In this paper we investigate the relation of the value/growth anomaly with the anomaly on corporate financing activities. We find that value/growth and external financing indicators could be related in capturing stock returns attributable to sales growth. However, external financing indicators...

The Theta model created a lot of interest in academic circles due to its surprisingly good performance in the M3 forecasting competition. However, this interest was not followed up by other studies, with the exception of Hyndman and Billah in 2003. In addition, the Theta model performance has...

We significantly extend earlier work by Assimakopoulos and Nikopoloulos (2000) and Hyndman and Billah (2003) on the properties and performance of the Theta model, and potentially explain its very good performance in the M3 forecasting competition. We derive a number of new theoretical results...

In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root data generating process we: (a) derive new theoretical formulations for the application of the method on multivariate time series, (b) investigate the conditions for which the...

In this study building on earlier work on the properties and performance of the univariate Theta method for a unit root data‐generating process we: (a) derive new theoretical formulations for the application of the method on multivariate time series; (b) investigate the conditions for which...

Empirical research suggests that quantitatively derived forecasts are very frequently judgementally adjusted. Nevertheless, little work has been conducted to evaluate the performance of these judgemental adjustments in a practical demand/sales context. In addition, the relevant analysis does not...

Demand forecasting is a crucial aspect of the planning process in supply-chain companies. The most common approach to forecasting demand in these companies involves the use of a computerized forecasting system to produce initial forecasts and the subsequent judgmental adjustment of these...

Analysts have claimed over the last years that the volatility of an asset is caused solely by the random arrival of new information about the future returns from the underlying asset. It is a common belief that volatility is of great importance in finance and it is one of the critical factors...