Year of Graduation
Analysis of Market Value and Abnormal Earnings in the Case of Russian Market
The study suggests empirical research of the Ohlson model (1995), which is combination of residual income model (RIM) and linear information model (LIM). Ohlson model is accounting-based model, which relating market value of company with accounting information (equity book value, earnings), and information not included in financial report but affecting on company’s market valuation. The research is based on the companies, which were ever listed on Moscow Exchange from 2001 to 2017 and panel data approach were implemented. The problem of “scale effect” were considered. We used as a deflator number of ordinary shares to eliminate it and compare it with non-deflating models. The proxy of “other information” were calculated with accordance to Akbar and Stark method (2003). We find that using deflator is not an option to mitigate “scale effect” in the Ohlson model. Adding of proxy of “other information” improves model without deflator. Non-deflated model with proxy “other information” has positive sign in proxy “other information” with significant abnormal earnings, net assets. The consequent research goals were discussed. Possible topics about Ohlson model related studies could include problems about identification of proxy of “other information”, considering industry structure as an independent object of study, using specific proxy “other information” and compare them by explanatory power or predictionary power.