MBAR Models: A Test of ARIMAX Modelling

Anastasia Maggina ()
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Anastasia Maggina: Papakostandinou 12, Avlona Attikis 19011, Greece

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2011, vol. 14, issue 02, 347-366

Abstract: The main purpose of this paper is to provide evidence on some of the standard models of accounting earnings and returns relations mainly collected through the literature. Standard models such as earnings level and earnings changes, among others, have been investigated in this study. Models that correspond better to the data drawn from the Athens Stock Exchange have been selected. Models I, II, V, VII and IX have statistically significant coefficients of explanatory variables. In addition, model II with the MSE (minimum value of squared residuals) loss function in ARIMAX (2,0,2) is prevalent. Models that include prior earnings in various forms using levels, changes in price and changes in earnings, change in price to beginning price, lagged parameters and differentiated price models have statistically significant explanatory power.

Keywords: Market-based accounting research; stock prices; stock returns; earnings level; earnings changes; ARIMAX (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1142/S0219091511002299

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