Seminarium online QFRG i DSLab “The modeling of earnings per share of Polish companies for post-financial crisis period using random walk and ARIMA models“ [09.05.2022]

Podczas 20. seminarium organizowanego w ramach cyklu spotkań QFRG (Quantitative Finance Research Group) i DSLab (Data Science Lab), dr Wojciech Kuryłek z Katedry Gospodarki Narodowej Wydziału Zarządzania Uniwersytetu Warszawskiego przedstawi wyniki „The modeling of earnings per share of Polish companies for post-financial crisis period using random walk and ARIMA models“.

Spotkanie odbędzie się 9 maja 2022 r. od godz. 17:00 za pośrednictwem platformy Google Meet i będzie prowadzone w języku angielskim.

Link do wydarzenia: meet.google.com/gnr-gfbh-fxc

Szczegółowe informacje są dostępne w zaproszeniu.

Abstrakt:

The study compares forecast errors of different univariate time series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis 2008-2009 and the pandemia shock of 2020. Contrary to the findings regarding the US market, these time series behavior is well described by the naive seasonal random walk model, whereas in the US the most adequate models are of a more sophisticated ARIMA type. Therefore, the paper documents that conclusions drawn for the US might not hold for emerging economies because of the much simpler behavior of these markets.