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An adjusted Fed-model for valuation of emerging stock markets
Stockholm University, Faculty of Social Sciences, School of Business.
2005 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper examines the possible relationship the earnings yield and long term government bond yield for a number of emerging markets. An adjusted Fed-model is used to judge whether stock prices are too high, too low or at their fair value. The paper examines the relationship between return, earnings yield and long term government bond yield as proposed by the adjusted Fedmodel. The difference between the earnings yield and real bond yield is a shorthand measure for expected returns and I examine the predictive power of this measure by regression analysis. The results show that, when it comes to forecasting returns, the model fails.

Place, publisher, year, edition, pages
2005.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-6104OAI: oai:DiVA.org:su-6104DiVA: diva2:196036
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05Bibliographically approved

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fulltext(326 kB)862 downloads
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5663b59961905f611591bda101404bfd8c294c3eb1ab98c2c37aef9587054e42f15a1575
Type fulltextMimetype application/pdf

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CiteExportLink to record
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