Specification of Models that Estimate Response Coefficients in the Market–Accounting Relation
Fuente:
Wiley Open Access
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Artículo Open Access |
| Publié: |
Wiley
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1867021580769427456 |
|---|---|
| author | Martien Lubberink Roger Willett |
| author_facet | Martien Lubberink Roger Willett Martien Lubberink Roger Willett |
| collection | Wiley Open Access |
| contents | Specification of Models that Estimate Response Coefficients in the Market–Accounting Relation Martien Lubberink Roger Willett Abacus We argue that log‐linear models based on a power‐law relation between market and accounting data, which use elasticities to measure response coefficients in regression models of the fundamental market–accounting relation, are well specified and provide precise, readily interpreted and valid estimates of the long‐run relation between market and accounting values. Using this approach, we show that financial statement data is sufficient, with little or no extra data, to explain fundamental firm market value. We illustrate the use of the measures of elasticity response coefficients by discussing the evidence for dividend irrelevancy, the relationship of the market‐to‐book ratio with growth and its uncertainty, and the existence of abandonment options. Our method of estimating parameters in the market–accounting relation facilitates replication. We use all active Compustat firms between 1971–2020, without deletion or special treatment of outliers, demonstrating the virtues of log‐linear models in capital market research. 10.1111/abac.70021 http://onlinelibrary.wiley.com/termsAndConditions#vor |
| doi_str_mv | 10.1111/abac.70021 |
| format | Artículo Open Access |
| id | wiley_oa_10_1111_abac_70021 |
| institution | Wiley Open Access |
| license_str_mv | http://onlinelibrary.wiley.com/termsAndConditions#vor |
| publishDate | 2025 |
| publisher | Wiley |
| record_format | wiley_oa |
| spellingShingle | Specification of Models that Estimate Response Coefficients in the Market–Accounting Relation Martien Lubberink Roger Willett Abacus Specification of Models that Estimate Response Coefficients in the Market–Accounting Relation Martien Lubberink Roger Willett Abacus We argue that log‐linear models based on a power‐law relation between market and accounting data, which use elasticities to measure response coefficients in regression models of the fundamental market–accounting relation, are well specified and provide precise, readily interpreted and valid estimates of the long‐run relation between market and accounting values. Using this approach, we show that financial statement data is sufficient, with little or no extra data, to explain fundamental firm market value. We illustrate the use of the measures of elasticity response coefficients by discussing the evidence for dividend irrelevancy, the relationship of the market‐to‐book ratio with growth and its uncertainty, and the existence of abandonment options. Our method of estimating parameters in the market–accounting relation facilitates replication. We use all active Compustat firms between 1971–2020, without deletion or special treatment of outliers, demonstrating the virtues of log‐linear models in capital market research. 10.1111/abac.70021 http://onlinelibrary.wiley.com/termsAndConditions#vor |
| title | Specification of Models that Estimate Response Coefficients in the Market–Accounting Relation |
| topic | Abacus |
| url | https://onlinelibrary.wiley.com/doi/10.1111/abac.70021 |