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and
∂yt
= −1
∂d t
(A2b)
∂xt
=0
∂d t
Though (A2b) does not follow from (A2a), (A2b) is
consistent with (A2a) in the sense that
∂yt −1 ∂yt
∂d t ∂xt
= + −
∂d t ∂d t
∂d t ∂d t
0 = −1 + 1 − 0
x ≡ xt − ( R f − 1) yt −1
a
t
earnings and book values in lieu of the sequence of
Using this d ≡ x − y +
a
expression
t t R f y t −d1t+1 ,dt-2 , … in the
tot
replace
PVED formula yelds the equation
(1)
∞ ~a
Pt = yt + ∑ R Et [ x t +τ ]
−τ
f
τ =1
~a
provide that Et [ x t +τ ]
→0
τ →∞ Rf
as
~ ~
(2b)
vτ +1 = + γvt + ε 2t +1
(3) yt = x + R f yt −1 − d t
a
t
~
(4)
Et [ x t +1 ] = ( R f − 1) yt + ωx + vt
a
t
(5) Pt = y t +α x + α 2 vt
t
1 a
where,
α1 = ω /( R f − ω ) ≥ 0
α 2 = R f /( R f − ω )( R f − γ ) > 0
Straightforward manipulations yield:
(6)
~ ~ ~ ~
( P t +1 + d t +1 ) / Pt = R f + (1 + α1 ) ε 1t +1 / Pt + α 2 ε 2t +1 / Pt
(7)
Pt = k (ϕxt − d t ) + (1 − k ) yt + α 2 vt
where
ϕ = R f /( R f − 1)
k = ( R f − 1)α1 = ( R f − 1)ω /( R f − ω )
To make the point we simply (w.l.o.g) by
putting vt=0. As the first special, let
ω = k = 1.
(8) Pt = ϕxt − d t
(9) x~ = R x −( R − 1)d + ε ~
t +1 f t f t 1t +1
(10)
Pt = yt
(11) ~ ~
x t +1 = ( R f − 1) yt + ε 1t +1
To make the point we simply (w.l.o.g) by
putting vt=0. As the first special, let
ω = k = 1.
(8) Pt = ϕxt − d t
(9) x~ = R x −( R − 1)d + ε ~
t +1 f t f t 1t +1
(10)
Pt = yt
(11) ~ ~
x t +1 = ( R f − 1) yt + ε 1t +1
Earnings, Book Values, and
Dividends in Equity Valuation
(OHLSON, 1995)
As is well-known, PVED and CSR imply the RIV model:
o introduce the RIV model, assume the following:
∞ ~
Pt = bt + ∑ R Et ( x t +τ )
−τ
~a ~
x t +1 ≡ ωxta + ε t +1
in which case
ω
Pt = (2),
The derivation that yields bt +given RIV xand
a
t (1), is of course
R −ω
elementary.
Earnings, Book Values, and
Dividends in Equity Valuation
(OHLSON, 1995)
The EBD model adds no significant analytical complications. It extends the
simple AR(1) dynamic by introducing information other than current residual
income. Such information influences forecasts of subsequent residual
incomes. A scalar variable v, represents "other information", and two
stochastic dynamic equations specify the evolution of :
~a ~
x t +1 ≡ ωxta + ε t +1
ω
Pt = bt + a
xt
R −ω