摘要：In this study we use cointegration methods to investigate the relationship between the variables of the Ohlson model (stock price, earnings per share and book value) with panel data. The cointegration tests were applied at individual and group level (by all firms, and by sectors). The firms studied are from the Food & Beverage, Commercial and Construction economical sectors of the public companies listed on the Mexican Exchange Market. The data used was on a quarterly basis from 1997 to 2008. The empirical results, based on Johansen test, indicate that there are some individual cointegration relationships. The panel cointegration test show that the variables in the Ohlson model are not cointegrated for the Construction sector, although they are for the Commercial and Food & Beverage sectors.
其他摘要：In this study we use cointegration methods to investigate the relationship between the variables of the Ohlson model (stock price, earnings per share and book value) with panel data. The cointegration tests were applied at individual and group level (by all firms, and by sectors). The firms studied are from the Food & Beverage, Commercial and Construction economical sectors of the public companies listed on the Mexican Exchange Market. The data used was on a quarterly basis from 1997 to 2008. The empirical results, based on Johansen test, indicate that there are some individual cointegration relationships. The panel cointegration test show that the variables in the Ohlson model are not cointegrated for the Construction sector, although they are for the Commercial and Food & Beverage sectors.
关键词：Ohlson model; value relevance; panel data cointegration modelo de Ohlson; valor de relevancia; cointegración en datos de panel
