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A comparison of forecast accuracy among stock pricing models: evidence from Malaysian listed companies

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General Information Cached
Title
A comparison of forecast accuracy among stock pricing models: evidence from Malaysian listed companies
Type
Article
Main Author
Aik, Nai-Chiek
Additional Authors
  • Tee, Peck-Ling
Subject
HG Finance
ISSN
2232-0032/eISSN 0128-0481
Language Code
eng
Bibliographic Details
Place of Production
Tanjong Malim
Publisher
Fakulti Pengurusan dan Ekonomi
Year of publication
2012
Notes
Vol. 2 (2012): Journal of Contemporary Issues and Thought (JCIT)
Degree Type
Others
Corporate Name
Perpustakaan Tuanku Bainun

Abstract

Discovering the best model that is able to predict equity values that most closely approximate the actual equity values observed in the market place has always been an area of concern for financial analysts and other stakeholders. This paper tackles this issue by comparing various stock valuation models in terms of their relative forecast accuracy in the Malaysia context. The findings reveal that PE (Price-to-Earnings) model produced the lowest mean absolute forecast error for the overall sample companies as well as in the perspective of large firm size. The results indicate that PE model generally outperforms DGM (Dividend Growth) model and OCF (Operating Cash Flow) model and hence conclude that PE model is the most robust model among stock pricing models. As such, all stakeholders should focus more on information conveyed by earnings in order to enhance their forecast of stock prices. Keywords Forecast accuracy, Stock pricing models.

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