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Ohlson model by panel cointegration with Mexican data

Listed author(s):
  • Lorenzo Valdés Arturo


    (Instituto Tecnológico de Estudios Superiores de Monterrey)

  • Durán Vázquez Rocío


    (Instituto Politécnico Nacional)

Registered author(s):

    In this study we use cointegration methods to investigate the relationship between the variables of the Ohlson model (stock price, earnings per share and book value) with panel data. The cointegration tests were applied at individual and group level (by all firms, and by sectors). The firms studied are from the Food & Beverage, Commercial and Construction economical sectors of the public companies listed on the Mexican Exchange Market. The data used was on a quarterly basis from 1997 to 2008. The empirical results, based on Johansen test, indicate that there are some individual cointegration relationships. The panel cointegration test show that the variables in the Ohlson model are not cointegrated for the Construction sector, although they are for the Commercial and Food&Beverage sectors.

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    Article provided by Accounting and Management in its journal Contaduría y Administración.

    Volume (Year): 55 (2010)
    Issue (Month): 3 (septiembre-diciembre)
    Pages: 131-142

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    Handle: RePEc:nax:conyad:v:55:y:2010:i:3:p:131-142
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    Circuito exterior s/n, Ciudad Universitaria, Del. Coyoacón, C. P. 04510, México D.F.

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    1. Ou, Jane A. & Penman, Stephen H., 1989. "Financial statement analysis and the prediction of stock returns," Journal of Accounting and Economics, Elsevier, vol. 11(4), pages 295-329, November.
    2. repec:bla:joares:v:37:y:1999:i:2:p:319-352 is not listed on IDEAS
    3. Chi-Wei Su & Ya-Wen Chang & Yahn-Shir Chen & Hsu-Ling Chang, 2008. "The Relationship between Stock Price and EPS: Evidence Based on Taiwan Panel Data," Economics Bulletin, AccessEcon, vol. 3(30), pages 1-12.
    4. repec:ebl:ecbull:v:3:y:2008:i:30:p:1-12 is not listed on IDEAS
    5. Ota, Koji, 2002. "A test of the Ohlson (1995) model: Empirical evidence from Japan," The International Journal of Accounting, Elsevier, vol. 37(2), pages 157-182.
    6. Collins, Daniel W. & Maydew, Edward L. & Weiss, Ira S., 1997. "Changes in the value-relevance of earnings and book values over the past forty years," Journal of Accounting and Economics, Elsevier, vol. 24(1), pages 39-67, December.
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