The linear regression and correlation analysis of daily returns of several stocks and stock-exchange index at Macedonian Stock Exchange (MSE) provide evidence for statistical significance of the stocks' daily returns at MSE.Statistical analysis was focused to determine the character of relationship between the 10 most liquid stocks at MSE using ten-year time-series of daily stocks' closing price and for the Macedonian Stock Exchange Index (MBI-10).The analysis of daily stock returns provided R 2 values and confirmed that the proportion of the total correlation in the dependent variable (one stock price) can be explained by the independent variable (other stock price) as well as that accurate forecasting of one stock price movements enables reliable prediction of other stock future price at MSE. Some implications for stock valuation are drawn.
Subject and purpose of work: The main task of this paper is to examine the proximity of valuations generated by different valuation models to stock prices in order to investigate their reliability at Macedonian Stock Exchange (MSE) and to present alternative “scenario” methodology for discounted free cash flow to firm valuation. Materials and methods: By using publicly available data from MSE we are calculating stock prices with three stock valuation models: Discounted Free Cash Flow, Dividend Discount and Relative Valuation. Results: The evaluation of performance of three stock valuation models at the MSE identified that model of Price Multiplies (P/E and other profitability ratios) offer reliable stock values determination and lower level of price errors compared with the average stocks market prices. Conclusions: The Discounted Free Cash Flow (DCF) model provides values close to average market prices, while Dividend Discount (DDM) valuation model generally mispriced stocks at MSE. We suggest the use of DCF model combined with relative valuation models for accurate stocks’ values calculation at MSE.
In this paper we present the results of the statistical analysis, focused on determining the character of relationship between stocks of two quoted tourism companies at Macedonian Stock Exchange (MSE) using the data for the last 52-weeks series of daily stocks' closing prices as well for the Macedonian Stock Exchange Index (MBI-10). The linear regression and correlation analysis of two securities provide evidence for statistical significance of their stocks' daily returns at MSE. On the contrary, regression analysis did not reveal a statistically significant relationship between MTUR, MPOL and MBI-10. Through the analysis of daily stocks' returns at MSE we could not determine a statistically significant relationship between tourism growth in the Republic of Macedonia and tourism companies' securities prices in the last two years. Some implications for tourism planning and portfolio management can be drawn.
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