Modeling dividends,earnings, and book value equity: An empirical investigation of the ohlson valuation dynamics |
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Authors: | Sasson Bar-Yosef Jeffrey L. Callen Joshua Livnat |
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Affiliation: | (1) The Hebrew University of Jerusalem, Jerusalem, Israel;(2) Department of Accounting, Stern School of Business, New York University, 10012 New York, NY, USA;(3) Department of Accounting, Stern School of Business, New York University, 10012 New York, NY, USA |
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Abstract: | This study empirically investigates the information dynamics of the Ohlson valuation framework. Single-period lagged linear autoregressive relationships among dividends, earnings, and book values of equity are estimated for a sample of stochastically stationary firms and are found not to support the valuation framework. This study further extends the empirical analysis to a multilagged vector autoregressive linear information system. Consistent with the Ohlson valuation framework,the past time series of all three variables are generally found to be relevant for firm valuation. This study brings into question empirical research utilizing the Ohlson framework that presupposes a single-period lagged information dynamic. |
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