An International Meeting of the American Accounting Association American Accounting Association 2006 Annual Meeting August 6–9, 2006 Washington, D.C.

Yoshitaka Fukui
Aoyama Gakuin University Graduate School of International Management

Abstract: Combining (i) a consumption-based asset pricing model without “market” return derived by Restoy and Weil (2004) and (ii) a log-linearized clean-surplus relation by Vuolteenaho (2000), I have developed a consumption and accounting-based asset pricing model. Accounting numbers are not pieces of information possibly useful for investment decision-making, but crucial ingredients as real as consumption for utility-maximizing rational asset pricing. The model is, however, directly linked to current valuation studies in the accounting literature, and can be considered a data-acceptable consumption-based Ohlson model.

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