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:

Download or read book Time Series Properties and Pricing of the Special Items Component of Earnings written by David Burgstahler and published by . This book was released on 1999 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We demonstrate that the effect of special items on the time-series of seasonally-differenced quarterly earnings differs from the effect of other components of earnings. Focusing on earnings four quarters subsequent to the special item where the time-series differences are most pronounced, we also demonstrate that market expectations of earnings impounded in prices reflect these time-series differences. Further, our estimates suggest that the proportion of the time-series implications of special items impounded in prices is larger than the proportion for other, non-special items, components of earnings. Nonetheless, market prices do not fully reflect time-series implications of special items ? a significant proportion of the time-series implications of negative special items is not impounded in prices and past values of special items predict subsequent abnormal returns.

Download or read book The Time Series Properties of the Components of Clean Surplus Earnings written by John O'Hanlon and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to advance the practical application of theoretically grounded accounting based equity valuation models which use the concept of earnings persistence. It does so by employing an empirically tractable development of the clean surplus residual income based valuation models that appear in the literature as the basis for an empirical investigation of the time series properties of components of the clean surplus earnings of UK companies. The paper uses a general expression of the value of equity capital in terms of residual income scaled by book value to show that clean surplus Accounting Rate of Return (ARR) is relevant in a valuation context if the series has a mean which differs from the cost of equity and/or there is time series dependence in the series. It then uses data drawn directly from the income statements and reserve notes of 181 UK companies over 25 years to seek evidence regarding the mean values of the disaggregated components of clean surplus ARR in the UK both in aggregate and across sectors. Then after using the general expression to provide a classification of ARR series according to four classes of time series process each of which suggests the appropriateness of a different valuation model employing ARR variables (mean level first difference) the paper provides evidence on the time series properties of the disaggregated components of clean surplus ARR both in aggregate and across sectors.

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.

Download or read book BEBR Faculty Working Paper written by and published by . This book was released on 1980 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Analysis and Use of Financial Statements written by Gerald I. White and published by John Wiley & Sons. This book was released on 2002-12-30 with total page 786 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accounting Standards (US and International) have been updated to reflect the latest pronouncements. * An increased international focus with more coverage of IASC and non-US GAAPs and more non-US examples.

Download or read book Stochastic Components of Individual Consumption written by Orazio Attanasio and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate shocks. Having estimated the parameters of a flexible multivariate MA representation we relate the coefficients of our statistical model to structural parameters of theoretical models of consumption behaviour. Our approach offers a unifying framework that encompasses the Euler equation approach to the study of consumption and the studies that relate innovations to income to innovations to consumption, such as those that have found the so-called excess smoothness of consumption. Using a long time series of cross sections to construct synthetic panel data for the UK, we estimate our model and find that the restriction of Euler equations are typically not rejected, while the data show 'excess smoothness'

Download or read book Analysis of Economic Time Series written by Marc Nerlove and published by Academic Press. This book was released on 2014-05-10 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.

Download or read book Stochastic Components of Individual Consumption written by Orazio P. Attanasio and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we propose a method to characterize the time series properties of individual consumption, income and interest rates using micro data, as studies in labour economics have characterized the time series properties of hours and earnings. Our approach, however, does not remove aggregate shocks. Having estimated the parameters of a flexible multivariate MA representation we relate the coefficients of our statistical model to structural parameters of theoretical models of consumption behaviour. Our approach offers a unifying framework that encompasses the Euler equation approach to the study of consumption and the studies that relate innovations to income to innovations to consumption, such as those that have found the so-called excess smoothness of consumption. Using a long time series of cross sections to construct synthetic panel data for the UK, we estimate our model and find that the restriction of Euler equations are typically not rejected, while the data show 'excess smoothness'

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:

Download or read book Studies on Alternative Measures of Accounting Income written by and published by . This book was released on 1987 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Investigation Into the Effect of Changes in the General Price Level on the Time series Properties of Quarterly Earnings Per Share written by William S. Hopwood and published by . This book was released on 1979 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Journal of Accounting written by and published by . This book was released on 2004 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Studies in Accounting Research written by and published by . This book was released on 1985 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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:

Download or read book Real Estate Valuation Models written by William S. Hopwood and published by . This book was released on 1981 with total page 706 pages. Available in PDF, EPUB and Kindle. Book excerpt: