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.
m j at time t
11 ω : Persistence of negative abnormal earnings
+ + 11 11 ω ω : Persistence of positive abnormal earnings
j t D , : Dummy variable for firm j at time t( 1 , = j t D if 0 , a >
j t x and 0 , = j t D otherwise
They state that since the negative abnormal earnings are temporary, the coefficient of these
earnings should be significant and varies from 1 (close to zero) while it is expected that this coefficient
should be, close to 1 for positive abnormal earnings. Therefore, the segregation of abnormal earnings
in terms of their sign will improve the results.
In the third model of this research, it has been paid to Feltham-Ohlson model and, as the same as the first model, the sing of abnormal earnings has not been taken into account. The relations relevant to this model are as follows.
, +1 11 , 12 , 1 , +1 = + + j t j t
a
j t
a
j t x ω x ω bV ε (12)
Where:
, +1 22 , 2 , +1 = + j t j t j t bV ω bV ε
a
j t x , : Abnormal earnings of firm j at time t
11 ω : Persistence of abnormal earnings
12 ω : Conservatism parameter( 0 12 w > )
22 ω : Growth rate in the book value of equity parameter
The fourth model is the same as the third model having been adjusted by the sign of abnormal
earnings and is expressed as follows.
, 1 11 , 11 , 12 , 12 , , +1
+ +
+ = + + + + j t j t j t
a
j t t
a
j t
a
j t x ω x ω D x ω bV ω bV ε (13)
Whrere:
, +1 22 , 2 , +1 = + j t j t j t bV ω bV ε
a
j t x , : Abnormal earnings of firm j at time t
11 ω : Persistence of negative abnormal earnings
+ + 11 11 ω ω : Persistence of positive abnormal earnings
12 ω : Conservatism parameter for firms with negative abnormal earnings( 0 12 w > )
+ + 12 12 ω ω : Conservatism parameter for firms with positive abnormal earnings ( 0 12 12 ω + ω + > )
22 ω : Growth rate in the book value of equity parameter
At last, the capability of these four models in forecasting the abnormal earnings is compared.
B Calculated values obtained from discounted abnormal earnings of the future periods can
appropriately express the firm’s value in present time
This assumption hereafter will be referred to as the existing valuation relation (EVR)
hypothesis. According to Ohlson (1995) model, the firm’s value at any time can be calculated from the
International Research Journal of Finance and Economics - Issue 36 (2010) 66
total sum of stakeholders’ equity at that time and the current value of the future forecasted abnormal
earnings as follows.
Σ
+
= +
∞
=
+
1
1
t (1 )
t
a
t
t t r
V bv X (14)
As previously explained, Ohlson (1995) and Feltham-Ohlson (1995) convert this relation to a linear relation by means of mathematical functions. in this respect and as per models submitted by Giner and Iniguez (2006) the valuation functions of the four models considered in this research are expressed as follows.
Model No Valuation function Where:
In order to test this assumption, the estimated values (V) are calculated on the basis of valuation models and coefficients assigned to each model and they are compared with real values (P) in
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