search query: @author Lorek, K. / total: 2
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| Author: | Lorek, K. Willinger, G. |
| Title: | A multivariate time-series prediction model for cash-flow data |
| Journal: | Accounting Review
1996 : JAN, VOL. 71:1, p. 81-102 |
| Index terms: | CASH FLOW TIME SERIES CAPITAL TRANSFER TAX |
| Language: | eng |
| Abstract: | This paper provides evidence on the time-series properties and predictive ability of cash-flow data. It employs a sample of firms on which the accuracy of one-step ahead cash-flow predictions is assessed during the 1989- 1991 holdout period. The authors develop a new multivariate time-series prediction model that employs past values of earning, short-term accruals and cash-flows as independent variables in a time-series regression. results indicate that this model clearly outperforms firm-specific and common-structure ARIMA models as well as a multivariate, cross-sectional regression model popularized in the literature. |
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