Ohlson模型與股利折現模型之實證研究

An Empirical Investigation of the Ohlson Model and the Dividend Discount Model

洪莉雯(Li-Wen Hung)

指導教授 ： 李詩政

元智大學/管理學院/會計學系/碩士(2006年)

https://doi.org/10.6838/YZU.2006.00186

摘要

本研究是運用Panel共整合方法驗證Ohlson(1995)會計評價模型和股利折現模型是否成立，亦即測試股東權益的市場價值與會計變數之間是否存在長期均衡關係。同時我們也進一步利用Ohlson(1995)會計評價模型和股利折現模型所計算出來的公司理論價值，探討何者具備預測未來股價波動的能力。本研究以美國1986年至2004年共380家股票上市公司作為分析樣本。在評估共整合方面，分別使用傳統時間序列共整合檢定方式與Mark & Sul(2001) Panel共整合檢定方式。實証結果發現，在Panel共整合檢定方式下， Ohlson(1995)模型與股利折現模型皆成立。在預測能力方面，採用Theil’s U統計量來衡量模型的預測準確性。實証結果顯示，Ohlson(1995)模型所得出預測值解釋未來股價變動之能力優於股利折現模型。

關鍵字

Ohlson模型 ； Panel共整合 ； Theil’s U值

並列摘要

There is a considerable incentive to study the long-run equilibrium relationship between stock price and the fundamental value of corporations in Ohlson (1995) accounting-based equity valuation model. We performed an investigation in an attempt to establish the long-run equilibrium relationship between stock price and accounting variables according to the Ohlson (1995) accounting-based equity valuation model through the panel cointegration tests. Subsequently, we evaluated the predictive power of Ohlson (1995) accounting-based equity valuation model for future stock price assessment. Since the Ohlson (1995) model is build upon the dividend discount model, we also examine the validity and the predictive power of the dividend discount model as a basis for comparison.
Sample firms were selected from five listed industries in the United States. A total of 380 firms that had fulfilled our requirements were identified between 1986 and 2004. We employed the tests of the conventional time-series and the panel cointegration tests by Mark and Sul (2001) to evaluate the extent of cointegration of accounting variables with market value of common equity. Our results indicated that the hypothesis of no cointegration can be easily rejected under panel cointegration tests. Its forecasting performance was studied by adopting the Theil’s U statistic. The results confirmed that the Ohlson (1995) model was able to forecast future stock price movements much more accurately in any predict horizon. Overall, our evidence suggests that the correlation between the stock price and the Ohlson (1995) model is much stronger than that between the stock price and the DDM.

並列關鍵字

Ohlson model ； panel cointegration ； Theil’s U statistic

參考文獻

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