Quarterly earnings, Interim reporting, Time-series, Forecasting content

Control data, Time-series properties, Cost variance, Time-series properties

Quarterly earnings, Nonseasonal earnings, Time-series model, Forecasting content

This paper provides evidence on the time-series properties and predictive ability of cash-flow data. It employs a sample of firms on which the accuracy of one-step-ahead cash-flow predictions is assessed during the 1989--1991 holdout period. We develop a new multivariate, time-series prediction model that employs past values of earnings, short-term accruals and cash-flows as independent variables in a time-series regression. Our predictive results indicate that this mode! clearly outperforms firm-specific and common-structure ARIMA models as well as a multivariate, cross-sectional regression model popularized in the literature. These findings are robust across alternative cash-flow metrics (e.g., levels, per-share, and deflated by total assets) and are consistent with the viewpoint espoused by the FASB that cash-flow prediction is enhanced by consideration of earnings and accrual accounting data.

[This paper provides evidence on the time-series properties and predictive ability of cash-flow data. It employs a sample of firms on which the accuracy of one-step-ahead cash-flow predictions is assessed during the 1989-1991 holdout period. We develop a new multivariate, time-series prediction model that employs past values of earnings, short-term accruals and cash-flows as independent variables in a time-series regression. Our predictive results indicate that this model clearly outperforms firm-specific and common-structure ARIMA models as well as a multivariate, cross-sectional regression model popularized in the literature. These findings are robust across alternative cash-flow metrics (e.g., levels, per-share, and deflated by total assets) and are consistent with the viewpoint espoused by the FASB that cash-flow prediction is enhanced by consideration of earnings and accrual accounting data.]

Reports on the time-series properties and predictive ability of variables in funds-flow statement. Descriptive evidence that documents the statistical patterns of the cash flow and working capital series for a sample of firms; Measurement of the predictive ability of variables in a funds-flow statement; Security return effects.

ABSTRACT: The relationship between a set of five quarterly earnings time-series models and the security market's expectation of quarterly earnings was assessed using two evaluative criteria: 1) prediction of quarterly earnings numbers and 2) security market association testing. A relatively large sample of 240 NYSE firms was analyzed using an extensive time-series data base over 1962-1974 and a holdout test period from 1975-1977. Overall, the Brown-Rozeff model dominated both the predictive ability tests and the cumulative average residual analysis. These results are consistent with the security market adjusting for the presence of seasonality in the quarterly EPS data. Although a significant contemporaneous association between unexpected earnings changes and abnormal security returns was revealed, the informational content of the earnings numbers conveyed only approximately 15 percent of the total information available to the market as of the earnings announcement date.

Reviews the book "Inflation Accounting," by Elwood Miller.

Quarterly earnings, Predictive ability, Time-series, Goodness-of-fit