運用分數共整合方法驗證Ohlson模型

Ohlson (1995) 模型已成為現今會計評價模型中最普遍且廣為使用之模型。然而，在相關實證研究中使用時間序列資料時並未明確地考量到模型的時間序列特性，在分析的過程中可能有假性迴歸（spurious regression）而影響實證結果的可信度。本研究主要的目的在於運用單根 (unit root) 與共整合檢定方法 (cointegration test) 測試Ohlson模型的時間序列特性，並且進一步使用分數共整合的方法來測試Ohlson模型，探討模型是否存在長期均衡關係。本研究以美國1994年第2季至2004年第4季共1352家公司為樣本。實證結果發現：(1)多數樣本公司的市價與帳面價值是非定態的，更重要的是，在5% 信賴水準下，帳面價值和異常盈餘與市價呈現共整合僅佔全樣本的34.62%。(2) 使用Robinson的分數共整合分析方法後，共整合的比率大幅提昇，表示ohlson模型仍是成立的。

關鍵字

Ohlson 模型；單根檢定；共整合；分數共整合

並列摘要

Ohlson (1995) model is the most pervasively and widely adopted model in the valuation models. However, we find cases where empirical research based on time-series data do not explicitly account for time-series properties of the Ohlson model. They are likely to have spurious regressions in the analytic process and affect the reliability of empirical results. The main purpose of this study is to apply unit root and cointegration test to examine time-series properties of the Ohlson model, and we further use the fractional cointegration method to test the Ohlson model and explore whether model exists the relation of long–term equilibrium. This study is based on a sample of 1352 firms, which complete data are available from second quarter of 1994 to the forth quarter of 2004. Empirical results show that: (1) market value and book value are nonstationary for most of the sample firms. More importantly, book value and residual income cointegrate with market value for only 34.62 percent of the sample firms at the 0.05 level. (2) when we use a semiparametric frequency domain procedure of Robinson (1995), we find that the ratio of cointegration will widely elevate. It is represent that Ohlson model is still holding.

並列關鍵字

Ohlson model ； Unit root test ； Cointegration ； Fractional Cointegration

參考文獻

Beaver, W.H., 1999. Comments On An Empirical Assessment of The Residual Income Valuation Model. Journal of Accounting and Economics 26, 35-42.

Bernard, V.L., 1995. The Feltham-Ohlson Framework: Implications for Empiricists. Contemporary Accounting Research 11, 733-747.

Boutahar. M., Marimoutou. V., Nouira. L., 2005. The Effect of Taper On The Semiparametric Estimators In The Nonstationary long memory process. GREQAM, Univeraite de la Mediterranee 1-24

Callen, J.L., Morel, M., 2005. The Valuation Relevance of R&D Expenditures: Time Series Evidence. International Review of Financial Analysis 3, 304-325.

Caporale, GM., Gil-Alana, LA ., 2004. Fractional Cointegration and Real Exchange Rates. Review of Financial Economics 13, 327–340.

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運用分數共整合方法驗證Ohlson模型

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