|
Archive@NYU >
Stern School of Business >
Accounting Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27481
|
| Title: | Valuation, Linear Information Dynamic, and Stochastic Discount Rates |
| Authors: | Gode, Dan
Ohlson, James |
| Issue Date: | 22-Mar-2000 |
| Series/Report no.: | Dhananjay (Dan) K. Gode-04 |
| Abstract: | We generalize Ohlson (1995) to stochastic interest rates. Our analysis
provides four insights. First, the earnings capitalization multiple
depends on the lagged rate, not the current rate. Second, the abnormal
earnings persistence parameter increases in the current rate and
decreases in the lagged rate. Third, it is not necessary to specify the
stochastic process underlying interest rates to relate stock prices and
accounting numbers. Finally, only the lagged rate is needed to
capitalize current earnings to determine current stock price, while both
the lagged and current rates are needed to forecast next-period earnings
based on current earnings |
| URI: | http://hdl.handle.net/2451/27481 |
| Appears in Collections: | Accounting Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
