Constructing a stock valuation model for the Hang Seng Index constituentstocks : APT approach

Pao Yue-kong Library Electronic Theses Database

Constructing a stock valuation model for the Hang Seng Index constituentstocks : APT approach

 

Author: Yung, Wai-kai Calfred
Title: Constructing a stock valuation model for the Hang Seng Index constituentstocks : APT approach
Degree: M.B.A.
Year: 1994
Subject: Investments -- Valuation
Stock price indexes -- China -- Hong Kong
Stocks -- Prices -- China -- Hong Kong
Hong Kong Polytechnic -- Dissertations
Department: Dept. of Management
Pages: vii, 101 leaves : ill. ; 30 cm
Language: English
InnoPac Record: http://library.polyu.edu.hk/record=b1152516
URI: http://theses.lib.polyu.edu.hk/handle/200/5286
Abstract: After more than 30 years of development in the local stock market and the participation of overseas investors, I believe investors are becoming mature and require a more sophisticated way to invest. In this paper, I have tested the common valuation models applied in the investment community [1) constant prospective price/earning ratio, 2) prospective dividend yield against deposit/bond rates, 3) earning yields against deposit/bond rates] and in the academic books [4) dividend discount model, 5)capital asset pricing model, and aribitrage pricing theory]. The results, however, are very disappointed. Having said that, such models did contribute us the guidelines in constructing a valuation method that could meet with our own requirements. In this paper, I have based on the multifactor theory in the Aribitrage Pricing Theory and have developed a valuation method. Number of tests have been examined for both the long and short term on the 30 Hang Seng Index constituent stocks in Hong Kong. The results have been impressive. "There are no fixed rule and "100%. sure win" way in the investment world", said by a well experience broker in Hong Kong. The modified valuation method presented in this paper must be to keep up-to-date according to the trend of the market accordingly.

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