The efficiency of analysts' forecasts and the Ohlson model in investment strategies.

Research Project

Project/Area Number	12630154
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Single-year Grants
Section	一般
Research Field	Accounting
Research Institution	Nagoya City University
Principal Investigator	OKUMURA Masashi Nagoya City University, Economics, Assistant Professor, 経済学部, 助教授 (30247241)
Co-Investigator(Kenkyū-buntansha)	YOSHIDA Kazuo Nagoya City University, Economics, Assistant Professor, 経済学部, 助教授 (30240279)
Project Period (FY)	2000 – 2001
Project Status	Completed (Fiscal Year 2001)
Budget Amount *help	¥1,700,000 (Direct Cost: ¥1,700,000) Fiscal Year 2001: ¥700,000 (Direct Cost: ¥700,000) Fiscal Year 2000: ¥1,000,000 (Direct Cost: ¥1,000,000)
Keywords	Ohlson model / EBO model / analysts' forecasts / earnings forecasts / firm value / residual income / investment strategy / E・BOモデル / アノマリー / 情報効率性 / 連結会計
Research Abstract	By analyzing the Japanese firm data, we investigated the theoretical measures that were firm values calculated by inputting the accounting figures into the Ohlson model. First, in the viewpoint of difference of posited assumptions, extant empirical models based on the Ohlson model were surveyed, and we presented a new empirical model incorporating 'the residual income dynamics' additionally. Next, we calculated several theoretical measures of every sample firm by using surveyed empirical models, and examined. (1) Value relevance analysis and (2) Investment performance analysis about those measures. (1) We examined the correlation between the theoretical values and stock prices. Book value of net assets was relatively higher correlation than the theoretical measures in both cases of consolidated accounting data and parent-only accounting data, that was different from the result by Frankel and Lee (1998 and 1999, henceforth FL). The theoretical measures using analysts' earnings forecasts had higher value relevance than those using actual earnings, and we found incorporating 'the residual income dynamics' into the Ohlson model improved the value relevance. (2) The ability of the theoretical measure to predict future stock returns was analyzed. Our result showed that the ability of the theoretical measures was worse than Book to Market ratio for overall period. This result was not the same as FL, and we found only the result for the 1994-1995 sub-period was consistent with FL. Our sample periods included the bubble and post-bubble period, therefore we thought the results may be strongly effected by economic conditions.