Empirical Investigation of the Ohlson Model: The Case of Taiwan
來源
管理學報
作者
Shih-Cheng Lee
年份
2007
資料性質
英文
出版者
社團法人中華民國管理科學學會
出版地
台北
冊數
24卷4期
頁數
P435 - 446
相關連結
簡介
This study applies the panel cointegration method to test the Ohlson (1995) model. Sample firms are chosen from seven listed industries in Taiwan during the period from the second quarter of 1990 to the third quarter of 2005. The analysis focuses on whether the fundamental value cointegrates with firm market value. The results support the cointegration hypothesis that a long-term equilibrium relationship exists between firm fundamental value and market value. This study then assesses the predictive power of the Ohlson model for future assessment of market value. Since the Ohlson model is based on the dividend discount model, this study also examines the validity and the predictive power of the dividend discount model for comparison. The results demonstrate that the Ohlson model can forecast future stock price movements much more accurately than the dividend discount model for all prediction horizons.
