Publication: El beneficio anormal en el Modelo de Ohlson: una propuesta para su estimación
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Date
2007
Authors
Cabedo Semper, J. David ; Tirado Beltrán, José M.
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Publisher
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DOI
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info:eu-repo/semantics/article
Description
Abstract
En el presente trabajo se realiza una propuesta metodológica para la estimación del
beneficio anormal esperado que requiere la dinámica lineal de la información del modelo
de Ohlson (1995). Dicha propuesta, basada en técnicas de remuestreo, permite tanto la
estimación de un valor para el beneficio esperado, como el establecimiento de intervalos
de confianza para dicho valor y para el valor estimado de las acciones. La metodología
propuesta, sin necesidad de recurrir a estimaciones subjetivas, proporciona resultados tan
buenos como los de otros modelos que, asumiendo persistencia en los beneficios
anormales esperados, utilizan predicciones de los analistas
In this paper we propose a model to estimate the expected abnormal earnings required by the linear information dynamics of the Ohlson’s (1995) model. Our proposal, based on bootstrapping techniques, allows us to estimate easily the value of the expected abnormal earnings. Furthermore, it allows us the estimation of confidence intervals for this value and for the estimated values of stock prices. The empirical application of the model that we have done in the paper has provided the following results: the forecasting power of our proposal is as good as the one provided by other models that, as ours, assume persistence in the expected abnormal earnings, but, additionally, require subjective opinions for their estimation.
In this paper we propose a model to estimate the expected abnormal earnings required by the linear information dynamics of the Ohlson’s (1995) model. Our proposal, based on bootstrapping techniques, allows us to estimate easily the value of the expected abnormal earnings. Furthermore, it allows us the estimation of confidence intervals for this value and for the estimated values of stock prices. The empirical application of the model that we have done in the paper has provided the following results: the forecasting power of our proposal is as good as the one provided by other models that, as ours, assume persistence in the expected abnormal earnings, but, additionally, require subjective opinions for their estimation.
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