Investments in fallen angel stocks: an empirical analysis of quality indicators of disgraced growth companies
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120715-1099076-0-3 Inhaltsverzeichnis |
| Beschreibung: | XIII, 195 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a Investments in fallen angel stocks |b an empirical analysis of quality indicators of disgraced growth companies |c Bernd Mühlfriedel |
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Datensatz im Suchindex
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| adam_text | IMAGE 1
TABLE OF CONTENTS
LIST OF FIGURES VIII
LIST OF TABLES IX
LIST OF ABBREVIATIONS XII
1 INTRODUCTION 1
1.1 RELEVANCE OF TOPIC 1
1.2 OBJECTIVES OF RESEARCH 4
1.3 STRUCTU RE OF THESIS 5
2 INVESTMENT AND FALLEN ANGELS 6
2.1 CHARACTERISTICS O F AN INVESTMENT 6
2.2 DEFINITION OF AN INVESTOR 7
2.3 CHARACTERISTICS OF FALIEN ANGELS 8
2.3.1 NEGATIVE EARNINGS SURPRISE 11
2.3.2 SUBSEQUENT NEGATIVE A BNORMAL SHAREHOLDER RETURN 14
2.3.3 ABOVE-AVERAGE GROWTH BEFORE NEGATIVE EARNINGS SURPRISE 14
2.4 GOOD VERSUS BAD FALLEN ANGELS 17
2.4.1 TIME HORIZONS F O R ABNORMAL RETURN 17
2.4.2 SEPARATION INTO GOOD AND BAD FALLEN ANGELS ACCORDING TO
SHARE PRICE PERFORMANCE 19
3 UNDERLYING PHILOSOPHIES OF SCIENCE AND RELEVANT FRAMEWORKS FROM
FINANCIAL THEORY 22
3.1 UNDERLYING PHILOSOPHIES OF SCIENCE 22
3.2 THE EFFICIENT MARKET HYPOTHESIS AND ITS SHORTCOMINGS 23
3.2.1 KEY ELEMENTS 24
HTTP://D-NB.INFO/1033831042
IMAGE 2
IV
3.2.2 CRITICISM O F THE EFFICIENT MARKET HYPOTHESIS 25
3.2.3 DIFFERENCES IN RISK DEFINITIONS 29
3.3 BEHAVIORAL FINANCE 33
3.3.1 KEY ELEMENTS 34
3.3.2 OVERREACTION THEORY AND MEAN REVERSION 39
3.3.3 UNDERREACTION THEORY 43
3.3.4 RECONCILIATION BETWEEN OVERREACTION AND UNDERREACTION
THEORIES 44
3.3.5 OTHER COGNITIVE BIASES 48
3.4 PERSPECTIVE OF THE INVESTMENT PRACTICE 50
3.5 SUMMARY 52
4 INVESTMENT STYLES 54
4.1 OVERVIEW ON INVESTMENT STYLES 54
4.1.1 FUNCTION AND DEFINITION O F INVESTMENT STYLES 54
4.1.2 CLASSIFICATION O F INVESTMENT STYLES 55
4.2 VALUE VERSUS GROWTH INVESTING 58
4.2.1 VALUE INVESTMENT STYLE 58
4.2.2 GROWTH INVESTMENT STYLE 62
4.2.3 COMPARISON O F VALUE AND GROWTH INVESTMENT STYLES 65
4.3 INVESTMENT STYLES AND FALLEN ANGELS 66
4.3.1 PREVIOUS ATTEMPTS TO RECONCILE VALUE AND GROWTH
INVESTMENT STYLES 66
4.3.2 FALLEN A NGEL INVESTING AS A NEW A TTEMPT TO RECONCILE
VALUE AND GROWTH INVESTMENT STYLES 70
5 DEVELOPMENT OF POSSIBLE INDICATORS FOR ANGEL
QUALITY 72
5.1 INPUT FROM VALUE INVESTING PRACTICE 72
5.2 FRAMEWORK OF POSSIBLE INFLUENCE FACTORS ON ANGEL QUALITY 73
5.3 FINANCIAL STABILITY 74
5.3.1 CURRENT RATIO AS MEASURE O F SHORT-TERM LIQUIDITY 75
5.3.2 EQUITY RATIO AS MEASURE O F CAPITAL STRUCTURE STABILITY 76
IMAGE 3
V
5.4 PROFITABILITY 77
5.4.1 GROSS PROFIT MARGIN 78
5.4.2 RETURN ON ASSETS 79
5.5 CASH FLOW 80
5.5.1 FREE CASH FLOW MARGIN 81
5.5.2 CASH FLOW FROM OPERATING ACTIVITIES-TO-NET INCOME RATIO 82
5.6 COST STRUCTURE 83
5.7 MERGERS & ACQUISITIONS 84
5.8 VALUATION 86
5.8.1 PRICE-TO-BOOK RATIO 86
5.8.2 PRICE-TO-EARNINGS RATIO 88
5.9 NEGATIVE EARNINGS SURPRISE 89
5.9.1 STANDARDIZED UNEXPECTED EARNINGS 89
5.9.2 CUMULATIVE ABNORMAL RETURN 90
5.9.3 CUMULATIVE A BNORMAL RETURN-TO-STANDARDIZED UNEXPECTED
EARNINGS RATIO 91
5.10 OVERVIEW OF HYPOTHESES 92
6 EMPIRICAL TESTS OF ANGEL QUALITY INDICATORS 94
6.1 INTRODUCTORY REMARKS 94
6.2 RAW DATASET DESCRIPTION 94
6.2.1 SELECTION O F GEOGRAPHY 94
6.2.2 SELECTION O F BENCHMARK 95-
6.2.3 SELECTION O F TIME HORIZON 96
6.2.4 CALCULATION O F ABNORMAL RETURNS 98
6.2.5 TIME FRAME AROUND EARNINGS SURPRISE 99
6.2.6 DESCRIPTIVE STATISTICS O F RAW DATASET 102
6.3 PROCESSING OF RAW DATASET INTO BASE DATASET AND SUBSETS 105
6.3.1 EXCLUSION O F STOCKS 105
6.3.1.1 CRITERIA FOR FALLEN ANGEL STOCKS 105
6.3.1.2 INDUSTRY CHARACTERISTICS 107
6.3.1.3 STRENGTH O F ANALYST COVERAGE 107
IMAGE 4
VI
6.3.1.4 TIME PERIOD BETWEEN NEGATIVE EARNINGS
SURPRISES . - 108
6.3.2 DEVELOPMENT O F BASE DCUASET SUBSETS ACCORDING TO
INDUSTRY CLASSIFICATIONS 109
6.4 METHODS OF TESTING OF ANGEL QUALITY INDICATORS 112
6.5 TEST RESULTS FOR ANGEL QUALITY INDICATORS 114
6.5.1 FINANCIAL STABILITY RATIOS 114
6.5.1.1 CURRENT RATIO 114
6.5.1.2 EQUITY RATIO 117
6.5.2 PROFITABILITY RATIOS 121
6.5.2.1 GROSS PROFIT MARGIN 121
6.5.2.2 RETURN ON ASSETS 124
6.5.3 CASH FLOW 126
6.5.3.1 FREE CASH FLOW MARGIN 126
6.5.3.2 CASH FLOW FROM OPERATING ACTIVITIES-TO-NET
INCOME RATIO 129
6.5.4 COST STRUCTURE: SELLING, GENERAL & ADMINISTRATIVE
EXPENSES RATIO 131
6.5.5 MERGERS & ACQUISITION ACTIVITIES: GOODWILL RATIO 134
6.5.6 VALUATION RATIOS 137
6.5.6.1 PRICE-TO-BOOK RATIO 137
.6.5.6.2 PRICE-TO-EARNINGS RATIO 140
6.5.7 NEGATIVE EARNINGS SURPRISE-RELATED RATIOS 142
-6.5.7.1 STANDARDIZED UNEXPECTED EARNINGS 143
6.5.7.2 CUMULATIVE ABNORMAL RETURN 145
6.5.7.3 CUMULATIVE ABNORMAL RETURN-TO-STANDARDIZED
UNEXPECTED EARNINGS RATIO 147
6.5.8 SUMMARY O F RESULTS O F EMPIRICAL TESTS .150
6.6 ROBUSTNESS TESTING 152
6.6.1 LEVEL O F SALES GROWTH 152
6.6.2 LENGTH O F TIME PERIOD BETWEEN NEGATIVE EARNINGS
SURPRISES 154
6.6.3 LENGTH O F POST-EARNINGS ANNOUNCEMENT DRIFT 155
6.6.4 MEASURES O F ANGEL QUALITY 156
IMAGE 5
VII
7 CONCLUSION 157
7.1 SUMMARY AND RECOMMENDATIONS FOR THE INVESTMENT PRACTICE 157
7.2 OUTLOOK AND POTENTIAL FOR FUTURE RESEARCH 158
APPENDIX 163
|
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| spelling | Mühlfriedel, Bernd Verfasser aut Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies Bernd Mühlfriedel 2012 XIII, 195 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Techn. Univ., Diss., 2012 Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienanlage (DE-588)4125483-1 gnd rswk-swf Kapitalmarktforschung (DE-588)4390312-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Aktienmarkt (DE-588)4130931-5 s Aktienanlage (DE-588)4125483-1 s Kapitalmarktforschung (DE-588)4390312-5 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:91-diss-20120715-1099076-0-3 http://mediatum.ub.tum.de/node?id=1099076 Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120715-1099076-0-3 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025402397&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mühlfriedel, Bernd Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies Aktienmarkt (DE-588)4130931-5 gnd Aktienanlage (DE-588)4125483-1 gnd Kapitalmarktforschung (DE-588)4390312-5 gnd |
| subject_GND | (DE-588)4130931-5 (DE-588)4125483-1 (DE-588)4390312-5 (DE-588)4113937-9 |
| title | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies |
| title_auth | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies |
| title_exact_search | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies |
| title_full | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies Bernd Mühlfriedel |
| title_fullStr | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies Bernd Mühlfriedel |
| title_full_unstemmed | Investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies Bernd Mühlfriedel |
| title_short | Investments in fallen angel stocks |
| title_sort | investments in fallen angel stocks an empirical analysis of quality indicators of disgraced growth companies |
| title_sub | an empirical analysis of quality indicators of disgraced growth companies |
| topic | Aktienmarkt (DE-588)4130931-5 gnd Aktienanlage (DE-588)4125483-1 gnd Kapitalmarktforschung (DE-588)4390312-5 gnd |
| topic_facet | Aktienmarkt Aktienanlage Kapitalmarktforschung Hochschulschrift |
| url | http://mediatum.ub.tum.de/node?id=1099076 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20120715-1099076-0-3 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025402397&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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