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Quality & Quantity
Erschienen in: Quality & Quantity 5/2015

01.09.2015

A regime switching Ohlson model

verfasst von: Arturo Leccadito, Stefania Veltri

Erschienen in: Quality & Quantity | Ausgabe 5/2015

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Abstract

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.
Vorheriger Artikel Development of the spatial ability self-report scale (SASRS): reliability and validity studies
Nächster Artikel Graph theoretic methods for the analysis of data in developing systems

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Fußnoten
1
The autoregressive coefficient could also be made dependent on the state variable, but this additional complication makes the model less tractable.
 
2
The recent paper of Lee et al. (2012) overcomes the distinction between stationary versus non-stationary variables in the context of the Ohlson model employing a fractional cointegration approach.
 
3
OM ignores also other issues proved to have an impact on security prices, such as dividends (Stark 1997; Rees 1997; Hand and Landsman 2005; Clubb 1995; Clubb and Walker 2012), R&D expenses (Callen and Morel 2005; Dedman et al. 2009; Hirschey et al. 2001), the value relevance of negative earnings (Darrough and Ye 2007; Jiang and Stark 2012), the dynamic expectations about the level of systematic risk in the economy (Lyle et al. 2011).
 
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Metadaten
Titel
A regime switching Ohlson model
verfasst von
Arturo Leccadito
Stefania Veltri
Publikationsdatum
01.09.2015
Verlag
Springer Netherlands
Erschienen in
Quality & Quantity / Ausgabe 5/2015
Print ISSN: 0033-5177
Elektronische ISSN: 1573-7845
DOI
https://doi.org/10.1007/s11135-014-0088-6

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