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Feltham–Ohlson 模型的实证检验

Empirical Tests of the Feltham–Ohlson (1995) Model

Abstract.
This paper tests the Feltham–Ohlson (1995) model by transforming the undefined ‘‘otherinformation’’ variables into expectational variables, as suggested by Liu and Ohlson [Liu and Ohlson(2000). Journal of Accounting, Auditing and Finance 15, 321–331]. The signs of the estimated coefficientsconform to the model’s predictions using panel data techniques, non-parametric estimation, reverseregressions and portfolio regressions. The tests reject the Ohlson model in favor of Feltham–Ohlson.Nevertheless, the estimated leverage coefficient takes a value of three instead of one for most variations ofthe model. Also, the 1-year-ahead price predictions of the Feltham–Ohlson model are no more accuratethan those of the Ohlson model or a naive earnings valuation model.

Keywords: Feltham–Ohlson, equity valuation, conservatism, net operating assets, growth

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