摘要
本文拓展出了基于P阶向量自回归过程的广义剩余收益估值模型;而且根据该拓展模型推导了盈余反应系数指标的理论公式;并以实例演示了:直接应用上述研究结论,著名的Feltham and Ohlson(1995)估值模型能很简单地推广到AR(2)过程版本,使该估值模型能利用更丰富的历史信息。
Based on the autoregressive process of order p,we develop a new model which extends the Residual Income Valuation Model.Besides,we deduce the Earnings Response Coefficient（ERC）equation using the new model.In addition,we test the new model using an example and find that Faltham and Ohlson（1995）model can be easily applied to AR（2）process and more historical information is useful in valuation under our new model.
出处
《科学决策》
2010年第10期13-21,共9页
Scientific Decision Making
基金
国家自然科学基金项目(70802006)
教育部人文社会科学规划项目(08JA630009)
关键词
向量自回归
权益定价
剩余收益
盈余反应系数
Vector Autoregression
Equity Valuation
Residual Income
Earnings Response Coefficients.
