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W. Beaver, P. Griffin, W. Landsman (1982)
The incremental information content of replacement cost earningsJournal of Accounting and Economics, 4
R. Watts, R. Leftwich (1977)
TIME-SERIES OF ANNUAL ACCOUNTING EARNINGSJournal of Accounting Research, 15
D. Hanssens (1977)
AN EMPIRICAL STUDY OF TIME-SERIES ANALYSIS IN MARKETING MODEL BUILDING.
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Risk, Information, and the Effects of Special Accounting Items on Capital Market EquilibriumJournal of Accounting Research, 13
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SOME TIME SERIES PROPERTIES OF ACCOUNTING INCOMEJournal of Finance, 27
W. Hopwood (1978)
On the automation of the Box-Jenkins modeling procedures : an algorithm with an empirical test / BEBR No. 500
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W. Albrecht, Ll Lookabill, janet McKeown (1977)
TIME-SERIES PROPERTIES OF ANNUAL EARNINGSJournal of Accounting Research, 15
P. Griffin (1977)
Time-Series Behavior Of Quarterly Earnings - Preliminary EvidenceJournal of Accounting Research, 15
Sidney Davidson, R. Weil (1975)
Inflation Accounting: What Will General Price Level Adjusted Income Statements Show?Financial Analysts Journal, 31
Abstract. This empirical study is a response to the FASB's call for further research into the properties of alternative accounting measurement methods. There exists no empirical evidence on the time‐series properties and predictability of general price level (GPL)‐adjusted annual earnings data. In order to assess the effect of the monetary gains or losses on the stochastic properties of GPL‐adjusted data, earnings were calculated both with and without inclusion of the monetary gains or losses. The results of the time‐series analysis of the earnings series across the alternative accounting methods indicated that (a) just under one‐half of the historical cost (HC) series followed a random‐walk‐type process with most of the remainder being autoregressive, and (b) the GPL series showed substantially fewer following a random walk process with a corresponding increase in the number of stationary series (modeled as autoregressive or white noise processes). The predictive ability results were consistent with the time series findings. That is, application of a random‐walk model to the HC series indicated that these series were fairly well‐represented by the random walk, but a similar application to the GPL series confirmed that these series were not as well‐represented by a random walk. Résumé. L'étude empirique qui fait l'objet du présent article a été effectuée en réponse à l'invitation du FASB à poursuivre les recherches sur les attributs des méthodes de mesure comptable de rechange. Il n'existe aucune démonstration empirique des attributs des séries chronologiques et de la valeur prédictive des données relatives aux bénéfices annuels indexés sur le niveau général des prix (N.G.P.). En vue d'évaluer l'incidence des gains ou des pertes monétaires sur les propriétés stochastiques des données indexées sur le N.G.P., les bénéfices on été calculés à la fois avec et sans la prise en compte des gains ou des pertes monétaires. Les résultats de l'analyse chronologique des séries de données relatives aux bénéfices à travers les différentes méthodes comptables ont donné lieu aux constatations suivantes: a) à peine moins de la moitié des séries de données au coût d'origine (C.O.) ont connu des variations de type aléatoire, la plupart des autres séries étant autorégressives, et b) beaucoup moins de séries de données indexées sur le N.G.P. ont affiché des variations aléatoires avec une augmentation correspondante du nombre de séries stationnaires (modélisées comme étant autorégressives). Les résultats relatifs à la valeur prédictive étaient compatibles avec les résultats de l'analyse chronologique. En d'autres termes, l'application d'un modèle aléatoire aux séries de données au C.O. a permis de constater que ces séries sont assez bien représentées par la méthode aléatoire, mais l'application du même modèle aux séries de données indexées sur le N.G.P. confirme que ces séries ne sont pas aussi bien représentées par la méthode aléatoire.
Contemporary Accounting Research – Wiley
Published: Mar 1, 1988
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