摘要:The research results show that sign-orientedmodels have better performance in the prediction of abnormal earnings compared totraditional model. Using forecasted abnormal earnings in all of the valuation functionsindicate that none of the studied models can appropriately forecast firm’s value.
counting profits of year t
The book value of the Stakeholders’ equity at time t-1 multiplied by the capital cost rate is considered as the firm’s normal earnings. So, the earnings of time t minus the firm’s normal earnings can be defined below as abnormal earnings:
X X t rb t
a
t = − −1 (3)
Where: X a
t : Abnormal earnings of year t
With the combination of equations 2 and 3,equation 4 can be written as follows:
d X ( r )bt bt
a
t = t + 1+ −1− (4)
Using the above equation and substitution of dt+i in Equation 1, one can reach valuation modelbased on abnormal earnings or residual income:
Abnormal profit or residual profit valuation model indicate that firm’s value equals to the stakeholders’ equity book value plus the current value of future expected abnormal profits (G.A.D. Preinrich, 1983; E.O. Edwards and P.W. Bell, 1961; and K.V. Peasnell, 1982). It is the one of the interesting features of this model that the firm’s value is not affected by accounting methods.
2.1.2. Ohlson (1995) Linear Information Model
Ohlson assumes that the time-series behavior of abnormal earnings is as follows:
+1 11 1 +1 = + + t t
a
t
a
t x ω x V ε (6)
Where:
+1 2 +1 = + t t t V γV ε
a
xt : abnormal earnings of year t
Vt : Other information variable at time t
11 ω : Persistence of abnormal earnings ( 0 1 11 < ω < )
After prediction of abnormal earnings, Ohlson applied them in his valuation model as follows:
t
a
t t t V bV x V 1 2 = +α +α (7)
Where:
(1 )(1 )
, 1
1 11
2
11
11
1 ω γ
α
ω
ω
α
+ − + −
+
=
+ −
=
r r
r
r
2.1.3. Feltham and Ohlson (1995) Linear Information Model
Feltham and Ohlson (1995) have incorporated the accounting conservatism into their model. They have
segregated operational and financial assets. Accounting conservatism systematically causes lower valuation of operational assets and has no effect on financial assets. Thus, one of the conservative effects is the reduced normal earnings criterion. To take this conservatism into account, Feltham and Ohlson present the following model:
+1 11 12 1 1 +1 = + + + t t t
a
t
a
t x ω x ω bV V ε (8)
International Research Journal of Finance and Economics - Issue 36 (2010) 62
Where:
+1 22 2 2 +1 = + + t t t t bV ω bV V ε
1 1 1 3 +1 = + t t t V γ V ε
2 2 2 4 +1 = + t t t V γ V ε
V2t ,V1t : other information variables at time t
11 ω : Persistence of abnormal earnings ( 0 1 11 < ω < )
12 ω : Conservatism parameter ( 0 12 ω > )
22 ω : Growth in the book value of equity parameter
1 2 γ ,γ : Persistences of the other information variables ( , 1 1 2 o < γ γ < )
Since the segregation of operational assets from financial ones is not so simple, some
researchers have applied this model assuming that all firm’s assets are of operational kind (J.N. Myers,1999; K. Lo and T. Lys, 2000; K. Ota, 2002). This idea have also used in present research.
2.2. Literature Review
To date many researches have been taken regarding the efficiency test of linear information m
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