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估价模型的实证检验 Equity Valuation With Forecast Earnings
-A UK Test of the Ohlson (1995) Model

TABLE OF CONTENTS
CHAPTER 1 INTRODUCTION.................................................................................. 1
CHAPTER 2 LITERATURE REVIEW........................................................................ 7
CHAPTER 3 MODEL DEVELOPMENT .................................................................. 16
3.1 Model development .............................................................................................16
3.1.2 The Linear Information Models .......................................................................................20
3.2 Hypothesis Testing ....................................................................................................................23
3.3 Model Specifications .................................................................................................................26
CHAPTER 4 RESEARCH DESIGN AND DATA...................................................... 29
4.1 Procedures for Empirical Implementation...............................................................................29
4.2 Data and Sample Description ...................................................................................................33
4.2.2 Estimating cost of capital.................................................................................................35
4.2.3 Earning Forecasts...........................................................................................36
CHAPTER 5 EMPIRICAL RESULTS ...................................................................... 40
5.1 Autoregressive Properties of the (Ohlson) model’s variables...................................................40
5.1.1 Autoregressive properties of abnormal earnings...........................................................40
5.1.2 The optimal lag structure.................................................................................................44
5.1.3 Autoregressive Properties of the “other information” ....................................................46
5.2 Prediction of next period abnormal earnings...........................................................................49
5. 3 Explanation of contemporaneous stock prices ........................................................................52
5.4 Prediction of future stock returns.............................................................................................57
CHAPTER 6 SUMMARY AND CONCLUSION........................................................ 60
APPENDIX...................................................................................................... 62
SectionA.......................................................................................................62
SectionB.................................................................................................64
Section C Matlab Codes ...............................................................................................65
Bibliography ..................69
 

 Executive Summary
Over the past two decades, considerable attention has been paid to the relationship between Accounting numbers and firm value. As one of the most important accounting-based equity valuation model dev本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。