Evidências empíricas do modelo de Ohlson (1995) para o Brasil

Abstract

This study aims at empirically testing whether the equity valuation model as proposed by Ohlson in 1995 fits the data from the major Brazilian companies listed on Sao Paulo Stock

Exchange (Bovespa), in the period 2002-2005. It has been highlighted that the empirical application of all the premises of this model is still relatively rare and controvert for emerging

markets. Ohlson’s (1995) price and return functions have been tested, each with different specifications, according to the results obtained for the persistence parameters of both the abnormal earnings and the “other information” variable. Thus, the present study has adopted two methodologies to empirically estimate the functions mentioned above, which

fundamentally diverge as to the data treatment applied, given the limitations inherent to the size of the sample used. The first methodology strictly developed according to the theoretical assumptions of Ohlson (1995) was testing the model through a cross section cut-off analysis for a 53-stock panel