Leonardo Becchetti () (University of Rome II - Faculty of Economics) Michele Bagella () (University of Rome II - Faculty of Economics) Fabrizio Adriani () (University of Rome II - Centre for International Studies on Economic Growth (CEIS))
Additional information is available for the following
registered author(s):
By assuming that a large share of investors (which we call fundamentalists) follows a fundamental approach to stock picking, we build a discounted cash flow (DCF) model and test on a sample of high-tech stocks whether the strong and the weak version of the model are supported by data from the US and European stock markets. Empirical results show that "fundamental" earning price ratios explain a significant share of cross sectional variation of the observed E/P ratios, with other additional variables being only partially and weakly relevant. Within this general framework, valid both for Europe and the US, empirical results outline significant differences between the two markets. The most relevant of them is that the relationship between observed and fundamental E/P ratios is much weaker in Europe.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number
34.
Length: 31 Date of creation: 26 Sep 2003 Date of revision: Handle: RePEc:rtv:ceisrp:34
Contact details of provider: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Phone: +39062040234 Fax: +39062020687 Email: Web page: http://www.ceistorvergata.it More information through EDIRC
Order Information: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Email: Web: http://www.ceistorvergata.it
For technical questions regarding this item, or to correct its listing, contact: (Marcello Di Biagio).
Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy,
University of Chicago Press, vol. 98(4), pages 703-38, August.
[Downloadable!] (restricted)
Other versions: