ValuationofLatin-AmericanstockpriceswithalternativeversionsoftheOhlsonmodel:Aninvestigationofcointegrationrelationshipswithtime-seriesandpanel-data MunichPersonalRePEcArchive Duran-Vazquez,RocioandLorenzo-Valdes,ArturoandRuiz-Porras,Antonio

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Munich Personal RePEc Archive

Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and

panel-data

Duran-Vazquez, Rocio and Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio

4 July 2011

Online at https://mpra.ub.uni-muenchen.de/32043/

MPRA Paper No. 32043, posted 06 Jul 2011 05:27 UTC

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Table 1. Latin-American firms grouped by economic sectors

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Table 2. ADF unit root tests for the firms´ variables (p-values)

- 2,3, - ---- - .-3, - ---- - 4543 - ----

- 663. - ---, - .7++ - ---- - ,22+ - ----

- 6-5- - ---- - 6572 - ---- - -+36 - --46

- 27.7 - --.4 - -+24 - ---- - ,2+4 - ----

- ,.,4 - ---- - 3-+7 - ---- - -744 - -,.,

- +.+2 - --,. - +-24 - ---- - -.,5 - --42

- 663+ - ---7 - 5364 - --23 - 67.3 - ---5

- 637+ - ---- - ---- - ---- - +--7 - -6+. *

$ % - 6473 - ---- - 6+3. - ---- - -57+ - ----

- .732 - --.7 - 2-.3 - ---- - +3-7 - --,-

- 6+,. - ---- , ---- - -+4. - 676- - -+3+

- 7264 - ---+ - 2722 - ---- - -775 - +-,- *

" - --,- - ,7,- - 64-5 - ---- - 47+, - 7+24 *

- 6462 - ---- - 6624 - ---- - 662- - 64,, *

- .5.4 - --7+ - 22,, - +,27 - 52,- - --++ *

- 54+2 - --37 - 2452 - ---- - 5-,5 - --.2

- 3323 - ---- - 5+., - ---+ - 53,6 - ----

! - 7+,, - ---- - -,-- - ,342 - -226 - ---+ *

! & ' ( - 5.,3 - ---, - 6764 - ---+ - -..7 - ----

) - 62+7 - ---. - 6666 - ---- - 653- - -,77

! - 65-6 - -35+ - 6635 - ---. - 524+ - --+7

* # ! - 456- - ---2 - -.44 - ---- - +4+6 - --.7

# ! - 5,67 - --,2 - 65-+ - ---. - 6+57 - --3.

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Table 3. Trace and maximum eigenvalue tests for the variables of the traditional Ohlson model (p-values)

,3 --4- - 4462 6 5.64 - 4363

+- ,,44 - 7,76 ,2 4473 - ,5+6

+5 6.57 - -2+3 < +. ++7, - -+3- <<

+- 36,4 - .5.2 ,- +673 - 4,22

++ +..6 - +534 ,, .56- - 2-53

.+ .357 - -+75 << ,5 4.46 - ,-74

,4 ,5-6 - 2+24 5 54-+ - 57+5

+7 -662 - ,62. ,5 7,25 - ,,3-

$ % .3 5.++ - --56 <<< ,6 7.5. - -575 <

+- .-,7 - 7-+2 ,2 .6-- - +-+6

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+6 6275 - -745 << ,4 +623 - ,353

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++ 556+ - +3,2 ,6 4,32 - -446 <

.+ 5,5- - -+,5 << ,6 3.34 - -5+. <

+, 532. - .-23 ,+ ,.3. - 3.77

+7 776+ - ,5+, ,4 7.3- - ,3+7

! .4 -33, - --2, <<< +- 5-7. - -333 <

! & ' ( .7 55,. - -,,6 << ++ 2526 - -.-- <<

) .5 376+ - --.5 <<< +2 ,563 - --56 <<<

! +7 55+- - ,234 ,3 2-23 - +754

* # ! .+ 3+35 - -+.4 << +. 22.4 - -+,3 <<

# ! +4 56-+ - -5,4 < ,2 .-54 - +-4.

$ = > ' 8 ' & : ?

% " ' 8 8 ,-: 3 , : #

#( ; ,, # : 5 % # # # " ( , # # / (# 5

2 5 / # # " # 8 5 " , %/ # 5 5 %

% , ( / , # / #% , # # " # #( 8 B : %(

%# " ( # # 5 % # , ( 5 , # # % # " ,

/ 8^E 4 " #"2 8 = #"2 % " %( 5 % 8 < % #

E C # . % # - 0 # # 3 6 # < % 3 +% - 0 # . / # 139 # " = "#" . #" # G.$

# % ( # # " ( , # # / # , ( 5 # % 8 = #( 8

(20)

5 # # / 5 : 5 " , %/ # #" # 9 % " %# ( 5 " (

# / 5 5 % ( 5 # 8

4 #,# # % " , # 0 5 / # / #% ,

% # #( " # # 9 % " 8 = % " , ( " :

" 0 # #"" # 0/ # # # #( 8 ) 6 ( 5 : %# # $ % " 5 # )#

$% # 5 % # " # # " %#0 % % , # # " # 8 < %/# / / :

%# # #% # # # %/ : , # # % 8 # # "

# , # # %%# " #( 8

(21)

(p-values)

.+ +,2. - 2--+ ,7 564. - 432.

7+ 277- - ,7,3 +7 ,46+ - ,+52

34 -6.+ - --37 <<< 77 7+74 - ---+ <<<

+2 765- - 54+3 ,- 4.,2 - 64,5

.5 2-24 - +42+ ,6 4642 - .33.

75 2776 - -7+, << +4 644, - -773 <<

7- 5226 - ,6.- ,5 .++6 - 7253

73 3455 - -5-2 < +3 -+3, - ,-+4

$ % 33 .,73 - --53 <<< +4 55+6 - -735 <<

33 7..2 - --5. <<< .+ +554 - -,,3 <<

.5 6.7, - +2+6 +, +,65 - +2.,

32 65-7 - --33 <<< +7 .765 - ,+.-

" 77 5--+ - -67+ < ,6 2746 - .22-

76 ,523 - -.4. << +- 4,-. - +67, 3. ,42, - -,72 << +4 24,, - -754 <<

7, .27, - ,44. +3 -4.+ - ,-,7

.6 36,2 - +.47 +. 32+6 - ,3-4

! 3+ 63+. - -,37 << +3 457, - -5.3 <

! & ' ( 33 -,76 - --6+ <<< +2 5-.5 - -2+4 <<

) 34 -47- - --37 <<< +2 .-46 - -4+, <

! 3, ,356 - -+.4 << +7 +75. - ,+2.

* # ! 76 .5-4 - -.34 << +6 4355 - -+36 <<

# ! 7. 4637 - ,,7. ,5 773+ - 7353

Table 4. Trace and maximum eigenvalue tests for the variables of the international Ohlson model

$ = > ' 8 ' & : ?

% " ' 8 8 ,-: 3 , : #

#( ,, # 5 5 % # # # " ( , # # / (# 5

# 8 B : #,# : " / # %( %# " ( # "

5 , ( 5 % 5 " / 8 ) 6 ( 5 : " #"2 %( " "

, ( 5 % 8 = #"2 % " , 5 % 8 5 " , %/ # # #

9 % " %# ( 5 " ( # / 5 5 % 8 G " " 5 :

# #( # # / 0 5 != 5 # # # % , ( # 0/ # # / 5 )#

$% # 5 % 8

(22)

4 %%# 5 " , ( " # , # 5 " " # % %# ( % " #

#" # 5 9 % " 8 '# # ,# " , #" # % " ,, #

# # 5 # 5 "# # # : 5 % " 5 : # % 8

,# " , # # % " # %( , 5 : 8 5 " ,

%# ,, # # # 9 % " %# ( ( # #" # " ( )#

$% # # / 8 - / " // " : # #(

# % 8

7, # - 3 . 0# /!. 0 #2 8% 2 - - 3 .2 ! 5 1 9 - ! .

- " , # : 5 # # / / 5 /# "# #8 B : " 55

5 /# "# #8 =/ 5 # : / / " ( G% ' # # # " = G'= -#""# # # "

4 < $ < # " ) ) # " . )). 8 / # # "

# # 8 < %# / / : " / " # # %/ 8

# %/ " 5 " " # 5 0 " 55 # , # " 5 # %#

#, " 55 % , = :# 5 #, " 55 8 # # #

%%# " #( E8

(23)

Table 5. Panel unit root tests for the firms´ variables (p-values)

! . .642 - 6664 - -3,5 - 3+-4 - .+++ - .4.4 3 ,.+5 , ----

% .. .24+ - 6,45 +- 55.5 - ,-72 6 -533 - 3+7- . .646 , ----

+ 3--7 - 66.5 - 7-+2 - .7.2 - +53- - .545 . 5667 , ----

! ,5 5++, - ---- 6 56++ - ---- 4 7,+6 - ---- ,7 .,.6 - ----

% .64 ,2+7 - ---- ,,2 --+4 - ---- 26 -525 - ---- +,+ -4+6 - ----

,6 +3-4 - ---- ,- 4574 - ---- 4 7,34 - ---- ,7 3-.4 - ----

! + 63,5 - 6657 - 3743 - 4-5- - .3.5 - .2,5 7 ,-56 , ----

% 35 .5-+ - ,-7, ., .65- - --76 ,7 +7-, - ,2+. ,+ 47+, - 67-,

+ -255 - 65-4 - 4544 - 4572 - +5,5 - .56, . ,.+5 - 666,

! +. ,+4+ - ---- ,3 -4++ - ---- 5 7+2+ - ---- ,3 54,. - ----

% 3-5 354- - ---- ,5+ 7+47 - ---- 55 573- - ---- +.4 .,72 - ----

+, ,444 - ---- ,3 +445 - ---- 3 .2,3 - ---- ,3 7754 - ----

! - ..62 - .24, , 2--6 - -374 - 4,.2 - +.44 , +62- - 6-+3

% 2+ +5+. - -33- +2 3234 - -+,6 ,3 3++3 - ,,7, +- ,67+ - 34-6

, 3+-+ - 6.35 , -.5- - 53-7 - 775, - .+4, , 5.++ - 6223

! ,. 22++ - ---- 2 ,+54 - ---- 2 5.77 - ---- ,- +65. - ----

% +6, 225- - ---- 4, ,44+ - ---- 2. 3374 - ---- ,32 6.2, - ----

7 ++-2 - ---- - 5-7, - 456. 3 ---7 - ---- . 727, - ---.

$ 8 % 8 % 0 /: ' 0 / " 0 ;/

% 88

#( E : # # /# "# # # #( # " 55 # # (# 5 # # : 5

8 5 " , ,, # # /# # , # " 5 " # " # # )#

$% # 5 % # , ( 5 , # # % 8 " : 5 % #

" " # # : : # , / " % 8 B : # ,,

# %% # 5 % % , ( 0 / 8 $ " , < $ < # " )). #

/ # , # " ( 6 # # #( % , ( G 8 / 5 0 / :

(24)

" / # 5 % # 5 , # 5 /# "# # %# (

#" # 5 % / / 8

4 5 , # /# "# # : %( " / / " ( -#""# # # " 4 DDD 8 ! "

: # / ,# " , , # " #% # %/ " 5

" " # # , # # % 8 5 / # , # 8

" # # % , # # /8 " # # % : , #

# / 8 = # # " : # # " %#0 % % , # # 8

# # " # #( " " #" # # " # # 9 % " # %%# "

#( K # " @ / 8

$ ,,- 4,2, - ---- .5 3-5+ - ---7 .+ -267 - ---7 7- ,.53 - -,-7

, 2, .636 - -27- +. -665 - -354 ,6 .623 - -.33 ,5 5663 - 23,3

+ 2- 32-. - -4.3 +- 42-- - ,-46 ,5 -2-3 - -37- +, 4.65 - 7433

$ 55 3--- - ---+ +4 6.37 - -,73 +, 2+43 - -,4, .5 6.4, - -,7.

, 37 -,.+ - ,676 +- +647 - ,+,- ,3 5-23 - ,-3. ,4 6-6+ - 4,,7

+ 2- 32-. - -4.3 +- 42-- - ,-46 ,5 -2-3 - -37- +, 4.65 - 7433

$ = > ' 8 '

Table 6. Trace and maximum eigenvalue tests for the variables of the traditional Ohlson model (Fischer/Johansen combined tests for cointegration in panel data)

(25)

Table 7. Trace and maximum eigenvalue tests for the variables of the international Ohlson model

$ ,.4 5353 - ---- 7+ 5.3, - ---, .4 -4+7 - ---, 34 63-6 - ----

, 24 4.24 - -+-, +2 57,7 - -+-+ ,4 ,.34 - -4,7 +. 4362 - .2--

+ 7+ 4463 - 2-46 ,2 35-. - +46+ ,, ,37+ - .732 ,3 -73, - 52-.

$ ,-2 +32- - ---- +. 2456 - -3-, +4 4++. - --+- 37 5375 - ---,

, 34 ..45 - ,++- +, ,,26 - -654 ,7 ,.46 - ,225 ++ -5., - 7376

+ .7 .225 - 5622 ,7 4-.. - .654 4 7,,, - 252+ ,+ +3+3 - 63,6

$ = > ' 8 '

(Fischer/Johansen combined tests for cointegration in panel data)

< I # ,, # # # # , # # / #% ,

# #( # # " L= #( K # " @M8 " : 5 % # " " # # :

: # , / " % 8 5 " , %/ # # #( # %%

# " # " , ( % # 8 %# " # / %# ( / 8

'# # #( K : # # #( 5 #" # 9 % " # , # "8 #( @

5 % ( # : # #% : : # #( 8

// # # # 5 # # % " 8

/ # # ,, # #" # 9 % " %# # # / 5 #

8 =/ 5 # 5 #( @ ,, # %# 5 # %# # % "

# #( ( # 8 % 5 # #( 6 : # 5

%# / / L1 2# # ; M8 3 %# 5 # #( # " %# ( ( # " # " 8

$"" # # # # " # "# " %# ( %# " # "# , #

/ , / " 8 " # %#6 5 # # 9 % "

, ( # 8 #( A %%# %# # # " % " 8

(26)

(Estimations with fixed-effects regressions for panel data)

637 7632 .5, ,5-7 << ,+ 5.76 - 63,7 <<< - 755- - -76. <<< - -55+ - -.2. <<

,452 4,2+ 6+6 ,-+7 < 4 675, + -3.6 <<< - 3-7+ - -567 <<< - ,4+6 - -557 <

++ -5-+ 7 4.2- <<< - 75+- - ,7-7 <<< - .-34 - -34, <<< - --+6 - ---3 <<<

724 2+-- ..+ 5..6 + 3657 - 665. , 5+.2 - -23. - -.33 - -.,2

Table 8. Cointegration relationships on the basis of the international Ohlson model

α αα

α αααα_! αααα_" αααα_#

$ = % &% 0 @ +/ & : ? % " ' 8 8 ,-: 3

, : #

#( A : %# 5 , # # / 5 /# "# # # # "

# # 9 % " 8 G % 5 , %# " /# #% 5 #" # 9

% " # , 5 # # " # / # " , 8 < % 55 5 :

# #( # , 5 # # " / 8 4 " / # " : 5 % #

" " # # : 8 B : : 5 % # , / " % # "

5 %% # # " 8 G " " # % ,, # 5 9 % "

%# ( 5 5 0/ # 6 / 5 5 " # " ( #, 5 % 8

4 %%# 5 " , ( " # , # %# " : /# "# # , #

// # 5 9 % " 8 '# # // #" # 5 # # 8

G " " %# 5 , # # / ,, # , )# $% #

# / # %/ % # != 8 4 : # #%

)# $% # # / 8 < % # 5 # # : 5 " , ,, # % " 55 %# 0

" 5 5 # # / 5 , != # " )# $% # # 8 < % 5 % # /# "# #

%# ( # 5 % # % 8

(27)

:, -#!/ 0 -

B : # : # % ,# ,# " , " % # 5 6 / 0

)# $% # % , , %# 6 $ , # 7 # . . %( # - 0 # " ' 8 4 # "

#" # 9 % " # " # # # 5 8 # # % " " :

" 0 # # #"" # 0/ # # # #( " # %/ # )# $% # # /

" / " != %# 6 8 4 # " % # " /# "# # , # % " , #

, # / ( : # #( 5 ( % " 8 4 # " # "# # 5

/ " ;8

% " : # 5 " " # % %# ( % " #

#" # 5 9 % " 8 '# # ,# " , #" # % " ,, #

# # 5 # 5 "# # # : 5 % " 5 : # % 8

,# " , # # % " # %( , 5 : 8 5 " ,

%# ,, # # # 9 % " % , ( ( # #" # " (

)# $% # # / 8 - % " / " % // " :

# #( # % 8

5 % # 5 /# "# # %# ( # 5 # % 5 , #

# / 8 G " " # # // #" # 5 9 % " # " / # 5

# # 8 %# " /# #% 5 # # " #" # 9 # #( # , 5 #

# " # / # " , # # / 5 # 5 % " 8 < % 5

: # #( # , 5 # # " / 8 " : 5 % # " " # #

: # " 5 %% # # " 5 % 8 < % , # # ,,

# , )# $% # # / # %/ % # != 8

(28)

/ %/ # : # " % %/ # 5 # # 5 # # %# 6

% , , 8 G # # 5 # # # / 0 #% , 5 # # %# 6 5 , (#

% 8 '# # " 0/ " # 5 # / 0 5 " % #

5 )# $% # # / 8 < % // # #

5 # # % " 6 9 : 8 < # # %# 6 # # # 6 # "

# # % " " #6 # # # # / # " " 8 4 ( # 5

# %# ( " / " # , " # 8

4 " ( " # , # %/ # 5 5 # # # / ( : != 5 # #

%# 6 # " )# $% # % , , " ( " % "8 G " " 5 " ,

# 5 % 5 # / ( # : # % " 55 %# 0 " 5 #

#% , %# 6 8 = 5 " , ,, # 5 # # # " % # 5

# / % , , %# 6 %# ( # 8 '# # : ( # 5

" /% 9 % " " %/ # # #% , # # %# 6 8

4 / # " %# ( " " # 5 / " 8

(29)

$ % '8 8 # D N355 5 %# % # #( 6 / -# # # $ #// # 5

% " O - ! 5 - - ' # 3'3. $

. C8 8 # " =8 DAK N3 % 5 # " 6 %# 6 O

ED ; ;A; ;

. 848 38)8 -# " : # " G8=8 4 DD@ N. # , # # 5 # , # " ( 6

# /# 5 # O ;D K@

. 8 48 -8 ' # " B8 V DDD 8 N3 # # # " ,# # , 5 ( 6

# 5 O ! " # @ D K

: '8-8 $8'8 B # " 818 = # DDD N$ %/ # # % 5 " # G %

# # % " O K ;

8 $8 ) # "& # " B8 # # B # @ N # # 5 9

% " : - 0 # "# #O $ % & ; ;; E

< # 6 8 # " .8-8.8 ) DDA N$ , # # %# 6 0/ # # " # 6

O E ; A; ; D 2

< 6 X8 N- " 5# ( 5 , :# " # "# # # / #( 9 - " O $ #%#

$ #%# 1# 6 ! = # = # C : 6 '' ( ) * +

1 2# # 8C ; < " ! " = # C : X 6 - 1 #: B

B# .8 8 DDE N 6 0/ 5 % , , %# 6 O ! ( ) !

,- " D D E

(30)

B2# %# 38 # " '8 W % @ N , 5 , # , # % " , :

# #( # # , # "O 4# , G # # - # < " 4 B % /

. ( ) ( / /010

B "# '8 # " <8 '# 6 @ N! " # " , # / $ :O 7# 7# 6 5 G # #

= % - # # " 3 % /# % ' +1

P "#"#" 8 # " -8 8 3%#% D N! , /# "# # # # % " 9 DDE % "

/ " , #( %# # , O K D

P: .8=8 # " 8=8 = DDD N. , # # " # # ( : %# % # #( # "

6 %# 6 O 2 - . @ A

) P8 # " 8 ) N 9 % " . ( # # % # # " %/ #

#// # O 3 . E ; ;;@ ;K@

) / $878 N # # 5 7 # # # , %( $ %/ # ,# O =#

'# ! 5 =# '# = # = # C : 6 '' ( ) +0014

) # "& $8 # " 8 N9 % " ( /# , # : - 0 #

"# #O $ % & ; ;

-#""# # 18 =8 # " =8 4 DDD N$ %/# # " 5 : /# "# # # " # : %/

O ,5 ' K =/ # K; YKE

-# #% 8.8 )8.8 B : # " -8$8 B#% # N # / ( : %# % # #( # "

6 %# 6 " . , # " 5 % 6 0 # , 5 = ,#/ U $ =

" O @ @@

- . # -8=8 # " B8 C N 0/ # # # " / " / : 5 " 55 / 5 # 5

9 DDE # # % " O " # ; E ;

- " . / .8 # " '8 8 7# ( # ) # N9 % " #( 3%/ #

5 " , O 6 " # ;K E

(31)

9 8 $8 DDE N3# , ( 6 # # " " " " # # O %

! KK KA@

9 # P8 8 N$ 5 9 % " 3%/ # " 5 % #/# O8

;@ E@ A 8

= 4P8 ! % . 7 . ! " = # C :

= # ! 5 C : '

# # B8 K 3 ! = " ! " = #

C : X 6 484 C