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The modeling of earnings per share of Polish companies for the post-financial crisis periodusing random walk and ARIMA models

Author

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  • Wojciech Kurylek

    (University of Warsaw, Faculty of Management)

Abstract

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

Suggested Citation

  • Wojciech Kurylek, 2023. "The modeling of earnings per share of Polish companies for the post-financial crisis periodusing random walk and ARIMA models," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(19), pages 26-43.
    • Handle: RePEc:sgm:jbfeuw:v:1:y:2023:i:19:p:26-43
    DOI: 10.7172/2353-6845.jbfe.2023.1.2
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    File URL: https://press.wz.uw.edu.pl/jbfe/vol2023/iss19/2/
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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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