Can Exponential Smoothing do Better than Seasonal Random Walk for Earnings Rer Share Forecasting in Poland?

• Autorzy: Wojciech Kuryłek

Warianty tytułu

Czy wygładzanie wykładnicze może dawać lepsze wyniki niż błądzenie losowe w prognozowaniu zysków na jedną akcję w Polsce?

• Języki publikacji: EN

Abstrakty

EN

The accurate prediction of listed companies' earnings plays a critical role in successful investing. This piece of research contrasts estimation errors of the seasonal random walk model and exponential smoothing models employed in the earnings per share (EPS) data for Polish listed businesses from the timespan between 2008-2009. The models are compared using the mean arctangent absolute percentage error (MAAPE) metric. The best model across all quarters and years is the seasonal random walk (SRW) model, when contrasted with the other models studied regardless of the analysed time spans and error metrics. Contrary to the results obtained from the US market, the more intricate exponential smoothing model, comprising a seasonal and a trend component, does not suitably explain the behaviour of Polish companies. This could be attributable to the simpler demeanour of the Polish market and the absence of a trend in the EPS data. (original abstract)

Niniejszy artykuł ma trzy cele. Pierwszym jest sprawdzenie, czy ostatnie wnioski o wyższości wygładzania wykładniczego są aktualne również dla rynku polskiego. Drugim jest zbadanie powyższej istotności przy użyciu danych kwartalnych, ponieważ wszystkie istniejące badania opierały się na danych rocznych. Trzeci polega na zmodyfikowaniu powszechnie stosowanej w analizie miary błędu prognozy (MAPE), aby poradzić sobie z kłopotliwymi sytuacjami. Modelem dającym we wszystkich kwartałach i latach najmniejsze błędy okazało się sezonowe błądzenie losowe (SRW), które na polskim rynku sprawdza się dość dobrze w porównaniu z bardziej skomplikowanymi modelami wygładzania wykładniczego. (skrócony abstrakt oryginalny)

Słowa kluczowe

EN

Earnings per Share (EPS); Forecasting; Stock market companies

PL

Zysk na akcję; Prognozowanie; Spółki giełdowe

• Czasopismo: Bank i Kredyt
• Rocznik: 2023
• Numer: nr 6
• Strony: 651--672

Twórcy

autor

Wojciech Kuryłek

• University of Warsaw

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