Ohlson-beta model for firms with short or long cycles: the case of Mexico Online publication date: Tue, 21-Mar-2017
by Rocio Durán-Vazquez; Arturo Lorenzo-Valdés; Antonio Ruíz-Porras
International Journal of Economics and Accounting (IJEA), Vol. 7, No. 4, 2016
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.
Online publication date: Tue, 21-Mar-2017
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