The Ohlson (1995) Model and Stock Return  

Oleh:

Wirama, Dewa Gede

Jenis: Article from Journal - ilmiah internasional - terdaftar di DIKTI
Dalam koleksi: The Indonesian Journal of Accounting Research (Jurnal Riset Akuntansi Indonesia) vol. 13 no. 1 (Jan. 2010), page 15-28.
Topik: Ohlson Model; Empirical Specification; Stock Return; Relative and Absolute Term

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: RR17.8 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This research reexamines the ability oh Ohlson (1995) valuation model in predicting stock return. Empirical specifications of the model in previous researches violated the model assumptions regarding the nature of model's parameters, discount factors, and the clean surplus relation. Those violations undermine the validity of the researches' conclusions regarding the model. Two portfolios are formed based on the ration between stock values as calculated by Ohlson Model and market prices, both in relative and absolute terms. In relative term, stocks with relatively high ratio are considered to be undervalued and therefore command a higher return, and vice versa. In absolute term, a stock is considered to be undervalued if the ratio is greater than one.

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