Ohlson Model Efficiency Test, using Piotroski Indicators to Predict Stock Returns

The present study sought to test the efficacy of the Ohlson model (1995) combination with Piotroski index (2000) to predict stock returns in Stock Exchange and OTC companies in Iran. The dependent variable is stock returns in the next period, and the independent variables are changes in net profit, changes in equities, changes in Piotroski index in both current and prior periods as well as the first lag in dependent variable which is using data from the Panel during the years 2007 to 2013 and Eviews software and Generalized Method of Moments (GMM) statistical technique, to test research hypotheses. The results indicate that considering significance of all other independent variables and the results of the Wald test, combination of the Ohlson model and Piotroski index, is efficient in predicting stock returns. Piotroski index changes in the current and prior period is significantly correlated with stock returns, as well.