Persistenza dei Residual Earnings e valutazione dell’Equity. Quaderni IRCrES 22

Quaderni IRCrES n. 22

Persistenza dei Residual Earnings e valutazione dell’Equity
Persistence of the Residual Earnings and Equity Valuation

Franco Varetto

CNR-IRCrES, Consiglio Nazionale delle Ricerche – Istituto di Ricerca sulla Crescita Economica Sostenibile, Strada delle Cacce 73, 10135 Torino, Italia

corresponding author: francoww21s@gmail.com

Abstract

This research is devoted to a statistical analysis of accounting time series of abnormal earnings from Dati Cumulativi of Mediobanca, 1989-2021. The concept of abnormal earnings is examined under both the relations of clean surplus and dirty surplus, as described in the model of Ohlson. The operating abnormal earnings are studied as developed in the model of Feltham-Ohlson. The results have confirmed that generally the abnormal earnings (net and operating) are persistent and stationary. These variables are finally used to estimate the value of equity of the 22 economic sectors that compose the Dati Cumulativi. The results put fundamental doubts about the validity of the models because of the great variability of the estimates and excessive frequency of negative values, economically irrational and not justifiable.

Keywords: Accounting Ratios, Accounting Time Series, Profit Persistence, Time Series Econometrics, ARIMA, Value of Equity, Cost of Capital.

DOI: 10.23760/2499-6661.2024.22

ISBN: 978-88-98193-37-0

ISSN (online): 2499-6661

 

How to Cite

Varetto, F. (2024). Persistenza dei Residual Earnings e valutazione dell’Equity. Quaderni IRCrES 22. CNR-IRCrES. http://dx.doi.org/10.23760/2499-6661.2024.22