Volume : VI, Issue : VIII, August - 2016

Statistical models applied to a Log–Normally distributed Asset/Stock–pricing statistic: The Asset Gross Revenue Multiplier (AGRM)

Herman Kelting, Sadri Khalessi

Abstract :

 The purpose of this paper is to utilize statistical tests to show the AGRM, a cross sectional price statistic, is a valid asset and stock pricing model based upon its distributions for nine SIC groups totaling 4,843 companies. The AGRM is the quotient of total assets at market capitalization value and total revenue. The importance of the AGRM is that it may be used to price total assets and common equity from total revenue. Popular statistical tests of the AGRM frequency distributions indicate that it is log–normally distributed for all nine SIC groups. The Box and Cox transformation indicate that the logarithmic transformation is appropriate to describe the distribution of the AGRM across the nine data sets. Bartlett’s test for equality of variances showed that seven of the nine distributions of LNAGRM are highly similar and the remaining two are somewhat similar to the other seven. The standard deviations of the seven groups of LnAGRM vary from 0.66 to 0.78 and all nine vary from 0.66 to 0.99 with a coefficient of variation of 0.14.

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Article: Download PDF   DOI : 10.36106/ijar  

Cite This Article:

Herman Kelting, Sadri Khalessi Statistical models applied to a Log–Normally distributed Asset/Stock–pricing statistic: The Asset Gross Revenue Multiplier (AGRM) Indian Journal of Applied Research,Volume : 6 | Issue : 8 | August 2016

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