Corporate Life Cycle, Industry and Ohlson Model－A Panel Smooth Transition Regression Approach
博士 === 逢甲大學 === 商學研究所 === 98 === This study investigates the relationship between stock returns and accounting variables across life-cycle stages in panel firms on the S&P500 during 1991-2008. Using accounting valuation model proposed by Ohlson (1995), we examine firm valuation attributable to t...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/64376696100766942632 |
| Summary: | 博士 === 逢甲大學 === 商學研究所 === 98 === This study investigates the relationship between stock returns and accounting variables across life-cycle stages in panel firms on the S&P500 during 1991-2008. Using accounting valuation model proposed by Ohlson (1995), we examine firm valuation attributable to the effects of all different life-cycle stages. This study applies a panel smooth transition regression (PSTR) model proxy to capture firm-specific life cycle that is derived from accounting information. The combination of the generalized life cycle framework put forth in this study and the development of the accounting-based life cycle proxy provides the means by which to evaluate or to predict a firm’s equity value conditional on its firm-specific life cycle stage. The results show that accounting variables affect the relationship between life-cycle stage and firm valuation. The model is useful for describing heterogeneous panels, with regression coefficients that vary across individuals and over time. The results of this study support the nonlinearity of the link between stock returns and accounting variables. The new model is applied to describe firm’s economic attributes behaviors in the presence of capital market imperfections.
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