regression - Significance of combined lagged and contemporaneous variables - Cross Validated
It is difficult to make a statement about the specifics of your data and model, but different short run relationships into a single measure (e.g. something along. Guidance on good data and record management practices. Background attributable, legible, contemporaneous, original and accurate, commonly referred to as . The definitions given below apply to the terms used in these guidelines. They . records, that allow for an interactive relationship between the user and the. Contemporaneous definition is - existing, occurring, or originating during the relationship. the end of World War II was coincident with a great vintage year.
The relationship between the quarterly stock returns and the quarterly accounting earnings of publicly traded Brazilian firms is not contemporaneous. The quarterly stock returns of publicly traded Brazilian firms anticipate information regarding future quarterly earnings.
The timing of the return-earnings relationship of publicly traded Brazilian firms is greater than or equal to 1. The final sample consisted of firms and resulted in panel data consisting of 8, firm-quarters.
The accounting variables earnings per share EPS and book value of equity per share BVPS were used, which served as a control for the effect of firm size. Both variables were deflated by the stock price at the beginning of the period end of the previous period.
The stock price return was also calculated logarithmically. When possible, preferred stocks were selected because of their greater liquidity.
As detailed below, the study was conducted in two stages, with the use of four econometric models, which required the use of two sets of variables. Observations located in the first and last percentiles of each variable series were excluded to minimize the econometric effect of outliers on the model results. This process resulted in a final sample of 4, firm quarters for the first group of variables and 3, for the second.
For all of these relationships, the respective econometric models were estimated using pooled regressions and panel data. Where a break exists the alternative hypothesis of the testthe use of panel data is recommended. The choice of the appropriate modeling type for the panel, i.
The econometric models employed were based on Beaver et al. Furthermore, the model estimates using these two variables offer additional opportunities to evaluate the adequacy of these proxies for accounting earnings on the return-earnings earnings-return relationship in Brazil.
The functional relationship 3 was estimated using econometric model 6below, which is based on Beaver et al. To evaluate this aspect, quarterly returns were used that were both contemporaneous to earnings and lagged by 1 to 4, 6 and 8 quarters, aiming to analyze the informational relationship of the immediately preceding quarter up to a two-year lag.
It is assumed, therefore, that investor expectations about future earnings are evaluated in response to the new information brought by quarterly earnings and revised and incorporated into prices in the short and medium terms. The relationships of the other coefficients to the lagged returns are expected to prove to be positive and significant. These results will specifically allow hypothesis H0b to be operationally tested and will provide input that together with the other models will allow hypothesis H0c to be tested.
Establishing the same reasoning above, although from the perspective of accounting earnings, it is possible to assume that current earnings respond in an untimely fashion to the current returns.
Thus, assuming a traditional functional relationship between returns and earnings, adding earnings for subsequent periods would offer a better level of explanation of this relationship. Based on this notion, the functional relationship 4 was explored by means of the econometric models below: Model 7 is the traditionally studied relationship Kothari, and model 8 is based on Collins et al.
The following model was therefore used, operationalizing the functional relationship 5: Furthermore, it should be noted that the results obtained with models 78 and 9 will also be required for the proper evaluation of the propositions contained in hypotheses H0b and H0c 4 ANALYSIS OF RESULTS The descriptive statistics of the group of variables used in the first step of the analysis and their correlation matrix are shown in Tables 1 and 2respectively.
After excluding the outliers that were included in the first and last percentiles of the series of each variable, with the exception of the control variable, the initial sample was reduced to 4, observations.
In the first subset of data, the variables representing accounting earnings have very different characteristics, which is to be expected given the means by which each variable was calculated.
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That difference indicates a certain superiority for this variable because its series exhibits less variability. With regard to returns, there is an apparent similarity in the statistics for these two variables.
However, it is interesting to note that there is an almost monotonic increase for all variables as their lags increase, in particular in periods t-6 and, especially, t This possibly shows the influence of the returns of previous periods that were not attained by other series t, The correlation matrix presented in Table 2 shows the existence of a similar linear behavior between accounting earnings and returns for the current and prior periods.
There are few correlations observed for the variable EPSGRit; these correlations, although significant, do not exceed 0. Among these correlations, there is a negative correlation with respect to Rt-6, which is intriguing given the remaining correlations observed for other periods. However, the reason for this result may be linked to the series of Rt-6, given that other negative correlations are observed for that series in relation to the returns of other periods, specifically from quarter t The first relationship examined was that proposed by model 6where the variable representing accounting earnings is estimated as a function of contemporaneous and lagged stock returns.
Table 3 shows the results obtained. In both models, the results reveal a weak or nonexistent relationship between the contemporaneous returns and accounting earnings, indicating the low informational representativeness of the portion st. However, the results indicate that there is a significant level of association if the returns from previous periods are considered. An apparent response pattern was not, however, observed as expected. The intermittency in the quarters and the different signs of the coefficients cannot be explained in general terms, with the exception of the hypothesis that the variable EPSGRit is unrepresentative of the relationship studied here.
This lack of representativeness is suggested by the low or nonexistent correlation with returns Table 2and it contributes to the low explanatory power of the model Adjusted R2 equal to 0. This result suggests that the information expressed in current accounting earnings was already being anticipated by the stock price at least six months previously, which is consistent with the prices lead earnings hypothesis. This perception is reinforced by the linear movements of returns and accounting earnings, signaled by the significant level of correlation observed Table 2.
These results, in general, are consistent with those obtained by Galdi and Lopes and Sales In the second stage of the study, the returns contemporaneous with stock price were estimated on the basis of accounting earnings and the future returns of that price, so a new subset of variables was employed.
Table 4 shows the descriptive statistics of these variables. The series of returns comprising this second data subset show behavior similar to that shown in Table 1i. Considering also the correlations listed in Table 2it can be inferred that the linear behavior of EPSGR has little association with the behavior of past, current and future returns.
Moreover, it can be observed that the correlations between this variable and past returns appear to be higher than those for the current and future periods. This finding suggests that some of the movements for earnings have been "anticipated" by price variations at least a quarter in advance. For model 7satisfactory adjustments highly significant F statistics and acceptable explanatory power for the association studied can be observed in both estimations as shown in Table 6.
Current accounting earnings were not significant, which is consistent with the results obtained with model 6 and is thus consistent with the prices lead earnings hypothesis. Moreover, these results are consistent with Collins et al. The inclusion of earnings from future periods in the relationship above generated random effects in the established multivariate relationship, as verified using the Hausman test not significantwhich required the estimation of the regressions using the random effects model.
This result may indicate that the fixed effects identified in model 5 were generated by the omission of these variables because these are significantly correlated with current earnings and equity, as shown in Table 5.
A premise underlying this study is that the current variations in stock price capture information that will only be reflected in future earnings, so the inclusion of these would increase the explanatory power already verified by model 7. However, as shown in Table 7the explanatory power did not increase. Instead, the adjusted R2 of the estimates decreased. However, it is true that the included variables correlate with those already used, which tends to reduce their effect on the explanatory power.
Moreover, the difference between the techniques used to estimate the models must be considered in this comparison. Alone, this variable was not significant in relation to Rt; however, the inclusion of future variations allowed for the establishment of such significance.
This result suggests that variations in current earnings are only associated with variations in Rt when combined with the variations from the following periods, i. One possible explanation for this finding may be the linear behavior of these variables.
According to Table 5the current earnings show a correlation of 0. The earnings of the following periods, in turn, also have a highly significant correlation with Rt, the coefficients of which are greater than 0. It is difficult to interpret these results beyond the observations made for the correlation coefficient: This result is in keeping with the prices lead earnings notion, but does not represent robust empirical evidence.
These findings can be attributed to measurement errors for these variables. As mentioned in the previous section, these variables have informational portions that do not correlate with the current return, but do with the past returns and, in the case of future earnings, also with the contemporaneous returns future.
These errors cause biases in the estimators and affect the explanatory power of the models because these informational portions represent omitted variables. The inclusion of future returns tends to mitigate some of these problems.
Model 9 contemplates that alternative. Table 8 The results suggest that the inclusion of future returns reduced some of the problems displayed by model 8. It is clear, first, that there is no longer an indication of the presence of random effects in the model.
The explanatory power of the estimates was significantly improved, from 1. The significance of the coefficients was virtually unchanged. These results suggest that it is not possible to rule out a contemporary relationship, but it would only be incremental relative to the earnings of future periods.
In addition, future returns may enhance the explanatory power of the model, a finding in keeping with the assumptions made in this study. To explore this last observation, model 7 was estimated using a stepwise forward analysis for future earnings in an isolated and incremental manner. Table 9 The results confirm that the contemporary relationship between earnings and returns is only revealed when future earnings are considered in the estimation.
It also appears that the explanatory power of the model increased almost monotonically with the gradual inclusion of these variables, increasing from 3. The control level of the firms' idiosyncrasy also contributed to the improvement of the explanatory power of the estimates, as was observed in simulations without this variable.
Despite the significance of current earnings observed in models 6 and 7 and in the final estimates, the dependency on earnings in the following periods apparently weakens the evidence of their timeliness with Rt. However, it can be observed that there is an informational portion contained in current earnings that is contemporaneous to Rt but that can only be obtained after eliminating the effects of the earnings from the following periods on this portion.
This finding is consistent with Kothari and Kothari and Zimmerman because it demonstrates the st portion, which represents the portion of current earnings that is a surprise to the market and therefore correlated with Rt.
It is interesting to note that in addition to the significance of the current earnings coefficient, its increase in magnitude in absolute terms can also be observed in all estimations, suggesting that the effects of st on Rt are representative but obscured by the omission of the portion.
The indication of a negative relationship contradicts the theory; however, it is possible that the relationship could be explained by the effects of conservatism, which impose a bias with respect to bad news about st.
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This explanation is in keeping with the results obtained by Paulo, Sarlo Neto and Santos Another aspect that should be considered in the present analysis is the possible effect on the return-earnings relationship of the recent adoption of international accounting standards in Brazil. The evidence gathered in this regard indicates that the associative capacity of accounting earnings should have improved Lima, Rodrigues, These results suggest that the adoption of international standards has generated residual effects on the timing of the return-earnings relationship, especially in light of the findings related to timeliness and conservatism.
Moreover, despite the improvement of the associative capacity of accounting earnings, the findings obtained with models 7 and 8 show that an improvement in that capacity was not sufficient to eliminate non-timeliness. However, it should be noted that the time window analyzed here considers the periods pre and post adoption of those standards, which may obscure observation of their effects.
The study was developed using four econometric models based on the proposals of Beaver et al. The results, in general, are consistent with the theoretical assumptions explored herein because there is evidence that returns anticipate information about future earnings and that the representativeness of current earnings is residual.
The findings suggest that prices have informational content regarding future earnings, thereby indicating that the prices lead earnings phenomenon occurs in Brazil. Specifically with regard to the research hypotheses, hypothesis H0a must be rejected because the results obtained with models 6 and 7 do not provide evidence for the contemporaneity of the return-earnings relationship, although the inclusion jointly or alone of future quarterly earnings in the estimation did reveal such timing.
It is thus found that the elimination of the effects of future earnings on current earnings in measuring the association between the latter and the current returns elicited the informational representativeness of portion st. The results obtained with the reverse regression, model 6indicate that quarterly returns anticipate the information contained in future quarterly earnings, thus leading to the rejection of hypothesis H0b.
It is worth noting that this anticipation would have occurred at least 8 quarters ago, a process that lasted until the quarter immediately preceding the current one.
These results were consistent with those obtained with models 7 and 9 with respect to the associative capacity of future quarter earnings with the current return. However, despite the empirical evidence mentioned above, it was not possible to determine the timing of the quarterly return-earnings relationship in Brazil because if on one hand, past returns are associated with current earnings, on the other, the significance of future earnings in explaining current returns depends on the arrangement of the independent variables considered in the model.
The evidence of timeliness between the returns and current earnings, even if dependent on the inclusion of future earnings, does not dispel the indication of a timing equal to zero, thus leading to the rejection of hypothesis H0c.
The findings in this study contribute to the national literature because they provide a greater understanding of the temporal aspects of the return-earnings relationship in Brazil, which was hitherto relatively unexplored from the perspective employed here. Furthermore, the results indicate that it is possible to improve the models aimed at studying the associative capacity of current earnings using a methodological refinement, the inclusion of future earnings for at least one period, thus contributing to the advancement of research in the area.
In a practical sense, the indication of the anticipative capacity of stock returns of Brazilian firms in relation to their future earnings suggests for investors, financial analysts, firms and creditors that the stock return may represent a useful informational source in their assessment of a firm's capacity to generate earnings.
In addition, as the results presented here demonstrate to some extent the untimeliness of accounting earnings, they may be an indication, at least for investors, of a qualitative deficiency in accounting information. The results can also provide support for standard setters and regulators when assessing the usefulness of the financial-accounting information that is disseminated in Brazil for those users and, ultimately, of the adequacy of the accounting standards observed.
This study presents a number of methodological limitations, among them being a lack of the following: Alternatively, the risk for suicidal behavior during episodes of psychiatric disorders may continue or intensify from adolescence through young adulthood. For example, in the face of stresses associated with the developmental transitions, existing dispositions and action patterns may become accentuated as individuals rely upon past behavioral patterns to adapt to changes cf.
Difficulties experienced by adolescents with earlier developmental tasks e. Such cascading developmental difficulties may contribute to continuity in risk or a strengthening of risk for poor outcomes, particularly in the context of emotional and behavioral dysregulation.
Longitudinal studies that track course of disorder and suicidality as youths grow older may provide important information for disentangling these possibilities and understanding developmental changes in risk for suicidal behavior. Another important question is the degree to which specific patterns or combinations of disorders increase risk for suicidal behavior. To the extent that different disorders each confer a certain amount of risk, young people with a greater number of disorders should be at higher risk for suicide attempts than individuals with single disorders.
However, there may be certain combinations of disorders or developmental trajectories of these disorders that work together in a synergistic manner to increase risk beyond that expected from the sum of the individual disorders.
Nonetheless, no repeated assessments longitudinal studies to date have prospectively examined the relationship between psychiatric disorders over time and the proximal occurrence of both first-time and repeat suicide attempts. Differences over time between repeat and single attempters may help shed light on which young people are at risk for recurrent suicidal behavior.
For this study, we focused on a sample known to be at high risk for suicidal behavior—youths who have been psychiatrically hospitalized Goldston et al. Using data from a prospective, naturalistic, repeated assessments study of adolescents for up to 13 years following hospitalization, we addressed two primary questions. First, what psychiatric disorders and combinations of disorders i. Second, does the relationship between contemporaneous psychiatric disorder or comorbidities and suicide attempts change as youths get older?
A secondary aim of this study was to examine in a descriptive manner the rates of contemporaneous psychiatric disorders associated with first-time and repeat suicide attempts. Method Participants The participants in this longitudinal study were recruited from consecutive discharges to an adolescent psychiatric inpatient unit between September and April The recruitment site was a private, medical-school affiliated teaching hospital that accepted all forms of insurance, including Medicaid, and a limited number of patients without coverage.
Youths were not chosen on the basis of their history of suicidal behavior. The inclusion criteria were as follows: Exclusion criteria were as follows: Inwhen this study was initiated, the average length of stay in an adolescent inpatient psychiatry unit was Youths with stays at least at this facility shorter than 10 days were often viewed as having denied problems upon admission, or they were discharged or transferred because of inappropriateness of admission.
To recruit the sample, we attempted contact with adolescents and their families 6 months after their hospital discharge.
One youth died of cardiac problems before he could be asked to participate. We successfully contacted At hospitalization, the mean age of this sample at index hospitalization was Of the remaining youths, the socioeconomic status as classified by Hollingshead's index was as follows: This is an ongoing study in which participants are still being followed.
Because recruitment occurred over a 4-year period of time, participants who entered the study at the beginning of recruitment have been followed longer than participants who were recruited at the end of the recruitment frame. As of the cutoff for these analyses April 3,participants in the study had been followed up to By this cutoff, a cumulative 9.
Of the 7 participants who died, 2 were victims of homicide, 1 was a victim of a house fire secondary to substance use, 1 had significant physical health problems secondary to substance use, and 3 were involved in motor vehicle accidents MVAs.
Among individuals who died in MVAs, 1 individual was hit by a drunk driver, 1 fell asleep at the wheel after driving all night and striking another vehicle, and 1 was in a motorcycle accident. To our knowledge, none of the MVAs were considered to be single-driver suicides.Relationship types in DBMS
The mean age of the participants as of the cutoff date for analyses, or the last date of assessment for participants no longer in the study, was Adolescents were assessed at their index hospitalization. Subsequent assessments, which were the focus of this study, were initially scheduled every 6—8 months and later were scheduled annually. The actual scheduling of follow-up assessments varied within and between participants because of their schedules and preferences, staff shortages, and occasions when participants moved without providing new contact information in such cases, we continued trying to locate participants until they were found.
The total number of assessments by the cutoff date for this report was 1, The average number of research assessments for active participants was The average number of assessments for participants lost to attrition or death was 4. Other reports from this longitudinal study have focused on the degree to which factors assessed at hospitalization are predictive of later suicide attempts Goldston et al.
For follow-up assessments, the ISCA was administered to adolescents and an adult informant typically a parent until adolescents were 18 years of age or living independently. Following their 18th birthday, participants were administered the FISA. The ISCA and FISA were administered by master's- and doctoral-level mental health professionals extensively trained in the administration of the semi-structured interviews.
Training was conducted or supervised by David B. Goldston, who in turn was trained by the developer of the semistructured instruments Maria Kovacs. Additional feedback was offered during periodic review of research records and the process of diagnostic reviews described below.
Prices lead earnings in Brasil?
Each research assessment began with an open-ended interview, which provided the occasion for developing a detailed timeline on which important dates of life events and transitions were noted.
Building upon this timeline method, the chronology of psychiatric symptoms was tracked at each follow-up assessment. That is, we delineated a window of time using all available information and reports, and we operationally defined the onset as the midpoint of the defined window of time. For example, if a participant reported that a symptom began between Thanksgiving and New Year's Day, we would estimate the onset of that symptom to the midpoint of that window of time.
Psychiatric diagnoses were assigned when participants met full diagnostic criteria for disorders. Until the yeardiagnoses were assigned in accordance with Diagnostic and Statistical Manual of Mental Disorders 3rd ed. As such, we have been able to use the same interviews throughout the life of this study. In those cases when youths had psychiatric disorders that began prior to hospitalization and continued after hospitalization, the onset dates for these disorders were arbitrarily set to the date of discharge from the index hospitalization, the beginning of the current study.
Disorders were offset after participants no longer evidenced two or more clinically significant symptoms associated with the diagnosis. To assign an offset date, we required that participants be asymptomatic for 2 months or 6 months in the case of conduct disorder or 1 year for substance use disorder. When participants continued to evidence symptoms of disorders but no longer met full diagnostic criteria, they were considered to still be in partial remission and were counted as continuing in the episodes of the disorders Kovacs et al.
The predictive validity of ISCA-derived diagnoses has been demonstrated in this longitudinal study Goldston et al. Initial diagnoses were assigned by research clinicians who conducted the interviews. To minimize the possibility of individual biases in diagnoses, research clinicians who did not conduct the interview reviewed initially assigned diagnoses, and these were discussed in conference. Although information provided during the diagnostic interviews was primarily relied upon in assigning diagnoses, additional information—such as treatment records, legal records, and school records—was also considered.
Ancillary records were most useful in clarifying dates when symptoms were present e.