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Ohlson model by panel cointegration with Mexican data

Author

Listed:
  • Lorenzo Valdés Arturo

    (Instituto Tecnológico de Estudios Superiores de Monterrey)

  • Durán Vázquez Rocío

    (Instituto Politécnico Nacional)

Abstract

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.

Suggested Citation

  • Lorenzo Valdés Arturo & Durán Vázquez Rocío, 2010. "Ohlson model by panel cointegration with Mexican data," Contaduría y Administración, Accounting and Management, vol. 55(3), pages 131-142, septiembr.
    • Handle: RePEc:nax:conyad:v:55:y:2010:i:3:p:131-142
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    References listed on IDEAS

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    1. repec:ebl:ecbull:v:3:y:2008:i:30:p:1-12 is not listed on IDEAS
    2. 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.
    3. 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.
    4. Francis, J & Schipper, K, 1999. "Have financial statements lost their relevance?," Journal of Accounting Research, Wiley Blackwell, vol. 37(2), pages 319-352.
    5. 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.
    6. 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.
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    Cited by:

    1. 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.
    2. Rocío Durán-Vázquez & Arturo Lorenzo-Valdés & Juan Manuel San Martín-Reyna, 2012. "Relevance of Discrecionary Accruals in Ohlson Model: the Case of Mexico," Journal of Entrepreneurship, Management and Innovation, Fundacja Upowszechniająca Wiedzę i Naukę "Cognitione", vol. 8(3), pages 21-34.

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