Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
AbstractWe develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly data for the period 2000:01-2010:03. The results suggest that panel-data techniques may be better than time-series ones for the assessments. They support the use of the Ohlson models and, specially, the international one. The variables are significant and have the postulated signs. These results hold when the firms are considered as a whole and for the commercial and construction firms. Furthermore, the results also suggest that the Latin American asset prices are complementary to the US ones in the long run.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31354.
Date of creation: 08 May 2011
Date of revision:
Ohlson Model; Latin America; Cointegration;
Other versions of this item:
- Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011. "Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data," MPRA Paper 32043, University Library of Munich, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- M40 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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[Valuation of Mexican stocks with the Ol," MPRA Paper 33054, University Library of Munich, Germany.
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"Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV
[A GARCH model with autor," MPRA Paper 46328, University Library of Munich, Germany.
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