Author(s)

Sipeng Deng ¹, Yuanchen Huang ¹, Manling Chen ¹

Affiliation(s)

¹ Accounting College, Guangzhou College of Commerce, Guangzhou, 511363, China

Corresponding Author

Sipeng Deng

ABSTRACT

With the development of the world's securities markets, valuation researchers and securities investment experts from all over the world are conducting more and more research on financial market valuation analysis. However, most research and popular valuation methods in the financial market are still limited to traditional methods. Traditional valuation analysis mainly focuses on the following types: price-to-earnings ratio (P/E) valuation method, price-to-book ratio (P/B) valuation method Value method, enterprise value ratio (EV/EBITDA) valuation method. Traditional valuation methods are prone to differences in information uncertainty, which affects the difficulty of stock valuation (Wang Kunjing, 2022). Both the traditional price-earnings ratio method and the discounted cash flow method will be affected by future expectations (He Xianglin, 2021). The fatal flaw is that earnings before tax, depreciation and amortization will overestimate operating cash flow. Especially when financial markets fail, the fatal flaws of traditional valuation methods will be infinitely magnified, which will undoubtedly cause serious errors in judgment for securities investors, especially small and medium-sized investors. This article proposes to use an interdisciplinary analysis method ARIMA+HP filter analysis method to conduct valuation analysis on the securities market. The results show that the digital technology industry has a significant head effect. The opening price volatility shows a U-shaped relationship with company size and profitability. This method can make more comprehensive use of historical data and predict possible random fluctuations, provide securities investors with a more reliable valuation method, and at the same time open up new ideas for related research in the field of valuation analysis.

KEYWORDS

ARIMA; HP filter analysis; Digital technology; Stock valuation

CITE THIS PAPER

Sipeng Deng, Yuanchen Huang, Manling Chen, Research on innovative stock value based on HP filtering and ARIMA model—Taking technology listed companies as an example. Financial Engineering and Risk Management (2024) Vol. 7: 159-166. DOI: http://dx.doi.org/10.23977/ferm.2024.070222.

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