Duran-Vazquez, Rocio and Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración.
Download (345kB) | Preview
We develop an investigation regarding the determinants of the stock prices listed in the Mexican Stock Exchange (BMV). We use the valuation Ohlson model and an extension of it. The Ohlson-Beta model includes the Beta elasticity as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the existence of meaningful long-run relationships among the variables postulated by both models. The main results suggest that the use of panel-data techniques may be more adequate than time-series ones. They also show that both Ohlson models are useful to describe stock prices. The traditional Ohlson variables are significant and have the postulated signs. The Beta variable is also significant. These results hold when the firms are considered as a whole and for the firms with long cycles. Thus the results may support the hypothesis that the information content of accounting and financial variables depends on the length of the cycles.
|Item Type:||MPRA Paper|
|Original Title:||Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración|
|English Title:||Valuation of Mexican stocks with the Olhson and Ohlson-Beta models for firms with short-term and long-term cycles: A cointegration analysis|
|Keywords:||Ohlson Model; Beta; Short and long Cycles; Cointegration|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C30 - General
M - Business Administration and Business Economics; Marketing; Accounting > M4 - Accounting and Auditing > M40 - General
|Depositing User:||Antonio Ruiz-Porras|
|Date Deposited:||30. Aug 2011 08:06|
|Last Modified:||16. Feb 2013 10:12|
Amihud, Y. y H. Mendelson, (1989), “The effects of beta, bid-ask spread, residual risk, and size on stock returns”, Journal of Finance, 44(2), 479-485
Asmodaran, A. (2002), Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, Segunda edición, Estados Unidos, Nueva York, John Wiley & Sons
Breitung, J. y M.H. Pesaran., (2005), “Unit roots and cointegration in panels”, Frankfort (Alemania), Deutsche Bundesbank, Discussion Paper Series 1: Economic Studies 42/2005
Chen, N., R. Roll, y S. Ross, (1986), “Economic forces and the stock markets”, Journal of Business, 59(3), 383-403 Collins, D.W., E.L. Maydew, e I.S. Weiss, (1997), “Changes in the value-relevance of earnings and book values over the past forty years”, Journal of Accounting and Economics, 24(1), 39-67
Dechow, P.M., (1994), “Accounting earnings and cash flows as measures of firm performance: The role of accounting accruals”, Journal of Accounting and Economics, 18(1), 3-42
Durán-Vázquez, R., A. Lorenzo-Valdés y A. Ruiz-Porras, (2011), “Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data”, Munich (Alemania), Munich University Library-MPRA, MPRA Paper 32043
Fama, E. y K.R. French (1992), “The cross-section of expected stock returns”, Journal of Finance, 47(2), 427-465.
Harvey, C. R., (1995), “The risk exposure of emerging equity markets”, The World Bank Research Observer, 9(1), 19-50
Hordahl, P. y F. Packer, (2007), “Understanding asset prices: An overview”, Basilea (Suiza), Bank for International Settlements, Monetary and Economic Department, BIS Paper 34
Khodadadi, V., y M.R. Emami, (2009), “Using panel data analysis methods in Ohlson (1995) model to predicting abnormal earnings”, International Bulletin of Business Administration, 6, 40-49
Lo, K. y T. Lys, (2000), “The Ohlson model: Contribution to valuation theory, limitations and empirical applications”, Journal of Accounting, Auditing and Finance, 15(3), 337-367
Lopes, A.B., (2002), “The value relevance of Brazilian accounting numbers: An empirical investigation”, Sao Paulo (Brasil), University of Sao Paulo, Social Science Research Network, SSRN Working Paper 311459
Maddala, G. S. y S. Wu, (1999), “A comparative study of unit root tests with panel data and a new simple test”, Oxford Bulletin of Economics and Statistics, 61(número especial), 631–652
McCrae, M.S., y H. Nilsson, (2001), “The explanatory and predictive power of different specifications of the Ohlson (1995) valuation models”, European Accounting Review, 10(2), 315-341
Medeiros-Cupertino, C., y P.R. Barbosa-Lustosa, (2004), “Ohlson model testability: Empirical test findings”, Brazilian Business Review, 1(2), 136-150
Ohlson, J. A. (1995), “Earnings, books values and dividends in equity valuation”, Contemporary Accounting Research, 11(2), 661-687
Ota, K. (2002). “A test of the Ohlson model: Empirical evidence from Japan”. International Journal of Accounting, 37(2), 157-182.
Plenborg, T. (1998), “The operating cycle and the information content of earnings and cash flow”, Scandinavian Journal of Management, 14(3), 273-287
Shanken, J. y G. Zhou, (2007), “Estimating and testing beta pricing models: Alternative methods and their performance in simulations”. Journal of Financial Economics, 84(1), 40-86