The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling

Fullana, Olga, González‑Sánchez, Mariano y Toscano, David . (2021) The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling. Mathematics 9(513), 1-11

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Título The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling
Autor(es) Fullana, Olga
González‑Sánchez, Mariano
Toscano, David
Materia(s) Economía
Abstract In this paper, we test whether the short-run econometric conditions for the basic assumptions of the Ohlson valuation model hold, and then we relate these results with the fulfillment of the short-run econometric conditions for this model to be effective. Better future modeling motivated us to analyze to what extent the assumptions involved in this seminal model are not good enough approximations to solve the firm valuation problem, causing poor model performance. The model is based on the well-known dividend discount model and the residual income valuation model, and it adds a linear information model, which is a time series model by nature. Therefore, we adopt the time series approach. In the presence of non-stationary variables, we focus our research on US-listed firms for which more than forty years of data with the required cointegration properties to use error correction models are available. The results show that the clean surplus relation assumption has no impact on model performance, while the unbiased accounting property assumption has an important effect on it. The results also emphasize the uselessness of forcing valuation models to match the value displacement property of dividends.
Palabras clave clean surplus relation;
conservatism correction;
displacement property;
discount dividends model (DDM); error correction model (ECM);
Ohlson valuation model;
information dynamics model (LIM);
residual income valuation model (RIM)
Editor(es) MDPI
Fecha 2021
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0016
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0016
DOI - identifier https://doi.org/10.3390/math9050513
ISSN - identifier 2227-7390
Nombre de la revista Mathematics
Número de Volumen 9
Página inicial 1
Página final 11
Publicado en la Revista Mathematics 9(513), 1-11
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Mathematics, is available online at the publisher's website: MDPI, https://doi.org/10.3390/math9050513
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Mathematics, está disponible en línea en el sitio web del editor: MDPI, https://doi.org/10.3390/math9050513

 
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Creado: Thu, 07 Mar 2024, 00:02:16 CET