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

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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.

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Authors and Affiliations

  1. The Hebrew University of Jerusalem, Jerusalem, Israel

    Sasson Bar-Yosef

  2. Department of Accounting, Stern School of Business, New York University, 10012, New York, NY, USA

    Jeffrey L. Callen

  3. Department of Accounting, Stern School of Business, New York University, 10012, New York, NY, USA

    Joshua Livnat

Authors
  1. Sasson Bar-Yosef
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  2. Jeffrey L. Callen
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  3. Joshua Livnat
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Bar-Yosef, S., Callen, J.L. & Livnat, J. Modeling dividends, earnings, and book value equity: An empirical investigation of the ohlson valuation dynamics. Rev Acc Stud 1, 207–224 (1996). https://doi.org/10.1007/BF00555372

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  • DOI: https://doi.org/10.1007/BF00555372

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