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Analysing the market–book value relation in large Australian and US firms: implications for fundamental analysis and the market–book ratio

Citation

Clout, V and Willet, R, Analysing the market-book value relation in large Australian and US firms: implications for fundamental analysis and the market-book ratio, Accounting and Finance, 56, (4) pp. 1017-1040. ISSN 1467-629X (2016) [Refereed Article]

Copyright Statement

Copyright 2015 AFAANZ

DOI: doi:10.1111/acfi.12117

Abstract

This study compares the market–book relation of Australian and US firms using firm-level dynamic analysis of using annual data for a long-run period in error correction modelling. This paper contributes to a recent call for alternative ways of estimating Ohlson-type linear valuation models (Ohlson and Kim, 2015). Log transformations of the data are used in this study to improve the statistical properties of the models. This study contributes to the findings on linear valuation model estimation for long-run firms. Based on the returns model estimation, we find evidence of a higher level of co-integration between market and book values for Australian firms.

Item Details

Item Type:Refereed Article
Keywords:Value relevance;Co-integration;Market-to-book ratio;Error correction models
Research Division:Commerce, Management, Tourism and Services
Research Group:Accounting, Auditing and Accountability
Research Field:International Accounting
Objective Division:Economic Framework
Objective Group:Microeconomics
Objective Field:Market-Based Mechanisms
UTAS Author:Willet, R (Professor Roger Willett)
ID Code:100584
Year Published:2016 (online first 2015)
Web of Science® Times Cited:3
Deposited By:TSBE
Deposited On:2015-05-20
Last Modified:2018-03-07
Downloads:0

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