Autoregressive Modeling of Earnings-Investment Causality

Sasson Bar Yosef, Jeffrey L Callen and Joshua Livnat

Journal of Finance, 1987, vol. 42, issue 1, 11-28

Abstract: The purpose of this paper is to empirically test the relationships between corporate earnings and investment. In particular, the study investigates whether knowledge of past investments improves the prediction of future earnings beyond predictions that are based on past earnings alone. Similarly, it investigates whether knowledge of past earnings improve the prediction of future investments beyond knowledge of past investments alone. This is the empirical definition of Granger causality. The empirical results show that the bivariate past series of earnings and investments is superior to the univariate series in predicting future investment, but not in predicting future earnings. Copyright 1987 by American Finance Association.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819870 ... O%3B2-R&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:42:y:1987:i:1:p:11-28

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().