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Author: Lawrence D. Brown Publisher: ISBN: Category : Languages : en Pages : 16
Book Description
If both producers and consumers demand forecasts based solely on their forecasting ability, then the equilibrium employment of analysts, a higher cost factor than time series models, implies that analysts must produce better forecasts than time series models. Past studies of comparative earnings forecast accuracy have concluded otherwise. Using nonparametric statistics that provide proper yet powerful tests, we find that Box-Jenkins time series models consistently produce better forecasts than martingale and submartingale earnings models; but Value Line Investment Survey consistently makes significantly better earnings forecasts than the Box-Jenkins models.
Author: Lawrence D. Brown Publisher: ISBN: Category : Languages : en Pages : 16
Book Description
If both producers and consumers demand forecasts based solely on their forecasting ability, then the equilibrium employment of analysts, a higher cost factor than time series models, implies that analysts must produce better forecasts than time series models. Past studies of comparative earnings forecast accuracy have concluded otherwise. Using nonparametric statistics that provide proper yet powerful tests, we find that Box-Jenkins time series models consistently produce better forecasts than martingale and submartingale earnings models; but Value Line Investment Survey consistently makes significantly better earnings forecasts than the Box-Jenkins models.
Author: Patricia C. O'Brien Publisher: Palala Press ISBN: 9781378883273 Category : History Languages : en Pages : 136
Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Beverly R. Walther Publisher: ISBN: Category : Languages : en Pages :
Book Description
We examine the association between investor expectations and its components and sell-side analysts' short-run quarterly earnings forecast bias and forecast accuracy. To measure investor expectations, we use the Index of Consumer Expectations (ICE) survey and decompose it into the “fundamental” component related to underlying economic factors (FUND) and the “sentiment” component unrelated to underlying economic factors (SENT). We find that analysts are the most optimistic and the least accurate when SENT is higher. Management long-horizon earnings forecasts attenuate the effects of SENT on forecast optimism and forecast accuracy. Analysts are also the most accurate when FUND is higher. Last, the market places more weight on unexpected earnings when SENT is high. These findings suggest that analysts are affected by investor sentiment and the market reacts more strongly to unexpected earnings when analyst forecasts are the least accurate. The last result potentially explains why prior research (for example, Baker and Wurgler 2006) finds an association between investor sentiment and cross-sectional stock returns.
Author: Tanja Klettke Publisher: Springer Science & Business ISBN: 3658056347 Category : Business & Economics Languages : en Pages : 120
Book Description
Financial analysts provide information in their research reports and thereby help forming expectations of a firm’s future business performance. Thus, it is essential to recognize analysts who provide the most precise forecasts and the accounting literature identifies characteristics that help finding the most accurate analysts. Tanja Klettke detects new relationships and identifies two new determinants of earnings forecast accuracy. These new determinants are an analyst’s “general forecast effort” and the “number of supplementary forecasts”. Within two comprehensive empirical investigations she proves these measures’ power to explain accuracy differences. Tanja Klettke’s research helps investors and researchers to identify more accurate earnings forecasts.
Author: Tim de Silva Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper quantifies the amount of noise and bias in analysts' forecast of corporate earnings at various horizons. We first show analyst forecasts outperform statistical forecasts at short-horizons, but underperform at longer horizons. We next decompose the relative accuracy of these forecasts into three components: (i) noise, (ii) bias and (iii) analysts' information advantage over statistical forecasts. We find the information advantage is constant across forecasting horizons, while both noise and bias are increase linearly. We then show most existing models lack a mechanism to account for these facts. To generate such a mechanism, we consider a parsimonious variant of the model of Patton and Timmermann (2010) with a noisy cognitive default and show it quantitatively fits the data. The intuition underlying this model is that forecasters rely on their biased and noisy defaults more at longer horizons, as rational forecasts are less accurate. This model also quantitatively matches two non-targeted empirical relationships: (i) analyst disagreement increases with horizon and (ii) noise is an increasing function of volatility.
Author: Lawrence D. Brown Publisher: ISBN: Category : Languages : en Pages : 5
Book Description
Previous research (e.g., O'Brien [1988], Stickel [1990], and Brown [1991]) has documented that timely composites of analysts' forecasts are superior to the mean forecast in terms of predictive ability. An alternative criterion in choosing an earnings expectation proxy is market association, whereby the forecast whose error is most highly correlated with abnormal returns is the proxy of choice (Foster [1977]). This paper shows that timely composites are superior to the mean on the market association dimension. The results are robust to the three timely composites considered by Brown [1991] and pertain to each of five years and two deflators.
Author: Lawrence D. Brown
Author: Lawrence D. Brown
Author: Patricia C. O'Brien
Author: William Kross
Author: Patricia C. O'Brien
Author: Beverly R. Walther
Author: Christoph Emanuel Jorns
Author: Tanja Klettke
Author: Tim de Silva
Author: Lawrence D. Brown
Author: Jeffery S. Abarbanell