A regime switching Ohlson model

被引：0
作者：
Arturo Leccadito
Stefania Veltri
机构：
[1] University of Calabria,Department of Economics, Statistics and Finance
[2] University of Calabria,Department of Business Administration and Law
来源：
Quality & Quantity | 2015年 / 49卷
关键词：
Regime switching; Ohlson model; Value relevance ; Time series; Accounting based valuation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper proposes a regime-switching version of the Ohlson model (Contemp Account Res 11:661–687, 1995). We assume that abnormal earnings and the other information variable follow a regime-switching dynamics, which represents a simple yet rigorous way to incorporate the stochastic volatility pattern revealed by financial variables. We derive closed form formulae for market values of equity and show that the resulting model is still tractable. In our empirical investigation we consider firms from the USA stock market during the period 1980–2011 and find that the regime-switching model improves upon the traditional Ohlson model in predicting market prices.
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页码：2015 / 2035
页数：20
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