MARKET VALUE AND ACCOUNTING GROUNDS: A REVIEW FROM UNIVARIATE AND MULTIVARIATE MODELS OF FORECAST.
DOI:
https://doi.org/10.11606/rco.v9i23.75590Keywords:
Returns of the stocks. ARIMA. VAR. Financial indicators.Abstract
The objective of this research was to compare the profitability of portfolios formed from the best univariate and multivariate models of forecast, identifying the relevance of the accounting information. This comparison was made by using forecasts with ARIMA (univariate) models and VAR models (multivariate). The financial indicators and stock returns were used as input data to generate forecasts and consequent formation of investment portfolios - the time series analysis starts on 30/03/1994, ending up at 30/09/2011 with quarterly data. Within a sample of 20 companies, the investment portfolios were composed of 5 companies with higher expected profitability, later comparing the returns of portfolios formed by univariate models against portfolios formed by multivariate models. The results showed that, in general, the forecasts based on multivariate models tend to provide to the investors superior returns on long-term investments (1 year). On the other hand, the univariate models tend to provide to the investors superior returns on short-term investments (1 quarter). Thus, we can conclude that the accounting information in forecasting models have greater importance in long-term strategies.
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