For a full text file please contact the corresponding author: Kenth Skogsvik (E-mail: kenth.skogsvik@hhs.se).

Using Swedish stock market data, this study investigates whether an investment strategy based on publicly available accounting information can generate abnormal investment returns. The strategy involves two steps. First, an accounting-based probabilistic prediction model of changes in the...

Using Swedish data, the study investigates whether an investment strategy based on publicly available financial statement information can generate abnormal investment returns. The strategy involves two steps. First, a financial statement based prediction model of changes in the book return on...

Relative P/E-ratio valuation apparently still plays an important role among investment research analysts and advisors (cf. Goldman Sachs,1999). In a valuation model of this kind, the value of owners´equity is typically calculated as a function of an observed P/E-ratio for some peer company, or...

I test for short term excess return in a sample of 279 defaulted US corporate bonds using multiple regression analysis. There are robust excess returns after controlling for market and liquidity risk. The expected recovery rate during 2001-2006 is estimated to be, on average, four percentage...

In this paper I build a simplified model of the remuneration structure of a private equity fund using option theory. This model is then used to analyze the relative importance of the fixed and variable fee parts. The model is complemented with a structural model to evaluate the financial choices...

Using Swedish data, this study investigates whether financial statement information can be used to predict changes in the medium-term book return on owners' equity and subsequently evaluates the performance of trading strategies based on such predictions. A univariate prediction model based on...

The impact of conservative accounting in residual income valuation (RIV) and abnormal earnings growth (AEG) valuation modeling is investigated in this paper. Unconstrained and two types of constrained model specifications are evaluated regarding their ability to withstand biases in book values...

The purpose of the paper is to incorporate probabilistic business failure predictions in discounted cash flow (DCF) models for the valuation of company bonds and owners´ equity. The analysis shows that period-specific probabilities of business failure are instrumental to the assessment of...