RT Journal Article
T1 The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling
A1 Fullana, Olga
A1 González, Mariano
A1 Toscano Pardo, David
AB In this paper, we test whether the short-run econometric conditions for the basic assumptionsof the Ohlson valuation model hold, and then we relate these results with the fulfillment of theshort-run econometric conditions for this model to be effective. Better future modeling motivatedus to analyze to what extent the assumptions involved in this seminal model are not good enoughapproximations to solve the firm valuation problem, causing poor model performance. The model isbased on the well-known dividend discount model and the residual income valuation model, and itadds a linear information model, which is a time series model by nature. Therefore, we adopt thetime series approach. In the presence of non-stationary variables, we focus our research on US-listedfirms for which more than forty years of data with the required cointegration properties to use errorcorrection models are available. The results show that the clean surplus relation assumption has noimpact on model performance, while the unbiased accounting property assumption has an importanteffect on it. The results also emphasize the uselessness of forcing valuation models to match the valuedisplacement property of dividends.
PB MDPI
SN 2227-7390
YR 2021
FD 2021-03
LK http://hdl.handle.net/10272/19692
UL http://hdl.handle.net/10272/19692
LA eng
NO Fullana, O., González, M., & Toscano Pardo, D. (2021). The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling. Mathematics, 9(5), 513. DOI: https://doi.org/10.3390/math9050513
DS Repositorio Institucional de la Universidad de Huelva
RD 1 jun 2026