共查询到20条相似文献,搜索用时 15 毫秒
1.
2.
3.
4.
5.
6.
7.
8.
9.
10.
11.
12.
13.
14.
15.
Kenneth S. Lorek G. Lee Willinger Allen W. BathkeJr. 《Review of Quantitative Finance and Accounting》2008,31(1):105-119
We present empirical evidence on the relative predictive power of statistically based quarterly earnings expectation models
for firms that are characterized as nonseasonal in nature. We are particularly interested in nonseasonal firms for two reasons.
First, it appears that a sizable and growing percentage of firms exhibit quarterly earnings patterns that are clearly nonseasonal
in nature. We present new evidence that is consistent with this trend. Specifically, 36% of our sample firms (n = 296) are
nonseasonal compared to 12% reported in Lorek and Bathke (J Acc Res 22:369–379, 1984) (n = 29); 17% in Brown and Han (J Acc
Res 38:149–164, 2000) (n = 155); and 28.2% in Bathke et al. (J Business Inquiry 5:39–49, 2006) (n = 167). Second, we also
find that 43.6% of the nonseasonal firms in our sample have no analyst coverage. Therefore, interest in the predictive ability
of statistically based models for such firms is greatly enhanced. Our predictive findings indicate that the random walk model
provides significantly more accurate pooled, one-step ahead quarterly earnings predictions across 40 quarters in the 1994–2003
holdout period than the first-order autoregressive model popularized in the literature. We attribute the superior performance
of the random walk model to at least three contributing factors: (1) its parsimonious nature; (2) the reduced levels of autocorrelation
observed in our quarterly earnings data relative to previous work; and (3) a significantly greater frequency of loss quarters
evidenced by nonseasonal versus seasonal firms.
相似文献
Allen W. Bathke Jr.Email: |
16.
《Quantitative Finance》2013,13(3):189-198
Abstract The dynamics of temperature can be modelled by means of a stochastic process known as fractional Brownian motion. Based on this empirical observation, we characterize temperature dynamics by a fractional Ornstein–Uhlenbeck process. This model is used to price two types of contingent claims: one based on heating and cooling degree days, and one based on cumulative temperature. We derive analytic expressions for the expected discounted payoffs of such derivatives, and discuss the dependence of the results on the fractionality of the temperature dynamics. 相似文献
17.
Pricing options on realized variance 总被引:1,自引:0,他引:1
18.
19.