The purpose of this study was to examine the time-series properties of accounting earnings at the industry level. The study utilized transfer function analysis to identify and estimate industry specific transfer functions. These functions utilized industry indices and macroeconomic time-series variables as input series. Several industry specific earnings models were identified for a broad sample of industries using both firm specific and cross-sectional approaches. Firms were grouped into industries based upon their four-digit Standard Industrial Classification codes. Several of these industry groupings displayed a high degree of heterogeneity among their earning-per-share series. For these industry groupings, identification of a common earnings model was not successful. In other groupings, distinctive patterns were detected in cross-sectionally derived crosscorrelation functions indicating a relatively high degree of homogeneity among their earnings series. For these industry groupings, the identification of a common earnings model was more successful. / Predictive ability testing was conducted by comparing forecasts of earnings to reported earnings over an eight quarter test period. Evaluations of predictive ability were made by examining forecast errors and forecast error rankings based upon six error metrics. This analysis provided results favorable to univariate earnings models when forecast error ranks were examined using non-parametric testing. Examination of forecast errors indicated that the transfer function models were more accurate on average. In both cases the firm specific version of the transfer functions dominated the cross-sectional model. Additionally, the use of macroeconomic time-series appears to improve forecast accuracy. / Source: Dissertation Abstracts International, Volume: 51-12, Section: A, page: 4181. / Major Professor: Kenneth S. Lorek. / Thesis (Ph.D.)--The Florida State University, 1990.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_78339 |
| Contributors | Dimitry, Kenneth Elia., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 272 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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