EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
The study considered evaluating the predictive capacity of the mean reversion models, accrual adjustments and financial performance signals in relation to the random walk process of the firms of the Stock Market of Buenos Aires. The profitability study is carried out by the asset profitability. Firs...
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| Autores principales: | , , |
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| Formato: | Artículo publishedVersion |
| Lenguaje: | Español |
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Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
2020
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| Materias: | |
| Acceso en línea: | https://ojs.economicas.uba.ar/RIMF/article/view/1971 https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1971_oai |
| Aporte de: |
| Sumario: | The study considered evaluating the predictive capacity of the mean reversion models, accrual adjustments and financial performance signals in relation to the random walk process of the firms of the Stock Market of Buenos Aires. The profitability study is carried out by the asset profitability. First, the panel data method with fixed effects exhibits greater accuracy of the profitability criteria in relation to OLS. Second, the analysis of the models reveals that the profitability of the current asset is the main variable that explains the change in the profitability of the assets of the next year, followed by the accrual adjustments and the turnover of non-current assets. Third, the validation demonstrates a greater accuracy of those detected in the 3 models in relation to random walk and the most accurate model is the financial performance signals. However, the random walk should not be diminished. |
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