Using Quarterly Earnings to Predict Stock Price

10.6293/AQAFA.2011.09.09

Huong N. Higgins

Residual income model ； Auto-correlation ； Serial correlation ； Seasonality ； Stock price prediction

Advances in Quantitative Analysis of Finance and Accounting

9期（2011 / 06 / 01）

239 - 259

英文

The main purpose of this paper is to develop a stock price prediction model based on quarterly earnings forecasts. The prediction model is based on the residual income model by Ohlson (1995), and adjustment for autocorrelation by Higgins (2009). Prior research has not used quarterly data out of concern for seasonality. However, seasonality can be removed by including four consecutive quarterly terms of abnormal earnings in each price equation. The prediction results suggest that quarterly earnings forecasts can be useful inputs to models of price forecasts.

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