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2010 | nr 10 | 343-355
Tytuł artykułu

Kwartalne wyniki finansowe spółek - prognozy analityków na tle prognoz autoregresyjnych

Autorzy
Warianty tytułu
Quarterly Financial Results of Polish Public Companies - the Accuracy of Forecasts Made by Stock Market Analysts Compared to the Accuracy of Forecasts Obtained from Simple Autoregressive Models
Języki publikacji
PL
Abstrakty
W artykule zaprezentowano wyniki porównawczej analizy trafności sporządzanych przez analityków prognoz kwartalnych wyników finansowych polskich spółek giełdowych na tle trafności prognoz alternatywnych, otrzymanych z wykorzystaniem prostych modeli autoregresyjnych (autoregresji bez sezonowości, autoregresji z addytywną sezonowością oraz autoregresji z zero-jedynkowymi zmiennymi dla obserwacji nietypowych). (fragment tekstu)
EN
The paper presents the results of comparative analysis of the accuracy of quarterly financial forecasts (of Polish public companies) made by analysts in relation to the accuracy of the alternative forecasts, obtained with the use of simple autoregressive models. These models include autoregression without seasonality, autoregression with additive seasonality and autoregression with dummy variables for the outliers. The comparative analysis was made for the quarterly forecasts (with a one-quarter forecast horizon) of net sales and operating profit, published by four brokerage houses in the period between the end of 2003 and the third quarter of 2008. The sample comprised over 1000 forecasts of net sales and operating profit, made for several dozen companies listed on the Warsaw Stock Exchange. For the forecasts prepared by financial analysts the average errors were computed and then these measures were compared to the analogous measures obtained for the benchmark forecasts (i.e. forecasts obtained from simple autoregressive models). This comparative analysis, based on the average forecast errors, enabled us to evaluate to what extent the use of a wide range of information (as in the case of analysts forecasts) increases the accuracy of the forecasts of companies' quarterly financial results as compared to the simple autoregressive models. (short original abstract)
Rocznik
Numer
Strony
343-355
Opis fizyczny
Twórcy
autor
  • Uniwersytet Ekonomiczny we Wrocławiu
Bibliografia
  • Barassi M.R., Caporale G.M., Hall S.G. [2001], Testing for Changes in the Long-run Causal Structure of Cointegral Vector Autoreressions, The University of Birgmingham, Department of Economics Discussion Papers, Birmingham.
  • Brown L.D. [1996], Analyst Forecasting Errors and Their Implications for Security Analysis: An Alternative Perspective, "Financial Analyst Journal", vol. 52.
  • Ciccone S.J. [2002], Analysts' Annual Forecasts and Quarterly Earnings Releases, University of New Hampshire Working Papers, New Hampshire.
  • Damodaran A. [], Damodaran on Valuation (Electronic Book). Chapter 4: Forecasting Cash Flows, Aswath Damodaran's Website.
  • Dreman D. [1998], Contrarian Investment Strategies. The Next Generations: Beat the Market by Going Against the Crowd, Simon & Shuster, New York.
  • Malkiel B.G. [2007], A Random Walk Down Wall Street. The Time-Tested Strategy for Successful Investing, W.W. Norton & Company, New York.
  • O'Brien P. [1988], Analysts' Forecasts as Earnings Expectations, "Journal of Accounting and Economics", vol. 10.
  • White G.I., Sondhi A.C., Fried D. [2003], The Analysis and Use of Financial Statements, John Wiley & Sons, Hoboken.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000167056881
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