Time series versus cross-sectionally derived predictions of future cash flows

摘要: Abstract We refine the analysis of annual cash-flow prediction models originally developed and tested by Dechow et al. (1998), Barth (2001) Kim Kross (2005) using cash flow from operations data reported in accordance with FASB Standard No. 95 for a constant sample 1111 firms. estimated both cross-sectionally on time-series basis to assess whether restricting firm-specific parameter estimation cross-sectional approach adversely affects predictive performance. Predictive ability is assessed via “out-of-sample” forecasts an inter-temporal holdout period (2001–2005) not used model estimation. provide new evidence that significantly greater enhancement performance obtained when are versus cross-sectionally. These inferences robust across one-year ahead predictions or one-thru-five-year predictions. find relative accuracy unaffected aforementioned employ flows net earnings as independent variables. Finally, we also highly sensitive firm size. That is, relatively larger firms more accurate than those smaller models.