Ohlson 모형의 LID가정의 타당성에 대한 검토 = On the Validity of LID Assumption in Ohlson Model

다국어 초록 (Multilingual Abstract)

The objective of this study is to empirically examine the validity of LID assumption in two steps. First, we examine that LID assumption is the most valid one, by comparing the forecast errors among LID residual income model, EOB residual income model and Reg residual income model, which are based on the dividend discount model. Second, we examine the consistency of the real data with the implications of LID assumption. In addition, we want to suggest some directions toward more appropriate firm valuation. The sampling of this study was surveyed on the basis of the US firms of the period from 1997 to 2003, and the financial data were figured out from COMPUSTAT. The data of the stock prices and the earning forecasts were collected from IBES. Our main empirical results are as follows: First, Table 4 and 5 show that the signed percentage error and the absolute percentage error of EOB, whose medians are -0.44 and 0.46 respectively, are the least among the residual models. In other words, EOB residual income model is the most powerful in explaining the actual market value of stocks among the considered valuation models. This implies that LID assumption of LID model is less valid than the assumption of EOB model. Second, in Table 7, the magnitude of persistent coefficient of residual income turned out to be unrelated to the effect of persistent coefficient on firm values contrary to the logics of LID residual income model which assumes the positive linear relation between the magnitude of persistent coefficient and the effect of persistent coefficient on firm values. 5 portfolios out of 10 portfolios showed that the theoretical persistent coefficient is significantly different from the actual persistent coefficient estimated from Reg residual income model. The persistent coefficient of 3,219 samples out of 5,939 samples are out of the theoretical bounds of Ohlson model which are between 0 and 1. These results mean that LID assumption is not proper to the valuation of the firms. Third, Table 10 shows that firm value forecast errors drastically decrease by the cost of capital in case of EOB residual income model in comparison with LID residual income model. Finally, Table 11 shows that the absolute percentage errors become much lower depending on the kind of industry as a result of reflecting industrial cost of capital minimizing absolute percentage errors.

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