Author: Alexander StolzPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays on the Accuracy and Timing of Sell-side Analysts' Annual Earnings Forecasts
Author: Alexander StolzThree Essays on the Accuracy and Timing of Sell-side Analysts' Annual Earning Forecasts
Author: Alexander StolzThree Essays on the Accuracy and Timing of Sell-side Analysts' Annual Earnings Forecast
Author: Alexander StolzThree Essays on the Earnings Forecast Accuracy of Sell-side Analysts
Author: Niklas BlümkeThree Essays on Analyst Earnings Forecast
Author: Wenjuan XiePredicting Sell-Side Analysts' Relative Earnings Forecast Accuracy When It Matters Most
Author: Niklas BlümkePublisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
We introduce a novel framework to predict the relative accuracy of sell-side analysts' annual earnings forecasts out-of-sample. Prior studies only evaluate forecasts shortly before the corresponding earnings release. In contrast, our study is the first to provide long-term predictions which are of particular value for both investors and academics. Overall, we show that analysts classified as superior outperform their inferior counterparts by 8.4 percent, on average. The prediction performance is even more pronounced for longer-term forecasts and for firms with high dispersion of analysts' forecasts, that is, when the identification of superior forecasts matters most. Moreover, we challenge the conclusion of existing literature that characteristics reflecting an analyst's skill set are not helpful to obtain better predictions. In particular, when evaluating forecasts which draw on similar information sets, we find that a model based on analyst characteristics outperforms a model focusing simply on the forecast horizon, for example.
Three Essays on Analysts' Earnings Forecast Dispersion and Stock Returns
Author: Jorida PapakroniPublisher:
ISBN:
Category : Financial risk
Languages : en
Pages :
Book Description
Analyst Information Production and the Timing of Annual Earnings Forecasts
Author: Sami KeskekPublisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
We investigate whether the reputation-herding theory or the tradeoff theory explains variation in the timing of individual analysts' forecasts. Using forecast accuracy improvements, forecast boldness, and the price impact of forecasts as measures of forecast quality, we find that in the information discovery phase that precedes an earnings announcement event, earlier forecasts have higher quality than later forecasts and find a similar pattern in the information analysis phase that begins with the earnings announcement date. Our findings suggest that consistent with the herding theory, more-capable analysts participate early in discovering and analyzing information and, therefore, earlier forecasts in the information discovery and analysis phases are of higher quality than later forecasts in that phase.
Essays on Financial Analysts' Forecasts
Author: Marius del Giudice RodriguezPublisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 132
Book Description
This dissertation contains three self-contained chapters dealing with specific aspects of financial analysts' earnings forecasts. After recent accounting scandals, much attention has turned to the incentives present in the career of professional financial analysts. The literature points to several reasons why financial analysts behave overoptimistically when providing their predictions. In particular, analysts may wish to maintain good relations with firm management, to please the underwriters and brokerage houses at which they are employed, and to broaden career choice. While the literature has focused more on analysts' strategic behavior in these situations, less attention has been paid to the implications these factors have on financial analysts' loss functions. The loss function dictates the criteria that analysts use in order to build their forecasts. Using a simple compensation scheme in which the sign of prediction errors affect their incomes differently, in the first chapter we examine the implications this has on their loss function. We show that depending on the contract offered, analysts have a strict preference for under-prediction or over-prediction and the size of this asymmetric behavior depends on the parameter that governs the financial analyst's preferences over wealth. This is turn affects the bias in their forecasts. Recent developments in the forecasting literature allow for the estimation of asymmetry parameters after observing data on forecasts. Moreover, they allow for a more general test of rationality once asymmetries are present. We make use of forecast data from financial analysts, provided by I/B/E/S, and present evidence of asymmetries and weak evidence against rationality. In the second chapter we study the evolution over time in the revisions to financial analysts' earnings estimates for the 30 Dow Jones firms over a 20 year period. If analysts' forecasts used information efficiently, earnings revisions should not be predictable. However, we find strong evidence that earnings revisions can in fact be predicted by means of the sign of the last revision or by using publicly available information such as short interest rates and past revisions. We propose a three-state model that accounts for the very different magnitude and persistence of positive, negative and `no change' revisions and find that this model forecasts earnings revisions significantly better than an autoregressive model. We also find that our forecasts of earnings revisions predict the actual earnings figure beyond the information contained in analysts' earnings estimates. Finally, the empirical literature on financial analysts' forecast revisions of corporate earnings has focused on past stock returns as the key determinant. The effects of macroeconomic information on forecast revisions is widely discussed, yet rarely tested in the literature. In the third chapter, we use dynamic factor analysis for large data sets to summarize a large cross-section of macroeconomic variables. The estimated factors are used as predictors of the average analyst's forecast revisions for different sectors of the economy. Our analysis suggests that factors extracted from macroeconomic variables do, indeed, improve on the current model with only past stock returns. In trying to explain what drives financial analysts' forecast revisions, the factors representing the macroeconomic environment must be considered to avoid a potential omitted variable problem. Moreover, the explanatory power and direction of such factors strongly depend on the industry in question.
The Economics of World War I
Author: Stephen BroadberryPublisher: Cambridge University Press
ISBN: 1139448358
Category : History
Languages : en
Pages : 363
Book Description
This unique volume offers a definitive new history of European economies at war from 1914 to 1918. It studies how European economies mobilised for war, how existing economic institutions stood up under the strain, how economic development influenced outcomes and how wartime experience influenced post-war economic growth. Leading international experts provide the first systematic comparison of economies at war between 1914 and 1918 based on the best available data for Britain, Germany, France, Russia, the USA, Italy, Turkey, Austria-Hungary and the Netherlands. The editors' overview draws some stark lessons about the role of economic development, the importance of markets and the damage done by nationalism and protectionism. A companion volume to the acclaimed The Economics of World War II, this is a major contribution to our understanding of total war.