Estimating earnings trend using unobserved components framework

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 107
Issue: 1
Pages: 55-57

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Regressions for predicting long-term stock returns often use moving averages of earnings as the earnings trend. We show that the earnings trend can be directly estimated using unobserved components models. The estimated trends improve the fit of predictive regressions.

Technical Details

RePEc Handle
repec:eee:ecolet:v:107:y:2010:i:1:p:55-57
Journal Field
General
Author Count
2
Added to Database
2026-01-24