Quarterly GPPA earnings data: Time-series properties and predictive ability results in the airlines industry

This paper provides preliminary results regarding the impact of general purchasing power adjustments (GPPA) on quarterly earnings for 24 firms from the airlines industry. Findings indicated that GPPA transformations do not substantially alter the time-series properties of quarterly earnings data. Two Box-Jenkins models, (100) × (100) and (100) × (110) were identified as possible parsimonious models for the airlines industry. It is recommended that these structures be considered as viable candidates for earnings expectations models in market studies testing for informational content of GPPA earnings. The predictive findings demonstrated that predictions of historical cost quarterly earnings were significantly more accurate than GPPA predictions for four of the five horizons tested.