Effectiveness of corporate finance valuation methods: Piotroski score in an Ohlson model: the case of Mexico

Durán-Vázquez, Rocío; Lorenzo-Valdes, Arturo; Castillo-Ramírez, Claudia Estrella

doi:10.1016/j.jefas.2014.04.003

Cited by 9 publications

(12 citation statements)

References 19 publications

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“…Faz-se necessário destacar que a variável PL apresentou relação negativa com o valor de mercado das empresas financeiras e que tal achado diverge dos resultados encontrados na literatura financeira (CARVALHO et al, 2013;CARVALHO et al, 2014;RAMIREZ, 2014). Este efeito pode ser creditado ao baixo número de observações disponíveis ou a alguma especificidade do setor relacionada à política de gestão do PL e/ou dos dividendos.…”

Section: Análise Setorialunclassified

“…Entretanto, da mesma forma que ocorreu com o MO não acrescido, os achados referente à variável PL divergiram dos resultados da literatura (CARVALHO et al, 2013;CARVALHO et al, 2014;RAMIREZ, 2014) ao demonstrar influência negativa sobre o valor de mercado (VM).…”

Section: Análise Geralunclassified

“…Neste caso, o determinante do sucesso de um agente financeiro baseia-se na capacidade de prever o desempenho futuro de uma companhia, aliada a incapacidade do mercado em reconhecer esses padrões (VÁZQUEZ; VALDÉS; RAMIREZ, 2014).…”

Section: Introductionunclassified

“…Dentre estes os estudos realizados à luz do Modelo de Ohlson (MO) no mercado brasileiro destacam-se as pesquisas de Cupertino e Lustosa (2006), Lopes, Sant'Anna e Costa (2007), Cioffi e Famá (2010), Shuch (2013), Carvalho et al (2013) e Carvalho et al (2014). Já no mercado internacional, destacam-se os trabalhos de Lo e Lys (2000), Semper e Beltrán (2007), Valdés e Vázquez (2010) e Vázquez, Valdés e Ramirez (2014).…”

Section: Introductionunclassified

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The Impact of Macroeconomic and Risk Factors on the Measurement of the Value of Companies

Paredes

Oliveira

2017

RUC

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RESUMOA avaliação de empresas apresenta-se como um tema relevante tanto para a literatura quanto para o mercado financeiro, uma vez que os agentes econômicos possuem interesse em precificar estes ativos. O presente estudo buscou avaliar o impacto dos indicadores PIB per capita, Inflação, Taxa de Juros, Taxa de Câmbio e Risco dentro do processo de valuation das empresas brasileiras listadas nos segmentos estudados, de 1995 e 2013, por meio do Modelo de Ohlson (MO) (1995). A amostra foi composta pelos segmentos Petróleo e Gás, Siderurgia, Construção, Energia Elétrica e Financeiro da Bovespa. Esta pesquisa realizou duas análises, a primeira testou a aplicação do MO em cada setor econômico estudado e a segunda realizou uma diagnóstico geral de todos os segmentos -em ambos os casos foram testados o MO acrescido e não acrescido pelas variáveis de pesquisa. A principal contribuição deste trabalho está no uso das variáveis Risco processo de valuation.

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Section: Análise Setorialunclassified

Section: Análise Geralunclassified

Section: Introductionunclassified

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The Impact of Macroeconomic and Risk Factors on the Measurement of the Value of Companies

Paredes

Oliveira

2017

RUC

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“…Several recent studies have shown that a combination of effects could be used to construct a stock selection model with a high rate of return (RoR) (Piotroski 2000;Hart et al 2003Hart et al , 2005Mohanram 2005;Qian et al 2007;Roko and Gilli 2008;Yeh and Hsu 2011;Shen et al 2015;Yu et al 2014;Yeh et al 2015; Rasekhschaffe and Jones 2019; Dai and Zhou 2019;Wu et al 2020;Gu et al 2020). Many studies also adopted a weightedscoring approach to construct a multifactor stock selection model (Piotroski 2000;Kang and Ding 2006;Duran-Vazquez, et al 2014;Kim and Lee 2014;Tikkanen and Äijö 2018;Jeong and Kim 2019;Mehta, et al 2019). For example, Hart et al (2003) studied the profitability of various stock selection strategies in 32 emerging markets from 1985 to 1999.…”

Section: Introductionmentioning

confidence: 99%

Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach

Yeh

Liu

2020

Financ Innov

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Certain literature that constructs a multifactor stock selection model adopted a weighted-scoring approach despite its three shortcomings. First, it cannot effectively identify the connection between the weights of stock-picking concepts and portfolio performances. Second, it cannot provide stock-picking concepts’ optimal combination of weights. Third, it cannot meet various investor preferences. Thus, this study employs a mixture experimental design to determine the weights of stock-picking concepts, collect portfolio performance data, and construct performance prediction models based on the weights of stock-picking concepts. Furthermore, these performance prediction models and optimization techniques are employed to discover stock-picking concepts’ optimal combination of weights that meet investor preferences. The samples consist of stocks listed on the Taiwan stock market. The modeling and testing periods were 1997–2008 and 2009–2015, respectively. Empirical evidence showed (1) that our methodology is robust in predicting performance accurately, (2) that it can identify significant interactions between stock-picking concepts’ weights, and (3) that which their optimal combination should be. This combination of weights can form stock portfolios with the best performances that can meet investor preferences. Thus, our methodology can fill the three drawbacks of the classical weighted-scoring approach.

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The Impact of Corporate Governance on the Cost of Equity for Russian Companies in the Ohlson Model

Khassanov¹

2021

КФ

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The purpose of this paper is to identify key indicators of corporate governance that affect the market value of Russian companies. To this end, we examine the possibility of modifying the Ohlson model of evaluating stock price dynamics in public companies, by adding corporate governance variables that may affect market value. The study consists of the following stages: the key points of the Ohlson economic model are described, empirical works that demonstrate corporate governance as a factor in assessing the value of companies are presented, and the significance of the modified Ohlson model for the Russian market is evaluated. The novelty of our methodology is represented in the prioritisation of our “other information” parameter, which is a combination of forecast analytical data and corporate governance indicators. Through analysis of panel data, we estimate differences in the predicted net profit indicator, calculated as the average of analyst forecasts for an individual company for a financial year, and the actual net profit. Corporate governance is represented by the percentage of board members holding professional certificates and licenses, the average term of board of directors members, the share of independent members on the board of directors, the share of independent members in the audit committee, the proportion of women on the board of directors, and the size of the board of directors. Our results indicate dependence of share prices on the dynamics of the book value of equity, abnormal profits, the share of board members holding professional qualifications, the difference between the actual net profit and the forecast net profit of companies, and the level of gender diversification in the board of directors. The results of our analysis of deviations in average stock prices are comparable to the findings of existing literature examining the markets of Europe, Latin America and Africa.

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Effectiveness of corporate finance valuation methods: Piotroski score in an Ohlson model: the case of Mexico

Cited by 9 publications

References 19 publications

The Impact of Macroeconomic and Risk Factors on the Measurement of the Value of Companies

The Impact of Macroeconomic and Risk Factors on the Measurement of the Value of Companies

Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach

The Impact of Corporate Governance on the Cost of Equity for Russian Companies in the Ohlson Model

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