The Determination of the "Other Information" Variable in the Ohlson 1995 Valuation Model

Abstract

This research investigates closed share prices dynamics among 61 companies listed on the Mongolian Stock Exchange (MSE) from 2011 to 2022. Utilizing a comprehensive dataset, our study conducts a unit-root test to confirm the stationarity of key variables, followed by Generalized Method of Moments (GMM) estimations within a Dynamic Panel Auto-regressive (DPAR) model. Results show that closed share prices, book value, profit or loss, and Piotroski score are stationary, validating subsequent analyses. The study reveals a significant positive influence of lagged closed share prices, emphasizing historical performance's persistent impact. Book value and Piotroski score exhibit positive and statistically significant effects on closed share prices. This empirical insight contributes to understanding share price dynamics, offering implications for financial analysis and academic research.