R help - Oct 2008 - forecasting earnings, sales and gross margin of a company...

Hi all,

I am playing with some companies' balance sheets and income statements
and want to apply what I've just learned from Stats class to see if I
can forecast the companies earnings, sales and gross margin in the
short term (3rd and 4th Quarter), mid-term (2009) and long term (2011,
etc. )

I pulled up some data from companies' financial statements over the
past a few years. The companies are techs so don't have long history.
And given regime switching and big changes in the macro condition, I
think long historical data have no use any way... so I have quarterly
and annual data... and I probably need some other time series, for
example the GDP, interest rate, consumer spending, etc.

How do I forecast the performance of the firms using R? I don't have
much experience yet, for example, I probably have to de-trend the
timeseries first, and then do some seasonality adjustment, etc. but I
think it's very fun. Are there good hands-on tutorials about how to do
these things in R, with realistic examples?

Thanks a lot!

Dealing with accounting data is, in statistical terms, an ill-posed problem -
there is not much data and quite a few dimensions. That said, there is a lot of
research out there on applying statistical techniques to accounting data for the
purposes of prediction and classification. But most prediction based on
financial statements is based on much more fundamental techniques (e.g. a
discounted cash flow analysis).

Rory


Rory Winston
RBS Global Banking & Markets
Office: +44 20 7085 4476

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces
at stat.math.ethz.ch] On Behalf Of Michael
Sent: 22 October 2008 23:26
To: r-help; r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] forecasting earnings, sales and gross margin of a
company...

Hi all,

I am playing with some companies' balance sheets and income statements and
want to apply what I've just learned from Stats class to see if I can
forecast the companies earnings, sales and gross margin in the short term (3rd
and 4th Quarter), mid-term (2009) and long term (2011, etc. )

I pulled up some data from companies' financial statements over the past a
few years. The companies are techs so don't have long history.
And given regime switching and big changes in the macro condition, I think long
historical data have no use any way... so I have quarterly and annual data...
and I probably need some other time series, for example the GDP, interest rate,
consumer spending, etc.

How do I forecast the performance of the firms using R? I don't have much
experience yet, for example, I probably have to de-trend the timeseries first,
and then do some seasonality adjustment, etc. but I think it's very fun. Are
there good hands-on tutorials about how to do these things in R, with realistic
examples?

Thanks a lot!

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