Univariate Time-Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model

12 Pages Posted: 23 May 2006

See all articles by Lawrence D. Brown

Lawrence D. Brown

Temple University - Department of Accounting

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

In this article, we compare several candidate time-series models for the time-series of quarterly accounting earnings per share. One Box-Jenkins model dominates in terms of forecast accuracy. This model is a Box-Jenkins (1,0,0) x (0,1,1) model.

Keywords: quarterly earnings per share model, accounting earnings model, time-series earnings model

JEL Classification: G14, M41

Suggested Citation

Brown, Lawrence D. and Rozeff, Michael S., Univariate Time-Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model. Journal of Accounting Research, Vol. 17, No. 1, Spring 1979. Available at SSRN: https://ssrn.com/abstract=903552

Lawrence D. Brown

Temple University - Department of Accounting ( email )

Philadelphia, PA 19122
United States

Michael S. Rozeff (Contact Author)

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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