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

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.

Abstract

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
• 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
• Language: Spanish
• 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 ; Personnel Economics > M4 - Accounting and Auditing > M40 - General

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