Authors: Rocio Durán-Vazquez; Arturo Lorenzo-Valdés; Antonio Ruíz-Porras
Addresses: Economics and Business Department, Universidad Iberoamericana Puebla, Blvd. Del Niño Poblano 2901, Unidad Territorial Atlixcayotl, 72810, Cholula, Puebla, Mexico ' School of Science, Universidad de las Américas Puebla, Santa Catarina Mártir, 72820, Cholula, Puebla, Mexico ' Department of Quantitative Methods, Universidad de Guadalajara CUCEA, Periférico Norte 799, Núcleo Universitario Los Belenes, 45100, Zapopan, Jalisco, Mexico
Abstract: The aim of this study is to analyse the Ohlson model and an extension of it, the Ohlson-beta model, for stock prices listed in the Mexican Stock Exchange (BMV). It is added the beta coefficient to the traditional Ohlson model. The econometric analysis was done using time series and panel-data cointegration methodologies. It was found that the analysis under panel-data techniques is better for the Mexican data. The results show the correct signs in the variables (for both models) but the beta is only statistically significant in the stock prices of firms with short operating cycles.
Keywords: Ohlson model; short cycles; long cycles; cointegration; Mexico; Ohlson-beta model; stock prices; stock markets; econometrics.
International Journal of Economics and Accounting, 2016 Vol.7 No.4, pp.309 - 325
Received: 09 Jan 2016
Accepted: 20 May 2016
Published online: 21 Mar 2017 *