IDEAS home Printed from https://ideas.repec.org/a/ids/ijbpsc/v1y2009i2-3p144-161.html
   My bibliography  Save this article

An algorithm for variable selection in firm valuation models

Author

Listed:
  • Fernando Garcia
  • Francisco Guijarro
  • Ismael Moya

Abstract

Firm valuation constitutes a classical topic in finance research. Variable selection in valuation models is a problem addressed by many researchers mainly focused on multivariate analysis. This study proposes a methodology for dealing with the problem of explicative variable selection in financial models for firm valuation. With a view to its eventual automation, it is presented in three consecutive steps. These ensure that the models obtained are parsimonious, and that there is control of their degree of multicollinearity without sacrificing their explicative power. The method combines several statistical techniques, notably simple regression analysis and principal components analysis. To test the proposal, we used a database of stock market and accounting information relating to firms quoted on the Madrid Stock Exchange in 2002 and 2003.

Suggested Citation

  • Fernando Garcia & Francisco Guijarro & Ismael Moya, 2009. "An algorithm for variable selection in firm valuation models," International Journal of Business Performance and Supply Chain Modelling, Inderscience Enterprises Ltd, vol. 1(2/3), pages 144-161.
    • Handle: RePEc:ids:ijbpsc:v:1:y:2009:i:2/3:p:144-161
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=30639
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbpsc:v:1:y:2009:i:2/3:p:144-161. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=341 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.