Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data

Rocio Duran-Vazquez, Arturo Lorenzo-Valdes and Antonio Ruiz-Porras

MPRA Paper from University Library of Munich, Germany

Abstract: We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly data for the period 2000:01-2010:03. The results suggest that panel-data techniques may be better than time-series ones for the assessments. They support the use of the Ohlson models and, specially, the international one. The variables are significant and have the postulated signs. These results hold when the firms are considered as a whole and for the commercial and construction firms. Furthermore, the results also suggest that the Latin American asset prices are complementary to the US ones in the long run.

Keywords: Ohlson Model; Latin America; Cointegration (search for similar items in EconPapers)
JEL-codes: C32 C33 G12 M40 (search for similar items in EconPapers)
Date: 2011-07-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:32043

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