摘要翻译:
获得更准确的股权价值估计是选股的起点,在嘈杂的市场中以价值为基础的指数化,并通过战术风格轮换击败基准指数。不幸的是,现金流贴现、可比较方法和基本面分析通常产生差异的估值估计。此外,估值估计通常与市场价格不一致。是否可以通过对个别估价(包括市场价格)进行平均来形成一个更高的估值估计?本文提出了一个贝叶斯框架,用于将两个或更多的估计组合成一个更优的估值估计。该框架证明了对几个估计数进行平均以得出最终点估计数的常见做法是合理的。
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英文标题:
《A Bayesian Framework for Combining Valuation Estimates》
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作者:
Kenton K. Yee
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Computer Science 计算机科学
二级分类:Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述:Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的,集中在技术和工具,使挑战性的计算模拟能够执行,其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4(经济学)中的材料。
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一级分类:Physics 物理学
二级分类:Adaptation and Self-Organizing Systems 自适应和自组织系统
分类描述:Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应,自组织系统,统计物理,波动系统,随机过程,相互作用粒子系统,机器学习
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一级分类:Physics 物理学
二级分类:Chaotic Dynamics 混沌动力学
分类描述:Dynamical systems, chaos, quantum chaos, topological dynamics, cycle expansions, turbulence, propagation
动力系统,混沌,量子混沌,拓扑动力学,循环展开,湍流,传播
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一级分类:Physics 物理学
二级分类:Exactly Solvable and Integrable Systems 精确可解可积系统
分类描述:Exactly solvable systems, integrable PDEs, integrable ODEs, Painleve analysis, integrable discrete maps, solvable lattice models, integrable quantum systems
精确可解系统,可积偏微分方程,可积偏微分方程,Painleve分析,可积离散映射,可解格模型,可积量子系统
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一级分类:Physics 物理学
二级分类:Popular Physics 大众物理学
分类描述:Description coming soon
描述即将到来
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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英文摘要:
Obtaining more accurate equity value estimates is the starting point for stock selection, value-based indexing in a noisy market, and beating benchmark indices through tactical style rotation. Unfortunately, discounted cash flow, method of comparables, and fundamental analysis typically yield discrepant valuation estimates. Moreover, the valuation estimates typically disagree with market price. Can one form a superior valuation estimate by averaging over the individual estimates, including market price? This article suggests a Bayesian framework for combining two or more estimates into a superior valuation estimate. The framework justifies the common practice of averaging over several estimates to arrive at a final point estimate.
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PDF链接:
https://arxiv.org/pdf/0707.3482