Modeling dividends, earnings, and book value equity: An empirical investigation of the Ohlson valuation dynamics

Sasson Bar-Yosef, Jeffrey L. Callen, Joshua Livnat

Research output: Contribution to journalArticlepeer-review

27 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)207-224
Number of pages18
JournalReview of Accounting Studies
Volume1
Issue number3
DOIs
StatePublished - 1996

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