TY - JOUR
T1 - Modeling dividends, earnings, and book value equity
T2 - An empirical investigation of the Ohlson valuation dynamics
AU - Bar-Yosef, Sasson
AU - Callen, Jeffrey L.
AU - Livnat, Joshua
PY - 1996
Y1 - 1996
N2 - This study empirically investigates the information dynamics of the Ohlson valuation framework. Single-period lagged linear autoregressive relationships among dividends, earnings, and book values of equity are estimated for a sample of stochastically stationary firms and are found not to support the valuation framework. This study further extends the empirical analysis to a multilagged vector autoregressive linear information system. Consistent with the Ohlson valuation framework, the past time series of all three variables are generally found to be relevant for firm valuation. This study brings into question empirical research utilizing the Ohlson framework that presupposes a single-period lagged information dynamic.
AB - This study empirically investigates the information dynamics of the Ohlson valuation framework. Single-period lagged linear autoregressive relationships among dividends, earnings, and book values of equity are estimated for a sample of stochastically stationary firms and are found not to support the valuation framework. This study further extends the empirical analysis to a multilagged vector autoregressive linear information system. Consistent with the Ohlson valuation framework, the past time series of all three variables are generally found to be relevant for firm valuation. This study brings into question empirical research utilizing the Ohlson framework that presupposes a single-period lagged information dynamic.
UR - http://www.scopus.com/inward/record.url?scp=0005956430&partnerID=8YFLogxK
U2 - 10.1007/BF00555372
DO - 10.1007/BF00555372
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AN - SCOPUS:0005956430
SN - 1380-6653
VL - 1
SP - 207
EP - 224
JO - Review of Accounting Studies
JF - Review of Accounting Studies
IS - 3
ER -