MODEL OHLSON (1995) DAN PREDIKSI
RETURN
Dewa Gede Wirama
(Universitas Udayana)
ABSTRACT
This research reexamines the
ability of Ohlson (1995) valuation model in predicting stock return. Empirical
specifications of the model in previous researches violate the model
assumptions regarding the nature of model’s parameters, discount factor, and
the clean surplus relation. Those violations undermine the validity of the researches’
conclusions regarding the model.
Two portfolios are formed based
on the ratio between stock values as calculated
by Ohlson Model and market prices, both in relative
and absolute terms. In relative term, stocks with relatively high ratio are considered
to be undervalued and therefore command a higher return, and vice versa. In
absolute term, a stock is considered to be undervalued if the ratio is greater
than one.
Return prediction is based on a
buy-and-hold strategy for one to eight years investment periods. Using a sample
of 96 companies listed in the Indonesian Stock Exchange, providing a total of
768 firm-year observations, it is found the Ohlson Model can predict return
only in relative term but not in absolute term. Consequently, an investor who
wishes to utilize the model in forming stock portfolio must calculated the
value of each company listed in the stock market, and buy those stocks that are
relatively undervalued compared to the overall market valuation.
Key words: Ohlson valuation model, stock portfolio, return.
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