An Econometric Model of a Firm’s Financial Statements
AbstractThis paper reports the construction and testing of an econometric model designed to represent a firm’s financial statements. More specifically, the paper aims at showing how a firm’s financial statements can be empirically explained by means of a simultaneous equations structural model connecting macro and microeconomic (market) variables with accounting variables. We also present forecasts for the financial statements. The firm to which the model is applied is a monopoly in the Brazilian domestic market for petroleum products and the largest Brazilian firm in operation. The results obtained are consistent with the expectations associated to the structural model. Applications stemming from the study include financial analysis, forecasting and planning, as well as firm valuation.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0503020.
Length: 10 pages
Date of creation: 16 Mar 2005
Date of revision:
Note: Type of Document - pdf; pages: 10
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econometric model; accounting; financial statements; Brazilian firm; simultaneous equations;
Find related papers by JEL classification:
- G - Financial Economics
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- Stowe, John D & Watson, Collin J & Robertson, Terry D, 1980. " Relationships between the Two Sides of the Balance Sheet: A Canonical Correlation Analysis," Journal of Finance, American Finance Association, vol. 35(4), pages 973-80, September.
- Marsh, Paul, 1982. " The Choice between Equity and Debt: An Empirical Study," Journal of Finance, American Finance Association, vol. 37(1), pages 121-44, March.
- Otavio Ribeiro de Medeiros & Bernardus Ferdinandus Nazar Van Doornik & Gustavo Rezende de Oliveira, 2011. "Modeling and forecasting a firm’s financial statements with a VAR – VECM model," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 20-39, July.
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