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Author : Robin Anthony Alexander
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (288 download)
Download or read book A Simulation Study of Some Time Series Properties of Earnings written by Robin Anthony Alexander and published by . This book was released on 1981 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Ralph Byington
Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (733 download)
Download or read book Analysis of Time Series Properties of Earnings written by James Ralph Byington and published by . This book was released on 1985 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 792 pages
Book Rating : 4.3/5 (91 download)
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1984 with total page 792 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vols. for 1973- include the following subject areas: Biological sciences, Agriculture, Chemistry, Environmental sciences, Health sciences, Engineering, Mathematics and statistics, Earth sciences, Physics, Education, Psychology, Sociology, Anthropology, History, Law & political science, Business & economics, Geography & regional planning, Language & literature, Fine arts, Library & information science, Mass communications, Music, Philosophy and Religion.
Author :
Publisher :
ISBN 13 :
Total Pages : 794 pages
Book Rating : 4.F/5 ( download)
Download or read book Comprehensive Dissertation Index: Business & economics, L-Z written by and published by . This book was released on 1984 with total page 794 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. Lee Krippel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Relation between Persistence Theory and the Time-Series Properties of Earnings written by G. Lee Krippel and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this analytical study we question the theoretical consistency of using time-series parameters estimated from autoregressive integrated moving average [ARIMA] models as proxies for the persistence component of earnings construct. We examine Miller and Rock's (1985) theoretical arguments that the earnings announcement effect is associated with not only the magnitude of the unexpected portion of earnings but also with the persistent component of the unexpected earnings as determined by a persistence parameter. Next we examine the validity of Kormendi and Lipe's (1987) theoretical arguments suggesting that Miller and Rock's persistence construct could be proxied empirically by a moving average parameter from an ARIMA time-series model. The conclusion we draw from our analysis is that the use of an ARIMA moving average parameter is not theoretically consistent with Miller and Rock's persistence construct. Furthermore we find that the argument for use of parameters of an ARIMA model requires that Miller and Rock's persistence construct be equal to zero suggesting no earnings persistence. The most important and urgent implication of our findings is for future earnings persistence research. If the analysis is valid the persistence construct should not be proxied by using parameters from ARIMA time-series models.
Author : James Gary Manegold
Publisher :
ISBN 13 :
Total Pages : 542 pages
Book Rating : 4.F/5 ( download)
Download or read book Time-series Properties of the Components of Earnings written by James Gary Manegold and published by . This book was released on 1978 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Koren M. Jo
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.:/5 (923 download)
Download or read book Aggregate Earnings: Time-series Properties and Forecasting Models written by Koren M. Jo and published by . This book was released on 2015 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study I examine the time series properties of quarterly aggregate earnings and aggregate analyst earnings forecasts. Using quarterly data from January 1988 to December 2012, I show that both quarterly aggregate earnings and analyst earnings forecasts follow a random walk process in contrast with the corresponding firm level's actual and forecasted earnings, which both follow a seasonal random walk process. The fact that aggregate earnings follows a random walk process suggests that researchers using aggregate earnings need to account for the serial correlation in aggregate earnings in their models. Moreover, the level of aggregate earnings and aggregate analyst forecasts are co-integrated even though aggregate analyst forecasts are biased. I further show that prior forecast errors are correlated with growth in aggregate GAAP earnings but not aggregate Street earnings. The exclusion of special items makes Street earnings smoother and easier to predict, thus making forecasts of Street earnings more efficient. Finally, random-walk-based forecasts outperform analyst forecasts in terms of accuracy when GAAP earnings are forecasted, but not when Street earnings are forecasted.
Author :
Publisher :
ISBN 13 :
Total Pages : 648 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2005 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth E. Dimitry
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (229 download)
Download or read book An Empirical Examination of the Time-series Properties of Earnings-per-share Using Transfer Function Analysis at the Industry Level written by Kenneth E. Dimitry and published by . This book was released on 1990 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric Zivot
Publisher : Springer Science & Business Media
ISBN 13 : 0387217630
Total Pages : 632 pages
Book Rating : 4.3/5 (872 download)
Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Author :
Publisher : Univ Santiago de Compostela
ISBN 13 :
Total Pages : 231 pages
Book Rating : 4./5 ( download)
Download or read book Heterogeneity and Dynamics in Individual Wages and Labour Market Histories. written by and published by Univ Santiago de Compostela. This book was released on with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert H. Shumway
Publisher :
ISBN 13 : 9781475732627
Total Pages : 568 pages
Book Rating : 4.7/5 (326 download)
Download or read book Time Series Analysis and Its Applications written by Robert H. Shumway and published by . This book was released on 2014-01-15 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert R. Sterling
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.3/5 (512 download)
Download or read book Maintenance of Capital written by Robert R. Sterling and published by . This book was released on 1982 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William S. Hopwood
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (31 download)
Download or read book The Effect of the Time Horizon on the Relative Ability of Different Time-series Models to Forecast Quarterly Earnings Per Share written by William S. Hopwood and published by . This book was released on 1980 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. David Spiceland
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.3/5 (512 download)
Download or read book Directory of Dissertations in Accounting written by J. David Spiceland and published by . This book was released on 1986 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kyung Joo Lee
Publisher :
ISBN 13 :
Total Pages : 119 pages
Book Rating : 4.:/5 (17 download)
Download or read book ˜Theœ Effect of Time Series Properties on the Predictive Value of Quarterly Earnings for Forecasting Annual Earnings written by Kyung Joo Lee and published by . This book was released on 1990 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ruey S. Tsay
Publisher : Wiley-Interscience
ISBN 13 : 9780471415442
Total Pages : 472 pages
Book Rating : 4.4/5 (154 download)
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by Wiley-Interscience. This book was released on 2001-11-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High-frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed-form formulas VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
