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Time-series Properties of Earnings and Their Relationship with Stock Prices in Brazil

Author

Listed:
  • Pimentel, Rene Coppe

    (The Foundation Institute of Accounting, Actuarial and Financial Research)

  • Lima, Iran Siqueira

    (University of Sao Paulo)

Abstract

The aim of this paper is to analyze the firm-specific time-series properties of quarterly accounting earnings from 1995 to 2009. Based on the earning time-series process it is possible to develop robust forecasting models and to test the ability to approximate real capital market behaviour using accounting data. By analysing 71 listed Brazilian companies, we found evidence that the time series of quarterly accounting earnings in Brazil follow an autoregressive model (AR) and can be estimated (modelled) by using a seasonal component. Additionally, we found a significant relationship between earnings and stock prices, although the direction of the causality is not generally defined, which suggests that the earnings-return relationship must be analyzed at the firm-specific level.

Suggested Citation

  • Pimentel, Rene Coppe & Lima, Iran Siqueira, 2010. "Time-series Properties of Earnings and Their Relationship with Stock Prices in Brazil," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 1(4), pages 1-43, October.
    • Handle: RePEc:ris:buecrj:0003
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    Cited by:

    1. Renê Coppe Pimentel & Andson Braga de Aguiar, 2012. "Persistence of quarterly earnings: an empirical investigation in Brazil," Brazilian Business Review, Fucape Business School, vol. 9(Special I), pages 38-54, March.

    More about this item

    Keywords

    Emerging markets; Time series; Accounting earnings; Capital market; Valuation;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting

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