Contradicting evidence on time-series and financial analysts’ forecasting performance calls for further research in emerging markets. Motivation to use time-series models rather than analysts’ forecasts stems from recent research that reports time-series predictions to be superior to analysts’ forecasts in predicting earnings for longer periods and for small firms that are hardly followed by financial analysts, especially in emerging markets. The paper aims to explore time-series models performance in forecasting quarterly earnings for Baltic Firms in 2000-2009. The paper uses simple and seasonal random walk models with and without drift, Foster’s, Brown-Rozeff’s and Griffin-Watts’ models to forecast quarterly earnings. It also employs the firm-specific Box-Jenkins methodology to perform time-series analysis for individual firms. Forecasting performance of selected models is compared on the basis of goodness-of-fit statistics. The paper finds that naive time-series models outperform premier ARIMA family models in terms of mean percentage errors and average ranks. The findings suggest that investors use naive models to form their expectations.

This paper investigates asymmetries in price reactions to quarterly earnings announcements on Tallinn, Riga and Vilnius Stock Exchanges during [2000][2001][2002][2003][2004][2005][2006][2007][2008][2009]. The results show weak evidence that the reaction to negative earnings news is lower than to positive news. Earnings response coefficients tend to be the largest in recession and lowest in expansion, but in most cases the differences between them are not big enough to be statistically significant. The results indicate some support for overreaction to bad news in expansion and underreaction to good news in recession. However, due to limitations of this paper arising from the naïve earnings expectations models used and differences in results reported using different state of the economy measures, more powerful tests on more developed markets with better data availability are needed to verify reported tendencies. JEL classification codes: G1

The adoption of the euro is a crucial turning point for the economy of any EU member and the culmination of a long process of exchange rate management and macroeconomic convergence. But how does the prospect of euro area enlargement play out in the countries that have already adopted the euro? Are new members seen as a way to expand the club of like-minded countries, or are they perceived as a threat to stability, either because there exists a moral hazard risk from the side of old members to adopt riskier behavior on behalf of new members or vice versa? This paper looks at the effects of the news of the euro's adoption event in new members on the stock returns of nineteen euro area countries, employing both an event study methodology and APARCH modeling to capture and test the form of responses of European financial market volatility. Our results show that markets were indeed pleased when new members joined the euro area, with negative responses due solely to local conditions rather than euro area-wide travails. In our most interesting finding, the expansion of the euro actually helped to dampen local market volatility in the post-crisis period in the founding member states, while euro adoption quelled volatility both pre-and post-crisis for non-founding members.