Returns and stock prices forecast from accounting data conditioned on the firm life cycle
DOI:
https://doi.org/10.11606/issn.1982-6486.rco.2019.160869Keywords:
Accounting model, Expected return and price, Stages of the firm life cycle, Firm life cycleAbstract
This article investigates the effect of firm's life cycle stages on the determination of expected returns and prices of Brazilian stocks based on the valuation accounting model developed by Lyle, Callen and Elliott (2013). In order to define the life cycle stages, we adopted the methodology developed by Dickinson (2011), using a parsimonious proxy for firm level, structured from the cash flow demonstration with strong economic theories adherence. Data were collected in the Bloomberg, Quantum and NEFIN/FEA/USP databases, the information was generated on the firm's level. The results suggest that the model for the analyzed period does not have returns predictions capacity in Brazil, given the non-significance of the variables even considering the assets in different stages of the firm life cycle, however for the prices’ forecasts there was considerable explanatory power, especially in the maturity stage.
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