The efficiency of analysts' forecasts and the Ohlson model in investment strategies.

通过对日本企业数据的分析，我们研究了将会计数据输入到Ohlson模型中计算企业价值的理论测度。首先，从假设假设差异的角度，对现有的基于Ohlson模型的实证模型进行了考察，并在此基础上提出了一个新的纳入“剩余收入动态”的实证模型。接下来，我们通过使用调查的经验模型计算了每个样本公司的几个理论度量，并进行了检查。(1)价值相关性分析；(2)投资绩效分析。我们检验了理论值与股票价格之间的相关性。净资产账面价值在合并会计数据和纯母公司会计数据两种情况下都比理论测度具有相对较高的相关性，这与Frankel和Lee（1998和1999，以下简称FL）的结果不同。使用分析师收益预测的理论度量比使用实际收益的理论度量具有更高的价值相关性，并且我们发现将“剩余收益动态”纳入Ohlson模型改善了价值相关性。(2)分析了理论测度对股票未来收益的预测能力。我们的结果表明，在整个时期，理论指标的能力比账面市值比差。这一结果与FL不同，我们发现只有1994-1995子周期的结果与FL一致。我们的样本时期包括泡沫和泡沫后时期，因此我们认为结果可能受到经济条件的强烈影响。

By analyzing the Japanese firm data, we investigated the theoretical measures that were firm values calculated by inputting the accounting figures into the Ohlson model. First, in the viewpoint of difference of posited assumptions, extant empirical models based on the Ohlson model were surveyed, and we presented a new empirical model incorporating 'the residual income dynamics' additionally. Next, we calculated several theoretical measures of every sample firm by using surveyed empirical models, and examined. (1) Value relevance analysis and (2) Investment performance analysis about those measures.(1) We examined the correlation between the theoretical values and stock prices. Book value of net assets was relatively higher correlation than the theoretical measures in both cases of consolidated accounting data and parent-only accounting data, that was different from the result by Frankel and Lee (1998 and 1999, henceforth FL). The theoretical measures using analysts' earnings forecasts had higher value relevance than those using actual earnings, and we found incorporating 'the residual income dynamics' into the Ohlson model improved the value relevance.(2) The ability of the theoretical measure to predict future stock returns was analyzed. Our result showed that the ability of the theoretical measures was worse than Book to Market ratio for overall period. This result was not the same as FL, and we found only the result for the 1994-1995 sub-period was consistent with FL. Our sample periods included the bubble and post-bubble period, therefore we thought the results may be strongly effected by economic conditions.