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留学生毕业论文:Comparative Assessment of Feltham–O(7)


6) Being an active firm in Tehran Stock Exchange (firms whose stocks are purchased and sold
during the research period).
International Research Journal of Finance and Economics - Issue 36 (2010) 64
3.2. Sampling of Statistical Population
The sampling of the present research has been made in an objective stepwise manner, so that in each
step the firms not having each of the above conditions were extracted and, finally, all remained firms
were selected to conduct a test. Table 1 explains this procedure in a better manner.
Table 1: Sampling procedure
Description Qty
Active Firms whose accounting data during the time interval of research is accessible. 112
Deducted: firms whose monthly price data in this time interval have not been accessible. (37)
Deducted: firms whose fiscal year not ending to 20th March. (16)
Deducted: firms having a negative book value during the time interval of research. (1)
Total sum of qualified firms selected 58
3.3. Representation of Research Models and Assumptions
This research has two main assumptions each having been tested within the framework of four models
and the obtained results are compared with each other. These assumptions are as follows:
A There is a significant relationship between abnormal earnings of each period and
abnormal earnings of prior period
Hereafter we will refer to this as the existing forecast relation (EFR) hypothesis. This
assumption in second and fourth models (Ohlson and Feltham-Ohlson sign-oriented models,
respectively), with considering the sign of abnormal earnings (according to Giner and Iniguez, 2006),
and in first and third models (Ohlson and Feltham-Ohlson traditional models, respectively), without
considering their sign and, also, as a regression relation were tested by the least squared errors method.
It is noteworthy that in all studied models the of other information variable was ignored due to non
access to required data, and, the non existence of the first order serial correlation in error factor was
also reviewed through the formation of a regression relation between error measures of each year with
the prior year.
To estimate abnormal earnings we first obtain the cost of capital (r) for each company based on
the CAPM model.^ In consistency with the earnings figure, we measure the cost of capital after
taxes: (1 ).[ ( ) ] j,t t t j,t t r = − tax rf + β Rmkt − rf where:
t tax : Effective rate of tax in year t1
t rf : Free of risk return rate in year t
j,t β : Systematic risk for firm j at time t
t (Rmkt − rf ) : Risk premium at time t
In model No. 1 of this research, the abnormal earnings are not segregated in terms of sign and
are underestimated within the framework of below regression model.
, +1 11 , , +1 = + j t
a
j t
a
j t x ω x ε (10)


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