실물옵션을 활용한 Olhson 모형 가치평가에 관한 연구

Abstract

This study newly suggests investor’s psychological expectation values as ‘other information’ not yet clearly identified in the Ohlson model. These values are calculated through real option valuation. A total of 9,791 annual corporate stock prices and financial statements are investigated for KOSDAQ companies from 2011 to 2021. According to the classification criteria of the Korea Exchange, the entire sample was classified into a total of 8 panels: bluechip, midsize, venture, and technology companies, and each further classified into two sub-groups based on their respective residual income signs. We empirically find that the real option value, assessing investors’ expectations for future profits, significantly contribute to explaining stock values along with the book value per share and residual income per share comprising the established Ohlson model. In particular, for companies with negative residual incomes, the real option value demonstrates a higher explanatory power for stock prices compared to those with positive earnings. Furthermore, robustness test shows that the real option value’s explanatory power for stock prices remains significant even when accounting for previously recognized factors such as cash dividends per share, market price to book value ratio, total debt ratio, systematic risk, and market index.