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Equity Valuation using Forecasted Earnings
An Investigation of the Ohlson (1995) Model: 1995-2007
 

TABLE OF CONTENTS  
SYNOPSIS    ............................................................................. 4
ACKNOWLEDGEMENTS   ............................................................................... 6
NOTATIONS  ............................................................................................. 7
CHAPTER 1 INTRODUCTION   ...................................................... 8
CHAPTER 2 LITERATURE REVIEW ................................................................................... 11
CHAPTER 3 THE OHLSON (1995) MODEL  ......................................................................... 16
The Residual Income Model   ............................................ 16
The Linear Information Models ............................................ ............................... 18
Hypothesis Testing......................................................................................................... 20
The Different Specifications of the Ohlson (1995) Model  ............................................... 21
CHAPTER 4 RESEARCH AND DATA DESIGN ................................................................... 24
Preparation Procedures for Implementation  .................................................................. 24
The Data and Sample Description  .................................................................................. 27
CHAPTER 5 THE EMPIRICAL RESULTS  ............................................................................ 30
The Autoregressive Properties of Abnormal Earnings and “Other” Information  .......... 30
Abnormal Earnings ............ .................. 30
The Optimal Lag Structure for Abnormal Earnings  .................................................................. 32
The “Other” Information Variable  ............................................................................................... 35
The Prediction of Next Period Abnormal Earnings  ........................................................ 37
The Prediction of Contemporaneous Stock Prices ........................................................... 40
The Prediction of Future Stock Returns  ........................... ....................................... 44
CONCLUSION.................................... ............................................ 47
APPENDIX  ............................................... ........................................................... 49 
 
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