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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 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: Patricia C. O'Brien Publisher: Forgotten Books ISBN: 9780666405524 Category : Mathematics Languages : en Pages : 74
Book Description
Excerpt from Analysts' Forecasts as Earnings Expectations Analysts' forecasts of earnings are increasingly used in accounting and finance research as expectations data, to proxy for the unobservable market expectation of a future 'realization. 'since a diverse set of forecasts is available at any time for a given firm's earnings. Composites are used to distill the information from the diverse set into a single expectation. This paper considers the relative merits of several composite forecasts as expectations data. One of the primary results is that the most current forecast available outperforms more commonly used aggregations such as the mean or the median. Mthis result is consistent-with forecasters incorporating information from others' previous predictions into their own. It also suggests that the forecast date, which previous research has largely ignored, is a characteristic relevant for distinguishing better forecasts. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: Daniel Kreutzmann Publisher: Logos Verlag Berlin GmbH ISBN: 3832525297 Category : Business & Economics Languages : en Pages : 141
Book Description
This thesis focuses on the three primitive value drivers of each company valuation model that is based on fundamental analysis: the discount rate, the expected future payoffs during the explicit forecasting period, and the terminal value at the end of the explicit forecasting period. While the first factor is analyzed theoretically by incorporating the government into the classical valuation framework, this thesis studies the other two factors by investigating forecasts made by professional investors, i.e. financial analysts. In the first part we show that the government's and the shareholders discount rate usually differ and analyze how the government's and shareholders different objectives lead to conflicts in the context of capital budgeting. The empirical part of this thesis shows that macroeconomic information is frequently used by financial analysts when updating their earnings expecations and that target price forecastsmade by financial analysts can be used to predict abnormal returns.
Author: Mark Bagnoli Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
In this paper, we compare First Call analyst forecasts to unofficial forecasts of quarterly earnings per share commonly referred to as whisper forecasts. Our analysis yields the following results. First, we find that whispers are, on average, more accurate than First Call forecasts and are better proxies for market expectations of earnings than are First Call forecasts, consistent with the claim in the professional press that whispers are increasingly becoming the true market expectation of earnings. Second, we show that trading strategies based on the relationship between whisper and First Call forecasts earn abnormal returns. Our results, when considered collectively, suggest that whispers contain information not contained in First Call analyst forecasts and that they appear to be widely enough disseminated so that at least part of this information is incorporated in stock prices prior to the earnings release.Formally titled quot;Whispers and Shouts: Forecasts of Quarterly Earnings Per Sharequot.
Author: Ji-Chai Lin Publisher: ISBN: Category : Languages : en Pages : 62
Book Description
We examine aggregate analyst forecast errors (AAFE) and find a systematic component, which is predictable using lagged stock market returns and macroeconomic variables. The evidence suggests that analysts do not fully take into account macroeconomic influences on individual firms' earnings in their forecasts, and that systematic biases in market expectations exist. Since informed investors may exploit over-optimistic (over-pessimistic) analyst earnings forecasts in their sells (buys), their trading affects stock prices, which induces uninformed investors to gradually revise their expectations and leave (enter) the market. As the number of uninformed investors decreases (increases), stock market liquidity deteriorates (improves). Based on this reasoning, we show that - predictable AAFE is a driving force of time-varying stock market liquidity - and also an important channel through which stock market liquidity incorporates macroeconomic information.
Author: Mike Metcalfe Publisher: Springer Science & Business Media ISBN: 1461522552 Category : Business & Economics Languages : en Pages : 354
Book Description
This book is about managing the task of forecasting profit. It builds a case for using multiple methods, providing examples of each method, and suggesting practical techniques to use in dealing with the issues and problems of accuracy in profit forecasts. All the elements that infringe on profits (costs, sales, budgeting, investment, and loan default) are examined within this framework. In addition to synthesizing the research, Professor Metcalfe has applied his own research work on forecast modeling and judgmental methods. The final result is a practical reference book for making more accurate profit forecasts.
Author: Cheng F.Lee Publisher: Center for PBBEFR & Ainosco Press ISBN: 9866286754 Category : Business & Economics Languages : en Pages :
Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
Author: Oliver Kim Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We evaluate the ability of the mean analyst forecast to effectively summarize analysts' information. We show analytically that even if analysts possess the ability and intention to forecast earnings truthfully, the mean forecast underweights analysts' private information. Thus, the mean does not adequately aggregate the full set of information individual analysts use in making their forecasts. Since the mean underweights private information, the problem worsens as the number of analysts forecasting earnings increases. We show that a positive multiple of forecast revision can be used to reduce the impact of improper information aggregation. We show empirically that forecast errors are positively related to forecast revision, and this relation is increasing in the number of forecasts made. Our results have implications for researchers who use the mean analyst forecast to proxy for the market's expectations of earnings.
Author: Lawrence D. Brown
Author: Lawrence D. Brown
Author: Patricia C. O'Brien
Author: Jeffery S. Abarbanell
Author: Daniel Kreutzmann
Author: Mark Bagnoli
Author: Ji-Chai Lin
Author: Mike Metcalfe
Author: Cheng F.Lee
Author: Oliver Kim
Author: William Kross