A Modified Ohlson (1995) Model and Its Applications
提出一个修正的Ohlson模型，纳入未来正净现值投资，同时估计线性信息动态参数和权益资本成本，发现该模型消除了系统性的股价低估，估值偏差中位数仅3.3%，且预期收益能单调排序未来实际股票收益。
In this paper, I explore a modified Ohlson (1995) model, which incorporates future positive net present value (NPV) investments. I first utilize an approach to simultaneously estimate the parameters in the linear information dynamic alongside the cost of equity capital, then evaluate the model’s performance in equity valuation and return prediction. Contrary to the systematic undervaluation of the Ohlson (1995) model reported in prior literature, I find that there is no systematic undervaluation of stock prices by using the modified Ohlson (1995) model. The out-of-sample median valuation bias estimated with this new approach is only 3.3% compared with 34.8% achieved when carrying out the estimation using existing methods. I also find that using a time-varying cost of equity capital reduces valuation bias and improves valuation accuracy. Furthermore, the expected return estimates developed from the model generate a monotonic decile ranking of future realized stock returns.