Endogenous Parameter Time Series Estimation of the Ohlson Model: Linear and Nonlinear Analyses

Morel, Mindy

doi:10.1111/j.0306-686x.2003.05444.x

Cited by 53 publications

(67 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Empirical studies by Dechow et al (1999), Myers (1999), and Callen and Morel (2001) and Morel (2003) provide extensive empirical evidence that the Ohlson (1995) model is of limited empirical validity. One possible reason is the restrictive assumption of the Ohlson model that accounting is unbiased, whereas US GAAP is strongly biased towards conservatism.…”

mentioning

confidence: 99%

Empirical Tests of the Feltham–Ohlson (1995) Model

Callen

Segal

2005

Rev Acc Stud

View full text Add to dashboard Cite

This paper tests the Feltham-Ohlson (1995) model by transforming the undefined ''other information'' variables into expectational variables, as suggested by Liu and Ohlson [Liu and Ohlson (2000). Journal of Accounting, Auditing and Finance 15, 321-331]. The signs of the estimated coefficients conform to the model's predictions using panel data techniques, non-parametric estimation, reverse regressions and portfolio regressions. The tests reject the Ohlson model in favor of Feltham-Ohlson. Nevertheless, the estimated leverage coefficient takes a value of three instead of one for most variations of the model. Also, the 1-year-ahead price predictions of the Feltham-Ohlson model are no more accurate than those of the Ohlson model or a naive earnings valuation model.

show abstract

mentioning

confidence: 99%

Empirical Tests of the Feltham–Ohlson (1995) Model

Callen

Segal

2005

Rev Acc Stud

View full text Add to dashboard Cite

show abstract

“…As stated by Callen and Segal (2005: 409), "studies by Dechow et al (1999), Myers (1999), Callen and Morel (2001) and Morel (2003) The major contribution of this study is to test whether EFI is relevant in explaining current stock prices and future stock returns. We therefore enhance existing linear information models by integrating EFI and testing the models' ability to explain current stock prices and predict future stock performance.…”

Section: Introductionmentioning

confidence: 91%

Fundamental valuation of extra-financial information

Mandl¹,

Lobe²,

Röder³

et al. 2010

COC

View full text Add to dashboard Cite

Abstract:In this study, we augment seminal models based on Ohlson (1995) by integrating the value impact of ratings related to three different extra-financial categories, i. e. corporate governance, human capital, and innovation capital. For a sample of large European public firms, we find that a model including human capital information and analysts' earnings forecasts best explains current stock prices. Our model based on human capital information (without analysts' forecasts) best identifies under-and overvalued companies and is thus useful for generating future positive hedge returns.This supports the findings of Dechow et al. (1999), who hold that models incorporating analysts' forecasts are superior in explaining contemporaneous market prices and models lacking this information exhibit the greatest predictive ability. We find that extra-financial information indeed conveys value relevant information beyond accounting figures and analysts' earnings forecasts.Keywords: Capital markets; Extra-financial information; Information dynamics; Ohlson (1995) IntroductionIn this study, we analyze whether extra-financial information (EFI) is useful for explaining firms' current market prices and for identifying under-and overvalued firms. We use the term EFI because it lends a broader connotation than intangible assets or intellectual capital. We specifically study the effects of corporate governance (CG), human capital (HC), and innovation capital (IC) information. The remainder of the introduction is structured as follows: First, we present empirical evidence for the relationship between EFI and company performance, respectively the stock price. Then, we map the theoretical link between EFI and the residual income used to determine the fundamental value of a company. Finally, we give an overview of the implemented valuation models based on Ohlson (1995) and pose our research questions.The notion whether EFI contributes in determining the fundamental value of firms is supported by growing literature dealing with corporate market value and book value.Many studies attribute extra-financials to the discrepancy between a firm's book value and market value. Among these studies is Sáenz (2005), who examines the relationship between human, structural and relational capital indicators and the market-to-book ratio for banks in Spain. He finds a positive relationship between HC indicators and the market-to-book ratio. Amir and Lev (1996) investigate the value relevance of financial and non-financial information in the cellular communications industry and Deng et al.(1999) look at the ability of patent-related measures to predict stock returns and marketto-book ratios.2 Daniel and Titman (2006), a recent study that examines the book-to-market effect on stock returns, takes an innovative approach that distinguishes between information on tangible and intangible assets. Tangible assets are defined as measures of past accounting-based performance and intangible assets as the component of news about future performance, which is unr...

show abstract

“…Using Myers (1999) approach Callen & Morel (2001), revised LID hypothesis and includes AR (2) structure in abnormal earnings and found that the intrinsic value on the revised structure basis is not superior tointrinsic value based on the AR (1) structure. Dechow et al (1999) and Myers (1999) were weak in estimation of thecost of capital to calculate abnormal earnings (Morel, 2003) and corrected this drawback by estimating risk premium and firm level persistence parameters, which allows them to changecross-sectional wise cost of capital. She also examined the predictive ability of O'95 by risk premium and earnings Many studies discussed conservatism with LID (Feltham &Ohlson, 1995;Myers, 1999;Ashton & Wang, 2013;Clubb, 2013;Skogsvik & Juettner-Nauroth, 2013).…”

Section: Asian Journal Of Finance and Accountingmentioning

confidence: 99%

“…Predictive linkassesses the forecasting capacity of the model to predict future abnormal earnings (Eq 6&7) (Giner & Lniguez, 2006). O'95 is a landmark study in accounting research not only because it associate accounting numbers with stock prices in a systematic manner but it also widely accepted in empirical studies (Collins et al, 1999;Morel, 2003;Barth et al, 2005;). According to Callen & Morel (2001), three prominent reasons appear behind it.…”

Section: Empirical Studies Based On O'95mentioning

confidence: 99%

A Literature Review on Ohlson (1995)

Kumari

Mishra

2017

AJFA

View full text Add to dashboard Cite

This paper presents the review of the literature focussed on Ohlson, J.A., 1995. (Earnings, book values and dividends in security valuation. Contemporary Accounting Research 11, 661-687). Firstly an overview then theoretical and empiricalresearch directly related to this work are presented, based on articles cited this work. Further, some bibliometric facts about the study are added. The bibliometric analysis is based on twelve reputed journals of

show abstract

Endogenous Parameter Time Series Estimation of the Ohlson Model: Linear and Nonlinear Analyses

Cited by 53 publications

References 24 publications

Empirical Tests of the Feltham–Ohlson (1995) Model

Empirical Tests of the Feltham–Ohlson (1995) Model

Fundamental valuation of extra-financial information

A Literature Review on Ohlson (1995)

Contact Info

Product

Resources

About