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On the Robustness of ARIMA-Based Benchmarks for Corporate Financial Planning Quality

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Martin, Jochen ; Setzer, Thomas:
On the Robustness of ARIMA-Based Benchmarks for Corporate Financial Planning Quality.
In: 2014 47th Hawaii International Conference on System Sciences (HICSS 2014) : Waikoloa, Hawaii, USA, 6 - 9 January 2014. - Hawaii, USA, 2014. - S. 1221-1229
ISBN 978-1-4799-2504-9 ; 978-1-4799-2505-6

Volltext

Link zum Volltext (externe URL): https://doi.org/10.1109/HICSS.2014.158

Kurzfassung/Abstract

Corporate financial planning relies on thousands of financial forecasts generated by human forecasters with varying performance (forecast errors). Previous work proposes ARIMA prediction as a competitive benchmark for manual forecasts. However, ARIMA can also produce large errors, and a company needs to understand sensitivity of ARIMA-outcome to time series characteristics before ARIMA-benchmarks can be established. Using forecast data provided by a global corporation, we present sensitivity analysis of ARIMA on shifts in fitting periods including the financial crises. Results show that ARIMA leads to rather robust performance, on average dominating human forecasters, with some huge errors not made by forecasters. We conclude that ARIMA can be applied to generate benchmarks in financial planning, which can then be refined to reflect novel expectations.

Weitere Angaben

Publikationsform:Aufsatz in einem Buch
Institutionen der Universität:Wirtschaftswissenschaftliche Fakultät > Betriebswirtschaftslehre > Lehrstuhl für Allgemeine Betriebswirtschaftslehre und Wirtschaftsinformatik
DOI / URN / ID:10.1109/HICSS.2014.158
Titel an der KU entstanden:Nein
Eingestellt am:06. Okt 2020 10:09
Letzte Änderung:06. Okt 2020 16:14
URL zu dieser Anzeige:http://edoc.ku-eichstaett.de/24933/