Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
[Valuation of Mexican stocks with the Olhson and Ohlson-Beta models for firms with short-term and long-term cycles: A cointegration analysis]
AbstractWe develop an investigation regarding the determinants of the stock prices listed in the Mexican Stock Exchange (BMV). We use the valuation Ohlson model and an extension of it. The Ohlson-Beta model includes the Beta elasticity as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the existence of meaningful long-run relationships among the variables postulated by both models. The main results suggest that the use of panel-data techniques may be more adequate than time-series ones. They also show that both Ohlson models are useful to describe stock prices. The traditional Ohlson variables are significant and have the postulated signs. The Beta variable is also significant. These results hold when the firms are considered as a whole and for the firms with long cycles. Thus the results may support the hypothesis that the information content of accounting and financial variables depends on the length of the cycles.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 33054.
Date of creation: 28 Jul 2011
Date of revision:
Ohlson Model; Beta; Short and long Cycles; Cointegration;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- M40 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-05 (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.:
- 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,"
31354, University Library of Munich, Germany.
- 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.
- Jay Shanken & Guofu Zhou, 2007.
"Estimating and testing beta pricing models: Alternative methods and their performance in simulations,"
CEMA Working Papers
275, China Economics and Management Academy, Central University of Finance and Economics.
- Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
- Jay Shanken & Guofu Zhou, 2006. "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations," NBER Working Papers 12055, National Bureau of Economic Research, Inc.
- César Medeiros Cupertino & Paulo Roberto Barbosa Lustosa, 2004. "Ohlson Model Testability:Empirical Tests Findings," Brazilian Business Review, Fucape Business School, vol. 1(2), pages 136-150, June.
- Michael McCrae & Henrik Nilsson, 2001. "The explanatory and predictive power of different specifications of the Ohlson (1995) valuation models," European Accounting Review, Taylor & Francis Journals, vol. 10(2), pages 315-341.
- Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2011.
"Modelación de los rendimientos bursátiles mexicanos mediante los modelos TGARCH y EGARCH: Un estudio econométrico para 30 acciones y el Índice de Precios y Cotizaciones
[Modeling Mexican stock ," MPRA Paper 36872, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.