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The role of assumptions in ohlson model performance: lessons for improving equity-value modeling

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The role of assumptions in ohlson model performance: lessons for improving equity-value modeling

dc.contributor.author	Fullana Samper, Olga
dc.contributor.author	González Sánchez, Mariano
dc.contributor.author	Toscano Pardo, David
dc.date.accessioned	2022-04-24T16:06:52Z
dc.date.available	2022-04-25T04:45:06Z
dc.date.issued	2021	es_ES
dc.identifier.citation	Fullana O, González M, Toscano D. The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling. Mathematics. 2021; 9(5):513.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/82349
dc.description.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.	es_ES
dc.language.iso	en	es_ES
dc.subject	clean surplus relation	es_ES
dc.subject	conservatism correction	es_ES
dc.subject	displacement property	es_ES
dc.subject	discount dividends model (ddm)	es_ES
dc.subject	error correction model (ecm)	es_ES
dc.subject	ohlson valuation model	es_ES
dc.subject	information dynamics model (lim)	es_ES
dc.subject	residual income valuation model (rim)	es_ES
dc.title	The role of assumptions in ohlson model performance: lessons for improving equity-value modeling	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	10.3390/math9050513	es_ES
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES