Seasonal Adjustment Without Revisions A Real-Time Approach - Original PDF
نویسندگان: Barend Abeln · Jan P. A. M. Jacobs
خلاصه: Preface In the 1980s, the first author was asked for information about profit prospects of a number of companies, in order to predict the change of their prices on the stock market. He looked up annual reports and recent interim results of these companies and noted that interim results consisted largely of a comparison of recent quarterly results to those of the same quarter of the preceding year. Moreover, stock prices reacted instantly to the outcomes of these comparisons. He was struck by the fact that these outcomes were frequently predictable: If there had been an up or down in the preceding year’s quarterly result, this would affect the comparison to the recent quarter. If last year’s ups or downs had been large, such as a profit on the sale of a construc- tion, or a depreciation of goodwill, these would be referred to in the comparison of the present quarterly report and would not come as a surprise and have little or no impact on stock prices. But if the market had become used to rising quarterly profits of Company X to the tune of say 1% over the preceding year, then an increment of ‘only’ 0.5% in the recent quarter would have a negative impact on the stock prices. Yet, this slight reduction in the profit’s increment may have its cause not in the present quarter, but in the preceding year or in the preceding few quarters. But then it is predictable