Evid??ncias emp??ricas do modelo de Ohlson (1995) para o Brasil

A proposta deste estudo ?? testar empiricamente se o modelo de avalia????o da firma proposto por Ohlson, em 1995, produz estimativas adequadas para os dados das principais empresas brasileiras listadas na Bolsa de Valores de S??o Paulo (Bovespa) no per??odo de 2002 a 2005. Destaca-se que a aplica????o emp??rica de todas as premissas desse modelo ainda ?? relativamente escassa e controversa para mercados emergentes. Foram testadas as fun????es de pre??o e retorno de Ohlson (1995), cada qual com diferentes especifica????es, de acordo com os resultados obtidos para os par??metros de persist??ncia do resultado anormal e da vari??vel "outra informa????o". Dessa forma, o presente estudo adotou duas metodologias para estimar empiricamente as fun????es descritas, as quais divergem fundamentalmente quanto ao tratamento de dados aplicado, dadas ??s limita????es inerentes ao tamanho da amostra utilizada. A primeira metodologia desenvolvida estritamente conforme os pressupostos te??ricos de Ohlson (1995) consistiu em testar o modelo atrav??s de uThis study aims at empirically testing whether the equity valuation model as proposed by Ohlson in 1995 fits the data from the major Brazilian companies listed on Sao Paulo Stock Exchange (Bovespa), in the period 2002-2005. It has been highlighted that the empirical application of all the premises of this model is still relatively rare and controvert for emerging markets. Ohlson???s (1995) price and return functions have been tested, each with different specifications, according to the results obtained for the persistence parameters of both the abnormal earnings and the ???other information??? variable. Thus, the present study has adopted two methodologies to empirically estimate the functions mentioned above, which fundamentally diverge as to the data treatment applied, given the limitations inherent to the size of the sample used. The first methodology strictly developed according to the theoretical assumptions of Ohlson (1995) was testing the model through a cross section cut-off analysis for a 53-stock pane