This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.

Made available in DSpace on 2015-03-05T19:13:43Z (GMT). No. of bitstreams: 0 Previous issue date: 18 / Nenhuma / A proposta deste estudo é testar empiricamente se o modelo de avaliação da firma proposto por Ohlson, em 1995, produz estimativas adequadas para os dados das principais empresas brasileiras listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 2002 a 2005. Destaca-se que a aplicação empírica de todas as premissas desse modelo ainda é relativamente escassa e controversa para mercados emergentes. Foram testadas as funções de preço e retorno de Ohlson (1995), cada qual com diferentes especificações, de acordo com os resultados obtidos para os parâmetros de persistência do resultado anormal e da variável "outra informação". Dessa forma, o presente estudo adotou duas metodologias para estimar empiricamente as funções descritas, as quais divergem fundamentalmente quanto ao tratamento de dados aplicado, dadas às limitações inerentes ao tamanho da amostra utilizada. A primeira metodologia desenvolvida estritamente conforme os pressupostos teóricos de Ohlson (1995) consistiu em testar o modelo através de u / This 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 panel

本研究以Ohlson (1995) model為發展基礎，並將盈餘定義為（１）剩餘淨利及（２）盈餘水準，分別就此二種不同定義下的盈餘，以年度盈餘時間序列來測試其是否符合線性資訊動態假設，及針對各模式對股權價值估計與預測之結果做比較，探討何種評價方法或模式對於估計真實價值、解釋價格及預測報酬之效果較佳。 研究結果發現，我國上市公司之剩餘淨利及盈餘水準時間序列皆符合線性資訊動態假說。剩餘淨利線性資訊動態模型較能正確預估次一期的盈餘。相較於單獨以帳面價值來估計股價，考慮線性資訊動態模型所建立之各評價模型所預測之估計股價皆未能正確預測權益價值及解釋權益價值之波動。在投資策略方面，因剩餘淨利模型之投資績效最為穩定，在該模型之投資策略下，V/P比率愈低（高）之投資組合獲得之平均股票報酬愈低（高），代表股價愈是被低估的投資組合可賺取更多之投資報酬，這說明剩餘淨利模型預測次期投資報酬之能力最佳，投資人可以其做為建立投資策略的參考。 / Based on Ohlson (1995) model, this study specifies earnings variables as both residual income and earnings levels to test the linear information dynamic (LID) models per se and the ability of competing valuation models to value the contemporaneous stock prices. A comparison of future stock return predicting capability of competing models is also conducted. By using both residual income time series and earnings levels time series for examining the issue on the firms listed on the Taiwan Stock Exchange (TSE), the empirical results support Ohlson’s information dynamics. However, when estimated as a time series, the linear information models using either residual income or earnings levels variables provide value estimates no better than book value does alone. From the investment strategy aspect, the superior predictive ability of the residual income valuation model with respect to future stock returns demonstrates that high (low) V/P ratios gets high (low) investment returns. It implies that the underpriced portfolio makes high investment returns. Accordingly, the residual income valuation is good for estimating returns on the following year and is therefore a valuable investment reference..