On the Development of an Efficient Deflator for the Estimation of Accounting-Based Valuation Models

摘要: Previous research documents a number of potential scaling problems when estimating accounting based valuation models using cross-sectional data. The differences in size across observations cast doubts over the robustness estimated coefficients and measures fit. Several solutions have been proposed without reaching consensus. We demonstrate analytically that, under certain conditions, standard deviation market capitalization changes is an efficient deflator for estimation Ohlson's (1995) unbiased model. Our empirical tests confirm this, as we show that largest do not unduly affect results, influential decreases notably obtain significantly different from theoretical values derived Ohlson information dynamics.