We extend Ohlson's (1995) model and examine the relationship between returns and residual income that incorporate analysts' earnings forecasts and other non-earnings information variables in the balance sheet, namely default probability and agency cost of a debt covenant contract. We further...

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In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating the high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation...

Transfer function or distributed lag models are commonly used in forecasting. The stability of a constant-coefficient transfer function model, however, may become an issue for many economic variables due in part to the recent advance in technology and improvement in efficiency in data collection...