A modified Ohlson (1995) model and its applications
dc.contributor.author | Wang, P | |
dc.date.accessioned | 2021-09-29T08:26:34Z | |
dc.date.issued | 2021-11-08 | |
dc.description.abstract | In this paper, I explore a modified Ohlson (1995) model, which incorporates future positive net present value (NPV) investments. I first utilize an approach to simultaneously estimate the parameters in the linear information dynamic alongside the cost of equity capital, then evaluate the model’s performance in equity valuation and return prediction. Contrary to the systematic undervaluation of the Ohlson (1995) model reported in prior literature, I find that there is no systematic undervaluation of stock prices by using the modified Ohlson (1995) model. The out-of-sample median valuation bias estimated with this new approach is only 3.3% compared with 34.8% achieved when carrying out the estimation using existing methods. I also find that using the time-varying cost of equity capital reduces valuation bias and improves valuation accuracy. Furthermore, the expected return estimates developed from the model generate a monotonic decile ranking of future realized stock returns. | en_GB |
dc.identifier.citation | Published online 8 November 2021 | en_GB |
dc.identifier.doi | 10.1080/09638180.2021.1993949 | |
dc.identifier.uri | http://hdl.handle.net/10871/127268 | |
dc.language.iso | en | en_GB |
dc.publisher | Routledge / European Accounting Association | en_GB |
dc.rights | © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http:// creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. | |
dc.subject | the residual income valuation | en_GB |
dc.subject | linear information dynamic | en_GB |
dc.subject | simultaneous estimation | en_GB |
dc.subject | valuation accuracy | en_GB |
dc.subject | return prediction | en_GB |
dc.title | A modified Ohlson (1995) model and its applications | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2021-09-29T08:26:34Z | |
dc.identifier.issn | 0963-8180 | |
dc.description | This is the final version. Available on open access from Routledge via the DOI in this record | en_GB |
dc.identifier.eissn | 1468-4497 | |
dc.identifier.journal | European Accounting Review | en_GB |
dc.rights.uri | https:// creativecommons.org/licenses/by/4.0/ | en_GB |
dcterms.dateAccepted | 2021-09-26 | |
rioxxterms.version | VoR | en_GB |
rioxxterms.licenseref.startdate | 2021-09-26 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2021-09-28T16:27:53Z | |
refterms.versionFCD | AM | |
refterms.dateFOA | 2021-12-02T12:00:32Z | |
refterms.panel | C | en_GB |
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Except where otherwise noted, this item's licence is described as © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http:// creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.