In this article, we compare several candidate time-series models for the time-series of quarterly accounting earnings per share. One Box-Jenkins model dominates in terms of forecast accuracy. This model is a Box-Jenkins (1,0,0) x (0,1,1) model

Estimates of future quarterly earnings are of prime importance to capital market participants for formulating their investment decisions. Superior ability to forecast future earnings may enable investors to reap extraordinary returns by trading in the affected securities. The extant forecast...