The transfer function relationship between earnings and market-industry indices
an empirical study
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Author
Contributions
- University of Illinois at Urbana-Champaign. College of Commerce and Business Administration - Contributor
Publication
1978 - College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, Urbana, Ill., Illinois
Language
English
Word Count
2,500 words, Guess
Page Count
10 pages
Identifiers
- Internet Archivetransferfunction496hopw
- OCLC Control Number5108567
- Open LibraryOL24616107M
Description
"The study investigated the hypothesis that univariate ARIMA forecasts can be improved upon by using a more general transfer function model which consists of an ARIMA model with a market or industry index added. Statistical analysis of the data indicated that firms' forecasts have a tendency to perform either very well or very poorly under the transfer function model as compared to the ARIMA model (using an absolute value error metric)." "It was demonstrated that it is possible to develop an a priori rule for the determination of when the transfer function will outperform the univariate model. In particular it was found that if a transfer function outperforms an ARIMA model for the majority of the first three periods in the forecast horizon, then there is a significant probability that it will do the same for periods four through ten."
Subjects
Series Statement
- Faculty working papers -- no. 496
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