basu S., The Relation between earnings' yield, market value and return, "Journal of Financial Economics" 12, June 1983.
• Brown P., Kleidon A.W., Marsh T.A., New evidence on the nature of size-related anomalies in stock prices, "Journal of Financial Economics" 12, June 1983.
• Cook T., Rozeff M., Size and earnings/price ratio anomalies: one effect or two?, "Journal of Financial and Quantitative Analysis" 19, December 1984.
• Damodaran A., Equity Risk Premium (ERP): Determinants, Estimation and Implications, September 2008, http://pages.stern.nyu.edu/~adamodar/pdfdes/papers/ERPfull.pdf.
• Ehrbar A.F., Giant payoffs from midget stocks, "Fortune" June 30, 1980.
• Grabowski R., King D.W., New evidence on size effects and rates of return, "Business Valuation Review", September 1996.
• Ibbotson SBBI 2008 Valuation Yearbook. Market Results for Stocks, Bonds, Bills, and Inflation 1926-2007.
• Nicholson S.F., Price-earnings ratios, "Financial Analyst's Journal" 16, July- August 1960.
• Nicholson S.F., Price-ratios in relation to investment results, "Financial Analyst's Journal" 24, January-February 1968.
• Reinganum M.R., Misspecification of capital pricing: empirical anomalies based on earnings' yields and market values, "Journal of Financoial Economics" 9, March 1981.
• Reinganum M.R., Portfolio strategies based on market capitalization, "The Journal of Portfolio Management" 9, Winter 1983.
• Roll R., A possible explanation of the small firm effect, "Journal of Finance" 36, September 1981.
• Schultz P., Transaction costs and the small firm effect: a comment, "Journal of Financial Economics" 12, June 1983.
• Stoll H.R., Whaley R.E., Transaction costs and the small firm effect, "Journal of Financial Economics" 12, June 1983.