Abstract
The purpose of this study is to investigate the efficacy of combining forecasting models in order to improve earnings per share forecasts. The utility industry is used because regulation causes the accounting procedures of the firms to be more homogeneous than other industries. Three types of forecasting models which use historical data are compared to the forecasts of the Value Line Investment Survey. It is found that predictions of the analysts of Value Line are more accurate than the predictions of the models which use only historical data. However the study also shows that forecasts of earnings per share can be improved by combining the predictions of Value Line with the predictions of other models. Specifically, the forecast error is the least when the Value Line forecast is combined with the forecast of the Brown-Rozeff ARIMA model.
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