This paper proposes a regime-switching version of the Ohlson model (ContempAccount Res 11:661–687, 1995).We assume that abnormal earnings and the other informationvariable follow a regime-switching dynamics, which represents a simple yet rigorous way toincorporate the stochastic volatility pattern revealed by financial variables.We derive closedform formulae for market values of equity and show that the resulting model is still tractable.In our empirical investigationwe consider firms from the USA stock market during the period1980–2011 and find that the regime-switching model improves upon the traditional Ohlsonmodel in predicting market prices
A regime Switching Ohlson model
LECCADITO, ARTURO;VELTRI, Stefania
2015-01-01
Abstract
This paper proposes a regime-switching version of the Ohlson model (ContempAccount Res 11:661–687, 1995).We assume that abnormal earnings and the other informationvariable follow a regime-switching dynamics, which represents a simple yet rigorous way toincorporate the stochastic volatility pattern revealed by financial variables.We derive closedform formulae for market values of equity and show that the resulting model is still tractable.In our empirical investigationwe consider firms from the USA stock market during the period1980–2011 and find that the regime-switching model improves upon the traditional Ohlsonmodel in predicting market pricesI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
