The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
The proper forecasting of listed companies’ earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of 2008–2...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2023-05-01
|
| Series: | Journal of Banking and Financial Economics |
| Subjects: | |
| Online Access: | https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=609787 |
| _version_ | 1797738530390147072 |
|---|---|
| author | Wojciech Kuryłek |
| author_facet | Wojciech Kuryłek |
| author_sort | Wojciech Kuryłek |
| collection | DOAJ |
| description | The proper forecasting of listed companies’ earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of 2008–2009 and the pandemic shock of 2020. The best model is the seasonal random walk (SRW) model across all quarters, which describes quite well the behavior of the Polish market compared to other analyzed models. Contrary to the findings regarding the US market, this time-series behavior is well described by the naive seasonal random walk model, whereas in the US the most adequate models are of a more sophisticated ARIMA type. Therefore, the paper demonstrates that conclusions drawn for the US might not hold for emerging economies because of the much simpler behavior of these markets that results in the absence of autoregressive and moving average parts. |
| first_indexed | 2024-03-12T13:45:06Z |
| format | Article |
| id | doaj.art-78078db370ea4a0baa49c281417915d1 |
| institution | Directory Open Access Journal |
| issn | 2353-6845 |
| language | English |
| last_indexed | 2024-03-12T13:45:06Z |
| publishDate | 2023-05-01 |
| publisher | Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego |
| record_format | Article |
| series | Journal of Banking and Financial Economics |
| spelling | doaj.art-78078db370ea4a0baa49c281417915d12023-08-23T09:41:27ZengWydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu WarszawskiegoJournal of Banking and Financial Economics2353-68452023-05-0120231(19)264310.7172/2353-6845.jbfe.2023.1.2The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA modelsWojciech Kuryłek0https://orcid.org/0000-0003-0692-3300University of Warsaw, Faculty of ManagementThe proper forecasting of listed companies’ earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of 2008–2009 and the pandemic shock of 2020. The best model is the seasonal random walk (SRW) model across all quarters, which describes quite well the behavior of the Polish market compared to other analyzed models. Contrary to the findings regarding the US market, this time-series behavior is well described by the naive seasonal random walk model, whereas in the US the most adequate models are of a more sophisticated ARIMA type. Therefore, the paper demonstrates that conclusions drawn for the US might not hold for emerging economies because of the much simpler behavior of these markets that results in the absence of autoregressive and moving average parts.https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=609787earnings per sharetime seriesrandom walkarimafinancial forecastingwarsaw stock exchange |
| spellingShingle | Wojciech Kuryłek The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models Journal of Banking and Financial Economics earnings per share time series random walk arima financial forecasting warsaw stock exchange |
| title | The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models |
| title_full | The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models |
| title_fullStr | The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models |
| title_full_unstemmed | The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models |
| title_short | The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models |
| title_sort | modeling of earnings per share of polish companies for the post financial crisis period using random walk and arima models |
| topic | earnings per share time series random walk arima financial forecasting warsaw stock exchange |
| url | https://jbfe.wz.uw.edu.pl/resources/html/article/details?id=609787 |
| work_keys_str_mv | AT wojciechkuryłek themodelingofearningspershareofpolishcompaniesforthepostfinancialcrisisperiodusingrandomwalkandarimamodels AT wojciechkuryłek modelingofearningspershareofpolishcompaniesforthepostfinancialcrisisperiodusingrandomwalkandarimamodels |