Time-Series Properties,Adjustment Processes,and Forecasting of Financial Ratios

Ahlburg D. A. 1992. “Error Measures and the Choice of a Forecast Method.” International Journal of Forecasting (8): 99–100.

Aksu C. 1987. “An Empirical Investigation of Time Series Properties of Quarterly Cash Flows and Usefulness of Earnings in Predicting Cash Flows.” Ph.D. Dissertation, Syracuse, N.Y.: Syracuse University.

Albrecht W. S. Lookabill L. L. McKeown J. C. 1977. “The Time Series Properties of Annual Earnings: An Analysis of Individual Firms.” Journal of Accounting Research (Autumn): 226–244.

Altman E. I. , 1968. “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy.” Journal of Finance (September): 589–609.

Altman E. I. McGough T. P. 1974. “Evaluation of a Company as a Going Concern.” The Journal of Accountancy (December): 50–57.

American Institute of Certified Public Accountants, Auditing Standards Board. 1985. Financial Forecasts and Projections. New York: AICPA.

American Institute of Certified Public Accountants, Auditing Standards Board. 1986. Guide for Prospective Financial Statements. New York: AICPA.

American Institute of Certified Public Accountants. 1981. Statement of Auditing Standards No. 36: The Auditor's Review of Performing Procedures on Interim Financial Information. New York: AICPA.

American Institute of Certified Public Accountants 1988. Statement of Auditing Standards No. 56: Analytical Procedures. New York: AICPA.

Altman E. I. McGough T. P. 1988. Statement of Auditing Standards No. 57: Auditing Accounting Estimates. New York: AICPA.

Altman E. I. McGough T. P. 1988. Statement of Auditing Standards No. 59: The Auditor's Consideration of An Entity's Ability to Continue as a Going Concern. New York: AICPA.

Armstrong S. J. Collopy F. 1992. “Error Measures for Generalizing About Forecasting Methods: Empirical Comparisons.” International Journal of Forecasting (8): 69–80.

Arnold J. Moizner P. 1984. “A Survey of the Methods Used by UK Investment Analysts to Appraise Investments in Ordinary Shares.” Accounting and Business Research (Summer): 195–207.

Arnold J. Noreen E. 1983. “Investment Appraisal Methods of Financial Analysts: A Comparative Survey of U.S. and U.K. Practices.” Working paper, Manchester, U.K.: University of Manchester.

Ball R. Watts R. 1972. “Some Time Series Properties of Accounting Income.” Journal of Finance (27): 663–682.

Bankar R. Datar S. 1987. “Sensitivity, Precision, and Linear Aggregation of Accounting Signals.” Working paper, Pittsburgh: Carnegie Mellon University.

Barnes P. 1982. “Methodological Implications of Non-Normally Distributed Financial Ratios.” Journal of Business Finance & Accounting (Spring): 51–62.

Bathke A. W. Lorek K. S. 1984. “The Relationship Between Time-Series Models and the Security Market's Expectation of Quarterly Earnings.” The Accounting Review (April): 163–176.

Beaver W. H. 1970. “The Time Series Behavior of Earnings.” In Empirical Research in Accounting, selected studies, Supplement to Journal of Accounting Research, pp. 62–99.

Beaver W. H. Kettler P. Scholes M. 1970. “The Association Between Market Determined and Accounting Determined Risk Measures.” The Accounting Review (October): 654–682.

Board J. L. G. Walker M. 1990. “Intertemporal and Cross-Sectional Variation in the Association between Unexpected Accounting Rates of Return and Abnormal Returns.” Journal of Accounting Research (Spring): 182–192.

Box G. E. P. Jenkins G. M. 1976. Time Series Analysis: Forecasting and Control, rev. ed. Oakland, Ca.: Holden-Day.

Brown L. D. 1987. “Financial Forecasting.” In Makridakis S. Wheelwright S. C. , eds., The Handbook of Forecasting (New York: John Wiley), pp. 62–73.

Brown L. D. 1993. “Earnings Forecasting Research: Its Implications for Capital Markets Research.” International Journal of Forecasting (5): 295–320.

Brown L. D. Rozeff M. S. 1979. “Univariate Time Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model.” Journal of Accounting Research (Spring): 179–189.

Chatfield C. 1992. “A Commentary on Error Measure.” International Journal of Forecasting (8): 100–102.

Chugh L. Meador J. W. 1984. “The Stock Valuation Process: The Analysts' View.” The Financial Analysts Journal (November-December): 41–48.

Cogger K. O. 1981. “A Time-Series Analytic Approach to Aggregation Issues in Accounting Data.” Journal of Accounting Research (Autumn): 285–298.

Collins W. A. Hopwood W. S. 1980. “A Multivariate Analysis of Annual Earnings Forecasts Generated from Quarterly Forecasts of Financial Analysts and Univariate Time-Series Models.” Journal of Accounting Research (Autumn): 390–406.

Collins W. A. Hopwood W. S. McKeown J. C. 1984. “The Predictability of Interim Earnings over Alternative Quarters.” Journal of Accounting Research (Autumn): 467–479.

Davidson C. P. Weil R. L. 1988. Financial Accounting: An Introduction to Concepts, Methods, and Uses, p. 218. Orlando, Fla.: Dryden Press.

Deakin E. B. 1976. “Distribution of Financial Accounting Ratios: Some Empirical Evidence.” The Accounting Review (January): 90–96.

Dopuch N. Watts R. 1972. “Using Time-Series to Assess the Significance of Accounting Changes.” Journal of Accounting Research (Spring): 180–194.

Eckstein C. 1988. “Time Series Properties and Forecasting of Financial Ratios.” Ph.D. Dissertation, New York University.

Altman E. I. McGough T. P. 1991. “Time Series Properties and Forecasting of Earnings Yields: Analysis of the Correlation of Unexpected Returns and the Forecasting Model.” Working paper, Hempstead, N.Y.: Hofstra University.

Engel E. M. R. A. 1984. “A Unified Approach to the Study of Sums, Products, Time-Aggregation, and Other Functions of ARMA Processes.” Journal of Time Series Analysis (5): 159–171.

Farrelly G. E. Ferris K. Reichenstein W. R. 1985. “Perceived Risk, Market Risk, and Accounting Determined Risk Measures.” The Accounting Review (April): 278–288.

Fildes R. 1992. “The Evaluation of Extrapolative Forecasting Methods.” International Journal of Forecasting (8): 81–98.

Foster G. 1986. Financial Statement Analysis. Englewood Cliffs, N.J.: Prentice-Hall.

Foster G. 1977. “Quarterly Accounting Data: Time Series Properties and Predictive Ability Results.” The Accounting Review (January): 1–21.

Frecka T. J. Lee C. G. 1983. “A Seemingly Unrelated Regressions Approach to Analyzing and Forecasting Financial Ratios.” Journal of Economics and Business.

Freeman R. N. Ohlson J. A. Penman S. H. 1982. “Book Rate of Return and Prediction of Earnings Changes: An Empirical Investigation.” Journal of Accounting Research (Autumn): 639–653.

Gibson C. H. 1982. “Financial Ratios in Annual Reports.” The CPA Journal (September): 18–29.

Gibson C. H. Boyer P. A. 1980. “The Need for Disclosure of Uniform Financial Ratios.” The Journal of Accountancy (May): 78–86.

Gombola M. J. Ketz J. E. 1983. “Financial Ratio Patterns in Retail and Manufacturing Organizations.” Financial Management (Summer): 45–56.

Greene W. H. 1990. Econometric Analysis. New York: Macmillan.

Griffin P. A. 1977. “The Time Series Behavior of Quarterly Earnings, Preliminary Evidence.” Journal of Accounting Research (Spring): 71–83.

Hatanaka M. 1974. “An Efficient Two-Step Estimator for the Dynamic Adjustment Model with Autoregressive Errors.” Journal of Econometrics (2): 199–220.

Holmstrom B. 1979. “Moral Hazard and Observability.” Bell Journal of Economics (Spring): 74–91.

Hopwood W. S. McKeown J. C. Newbold P. 1982a. “The Additional Information Content of Quarterly Earnings Reports: Intertemporal Disaggregation.” Journal of Accounting Research (Autumn): 343–350.

Hopwood W. S. Newbold P. Silhan P. A. 1982b. “The Potential for Gains in Predictive Ability Through Disaggregations: Segmented Annual Earnings.” Journal of Accounting Research (Autumn): 725–732.

Horrigan J. 1965. “Some Empirical Bases of Financial Ratio Analysis.” The Accounting Review (July): 558–568.

Horrigan J. 1966. “The Determination of Long-Term Credit Standing with Financial Ratios.” In Empirical Research in Accounting, selected studies, Supplement to Journal of Accounting Research, pp. 44–62.

Johnson W. B. 1979. “The Cross-Sectional Stability of Financial Ratio Patterns.” Journal of Financial and Quantitative Analysis (December): 1035–1048.

Kendall C. S. Zarowin P. 1990. “Time-Series Models of Annual Earnings, Earnings Persistence and Earnings Response Coefficients.” Working paper, New York University.

Kinney W. R. 1971. “Predicting Earnings: Entity versus Subentity Data.” Journal of Accounting Research (Spring): 127–136.

Kormendi R. Lipe R. 1987. “Earnings Innovations, Earnings Persistence, and Stock Returns.” Journal of Business (60): 323–345.

Lee C. W. J. 1984. “The Speed of Adjustment of Financial Ratios, an Error in Variable Problem.” Journal of Accounting Research (Autumn): 776–781.

Lee C. W. J. 1985. “Stochastic Properties of Cross-Sectional Financial Data.” Journal of Accounting Research (Spring): 213–227.

Lee F. C. Wu C. 1988. “Expectation Formation and Financial Ratio Adjustment Processes.” The Accounting Review (April): 292–306.

Lev B. 1989. “On the Usefulness of Earnings and Earnings Research: Lessons and Directions from Two Decades of Empirical Research.” Journal of Accounting Research (Suuplement): 153–192.

Lev B. 1969. “Industry Averages as Targets for Financial Ratios.” Journal of Accounting Research (Autumn): 290–299.

Lev B. 1974. Financial Statement Analysis: A New Approach. Englewood Cliffs, N.J.: Prentice-Hall.

Lev B. 1989. “On the Usefulness of Earnings and Earnings Research: Lessons and Directions From Two Decades of Empirical Research.” Journal of Accounting Research (Supplement): 153–192.

Lieber Z. Melnick E. I. Ronen J. 1983.“The Filtering of Transitory Noise in Earnings Numbers.” Journal of Forecasting (2): 331–350.

Lipe R. C. 1986. “The Information Contained in the Components of Earnings.” Journal of Accounting Research (Supplement): 37–64.

Lorek K. S. 1979. “Predicting Annual Net Earnings with Quarterly Earnings Time-Series Models.” Journal of Accounting Research (17): 190–204.

Lorek K. S. McKeown J. C. 1978. “The Effect on Predictive Ability of Reducing the Number of Observations on a Time-Series Analysis of Quarterly Earnings Data.” Journal of Accounting Research (Spring): 204–214.

Lorek K. S. Bathke A. W. 1984. “A Time-Series Analysis of Nonseasonal Quarterly Earnings Data.” Journal of Accounting Research (Spring): 369–379.

Lorek K. S. McDonald C. L. Patz D. H. 1976. “A Comparative Examination of Management Forecasts and Box-Jenkins Forecasts of Earnings.” The Accounting Review (April): 321–330.

Lorek K. S. Schaefer T. F. Willinger G. L. 1993. “Time-Series Properties and Predictive Ability of Funds Flow Variables.” The Accounting Review (January): 151–163.

Maddala G. S. 1977. Econometrics. New York: McGrawHill.

Manegold J. G. 1981. “Time-Series Properties of Earnings: A Comparison of Extrapolative and Component Models.” Journal of Accounting Research (Autumn): 360–373.

McDonald B. Morris M. H. 1984. “The Statistical Validity of the Ratio Method in Financial Analysis: An Empirical Investigation.” Journal of Business Finance & Accounting (Spring): 89–97.

Muth J. F. 1960. “Optimal Properties of Exponentially Weighted Forecasts.” Journal of the American Statistical Association (June): 299–306.

Nelson C. R. 1975. “Rational Expectation and the Predictive Efficiency of Economic Models.” Journal of Business (July): 331–343.

Ohlson J. 1980. “Financial Ratios and the Probabilistic Prediction of Bankruptcy.” Journal of Accounting Research (Spring): 109–129.

Penman H. S. 1991. “An Evaluation of Accounting Rate-of-Return.” Journal of Accounting, Auditing and Finance (Spring): 233–256.

Pierce D. A. 1977. “Forecasting in Dynamic Models with Stochastic Regressors.” Journal of Econometrics (6): 349–374.

Pinches G. E. Mingo K. A. 1973. “Multivariate Analysis of Industrial Bond Ratings.” Journal of Finance (March): 1–15.

Pindyck R. Rubinfeld D. 1981. Econometric Models and Economic Forecasts. New York: McGraw-Hill.

Ramakrishnan R. T. S. Thomas J. K. 1992. “What Matters from the Past: Price, Book Value or Earnings? Sufficient Statistics in Accounting.” Journal of Accounting, Auditing, and Finance (Fall): 423–464.

Ramakrishnan R. T. S. Thomas J. K. 1993. “Permanent, Transitory, and Price-Irrelevant Components of Reported Earnings.” Working paper, (Fall) New York: Columbia University.

Reilly F. K. 1986. Investments. Orlando, Fla.: Dryden Press.

Salamon G. L. Smith R. D. 1977. “Additional Evidence on Time Series Properties of Reported Earnings per Share.” Journal of Finance (December): 1795–1808.

Taylor S. J. 1992. “Comparing Forecasts in Finance.” International Journal of Forecasting (8): 102–103.

Walsh F. J. 1984. Measuring Business Performance. New York: The Conference Board.

Watts R. L. 1975. “The Time Series Behavior of Quarterly Earnings.” Working paper, South Wales: University of New Castle.

Watts R. L. Leftwich R. W. 1977. “The Time-Series of Annual Accounting Earnings.” Journal of Accounting Research (Autumn): 253–271.

Wei W. S. 1990. Time Series Analysis: Univariate and Multivariate Methods. Reading, Mass.: Addison Wesley.