EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?

The study considered evaluating the predictive capacity of the mean reversion models, accrual adjustments and financial performance signals in relation to the random walk process of the firms of the Stock Market of Buenos Aires. The profitability study is carried out by the asset profitability. Firs...

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Autores principales: Terreno, Dante Domingo, Sattler, Silvana Andrea, Castro González, Enrique Leopoldo
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) 2020
Materias:
Predicción. Rentabilidad. Random walk.
Forecast. Profitability. Random walk.
Acceso en línea:https://ojs.economicas.uba.ar/RIMF/article/view/1971
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1971_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-1971_oai
record_format dspace
spelling I28-R145-1971_oai2025-02-11 Terreno, Dante Domingo Sattler, Silvana Andrea Castro González, Enrique Leopoldo 2020-12-10 The study considered evaluating the predictive capacity of the mean reversion models, accrual adjustments and financial performance signals in relation to the random walk process of the firms of the Stock Market of Buenos Aires. The profitability study is carried out by the asset profitability. First, the panel data method with fixed effects exhibits greater accuracy of the profitability criteria in relation to OLS. Second, the analysis of the models reveals that the profitability of the current asset is the main variable that explains the change in the profitability of the assets of the next year, followed by the accrual adjustments and the turnover of non-current assets. Third, the validation demonstrates a greater accuracy of those detected in the 3 models in relation to random walk and the most accurate model is the financial performance signals. However, the random walk should not be diminished. En el estudio se planteó evaluar la capacidad predictiva de la rentabilidad de los modelos de reversión a la media, ajustes por devengo y señales financieras de desempeño con relación al proceso de random walk de las empresas del Mercado de Valores de Buenos Aires. El estudio de la rentabilidad es efectuado por la rentabilidad de activo. Primero, el método de datos de panel con efectos fijos exhibe una mayor precisión de los pronósticos de la rentabilidad en relación con MCO. Segundo, el análisis de los modelos revela que la rentabilidad del activo actual es la principal variable que explica el cambio de la rentabilidad de los activos del año siguiente, seguido por los ajustes por devengo y la rotación de los activos no corrientes. Tercero, la validación demuestra una mayor precisión de los pronósticos de los 3 modelos con relación a random walk y el modelo más preciso es el de señales financieras de desempeño. No obstante, random walk no debe descartárselo. application/pdf text/html https://ojs.economicas.uba.ar/RIMF/article/view/1971 spa Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) https://ojs.economicas.uba.ar/RIMF/article/view/1971/2690 https://ojs.economicas.uba.ar/RIMF/article/view/1971/2718 Revista de Investigación en Modelos Financieros; Vol. 2 (2020): Revista de Investigación en Modelos Financieros; 106-126 2250-6861 2250-687X Predicción. Rentabilidad. Random walk. Forecast. Profitability. Random walk. EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS? EVALUACIÓN EMPÁRICA DE LOS MÉTODOS DE PREDICCIÓN DE LA RENTABILIDAD: ¿RANDOM WALK O MODELOS DE REGRESIÓN? info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1971_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Predicción. Rentabilidad. Random walk.
Forecast. Profitability. Random walk.
spellingShingle Predicción. Rentabilidad. Random walk.
Forecast. Profitability. Random walk.
Terreno, Dante Domingo
Sattler, Silvana Andrea
Castro González, Enrique Leopoldo
EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
topic_facet Predicción. Rentabilidad. Random walk.
Forecast. Profitability. Random walk.
description The study considered evaluating the predictive capacity of the mean reversion models, accrual adjustments and financial performance signals in relation to the random walk process of the firms of the Stock Market of Buenos Aires. The profitability study is carried out by the asset profitability. First, the panel data method with fixed effects exhibits greater accuracy of the profitability criteria in relation to OLS. Second, the analysis of the models reveals that the profitability of the current asset is the main variable that explains the change in the profitability of the assets of the next year, followed by the accrual adjustments and the turnover of non-current assets. Third, the validation demonstrates a greater accuracy of those detected in the 3 models in relation to random walk and the most accurate model is the financial performance signals. However, the random walk should not be diminished.
format Artículo
publishedVersion
author Terreno, Dante Domingo
Sattler, Silvana Andrea
Castro González, Enrique Leopoldo
author_facet Terreno, Dante Domingo
Sattler, Silvana Andrea
Castro González, Enrique Leopoldo
author_sort Terreno, Dante Domingo
title EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
title_short EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
title_full EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
title_fullStr EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
title_full_unstemmed EMPIRICAL EVALUATION OF PROFITABILITY FORECAST METHODS: RANDOM WALK OR REGRESSION MODELS?
title_sort empirical evaluation of profitability forecast methods: random walk or regression models?
publisher Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
publishDate 2020
url https://ojs.economicas.uba.ar/RIMF/article/view/1971
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1971_oai
work_keys_str_mv AT terrenodantedomingo empiricalevaluationofprofitabilityforecastmethodsrandomwalkorregressionmodels
AT sattlersilvanaandrea empiricalevaluationofprofitabilityforecastmethodsrandomwalkorregressionmodels
AT castrogonzalezenriqueleopoldo empiricalevaluationofprofitabilityforecastmethodsrandomwalkorregressionmodels
AT terrenodantedomingo evaluacionemparicadelosmetodosdepredicciondelarentabilidadrandomwalkomodelosderegresion
AT sattlersilvanaandrea evaluacionemparicadelosmetodosdepredicciondelarentabilidadrandomwalkomodelosderegresion
AT castrogonzalezenriqueleopoldo evaluacionemparicadelosmetodosdepredicciondelarentabilidadrandomwalkomodelosderegresion
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