Una evaluación empírica de los métodos de predicción de la rentabilidad y su relación con las características corporativas

An empirical evaluation of profitability prediction methods and their relation with corporate characteristics

Autores/as

  • Juan Monterrey Mayoral Universidad de Extremadura, Badajoz, España
  • Amparo Sánchez Segura Universidad de Extremadura, Badajoz, España
DOI: https://doi.org/10.1016/j.rcsar.2016.08.001
Palabras clave: Capacidad predictiva, Rentabilidad, Análisis de estados financieros

Resumen

En el presente trabajo llevamos a cabo una evaluación crítica de los métodos de predicción de la rentabilidad basados en el concepto de persistencia, probando su eficacia sobre una amplia muestra de empresas españolas. Nuestros resultados ponen de manifiesto cómo 2 de las técnicas analizadas, la autorregresiva y la de separación de componentes, aportan las estimaciones de mayor calidad en la mayoría de las ocasiones y exhiben, en líneas generales, el mayor contenido predictivo incremental para diferentes especificaciones de la rentabilidad y para horizontes temporales a uno y 5 años. Además, la evidencia obtenida también revela que la calidad de las predicciones no depende solamente de la elección del método de estimación, sino que también guarda una importante relación con las propias características corporativas de las compañías, tales como el tamaño, las tasas de crecimiento o los niveles actuales de rentabilidad.

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Citas

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Publicado
01-01-2017
Cómo citar
Monterrey Mayoral, J., & Sánchez Segura, A. (2017). Una evaluación empírica de los métodos de predicción de la rentabilidad y su relación con las características corporativas: An empirical evaluation of profitability prediction methods and their relation with corporate characteristics. Revista De Contabilidad - Spanish Accounting Review, 20(1), 95-106. https://doi.org/10.1016/j.rcsar.2016.08.001
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