Mean Reversion: Grafisk undersøgelse af fænomenet på det danske marked

Christian Palm Andersen

Studenteropgave: Kandidatafhandlinger

Abstrakt

The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. This paper investigates the mean reversion in Return on Assets, profit margin and revenue growth for Danish non-listed as well as listed firms for the period 1995-2012. One of the many findings in this study is the highly visible degree of mean reverting in particular Return on Assets. There is a strong presumption in economics that, in a competitive environment, profitability is mean reverting. This paper shows how different firm specific characteristic such as the amount of assets or the age of the firm influence the degree of mean reversion. Specially, I find that mean reversion is faster when profitability is below its mean and when it is further from its mean in either direction. Another great finding is that small firms in general have a higher mean reversion rate than large firms. The results in this paper should have important practical implication for the difficult task of valuing both listed and in particular non-listed firms.

UddannelserCand.merc.fir Finansiering og Regnskab, (Kandidatuddannelse) Afsluttende afhandling
SprogDansk
Udgivelsesdato2019
Antal sider83
VejledereJeppe Christoffersen