Analysts Forecast Dispersion And Stock Split Announcements
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Analysts Forecast Dispersion And Stock Split Announcements
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Author : Maria Chiara Iannino
language : en
Publisher:
Release Date : 2016
Analysts Forecast Dispersion And Stock Split Announcements written by Maria Chiara Iannino and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper is an empirical investigation of the relation between the dispersion on analysts' earnings forecasts and the future performance following a change in the nominal price of shares. On a sample of US splits occurred from 1993 to 2013, we observe a change in the distribution of analysts' forecasts after the announcement of the event. In particular, we observe an increase in forecasts' dispersion. We distinguish the two components of private and common information, and we find that asymmetric information significantly increases after the announcement of stock splits, while no change is evinced in uncertainty. While we do not observe any relationship between dispersion and future returns in our sample of stocks, we shed light on the literature on disagreement observing a negative relation between asymmetric information and both future returns and cumulative abnormal returns post-split. We conclude observing that stock splits have a stronger positive effect on future performance for shares with lower prior asymmetric information.
Is Meeting The Consensus Eps Good News Or Bad News Stock Splits And The Accuracy Of Analysts Forecast Data
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Author : William R. Baber
language : en
Publisher:
Release Date : 2012
Is Meeting The Consensus Eps Good News Or Bad News Stock Splits And The Accuracy Of Analysts Forecast Data written by William R. Baber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Both academic and practicing accountants use forecasts made by security analysts to estimate market expectations about forthcoming earnings announcements. We report empirical analysis to illustrate how common stock splits induce a loss of precision in computing forecast errors from commonly used analyst forecast data files. An investigation of security price reactions to earnings announcements demonstrates how the loss of precision potentially alters inferences about security price reactions to announcements of earnings that meet, but do not exceed, the consensus forecast. Further analysis indicates that, because stock-split adjustments are made retrospectively, and because firms that execute stock-splits tend to be well-performing ex post, the consequences of the stock-split problem are systematic, potentially contaminating empirical investigations of both time-series and cross-sectional characteristics of forecast errors and of security price reactions to earnings announcements.
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements
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Author : Gerald J. Lobo
language : en
Publisher:
Release Date : 2017
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Gerald J. Lobo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This study investigates the relationship between the dispersion of analysts' earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts' earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts' forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements
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Author : Samuel S. Tung
language : en
Publisher:
Release Date : 2020
Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Samuel S. Tung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
This study investigates the relationship between the dispersion of analysts? earnings forecasts and stock price variability around quarterly earnings announcements. Consistent with theoretical predictions, the empirical analysis shows that stock price variability at the time of earnings announcements is positively related to the degree of analysts? earnings forecast dispersion. The analysis also demonstrates that stock price variability is significantly greater from two days before to two days after the earnings announcement for firms ranked in the bottom third on the basis of analysts? forecast dispersion, whereas it is significantly greater from eight days prior to five days following the earnings announcement for firms in the top third. These results suggest that there is information about the earnings announcement that becomes available to at least a subset of investors prior to the earnings release. The increased level of price variability for five days following the earnings announcement suggests that market participants take different amounts of time to process the information conveyed by the earnings announcement.
The Market Reaction To Stock Split Announcements
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Author : Alon Kalay
language : en
Publisher:
Release Date : 2014
The Market Reaction To Stock Split Announcements written by Alon Kalay and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We re-examine whether the abnormal returns around stock split announcements can be explained by an information hypothesis. Our evidence establishes a link between the abnormal returns and future earnings growth. Analysts revise earnings forecasts by 2.2-2.5% around split announcements, and this revision is significantly larger than that for matched firms. We further show that the earnings information in a split likely arises from the fact that splitting firms experience less mean reversion in their earnings growth relative to matched firms. Consistent with an earnings information hypothesis, the analyst revision and the abnormal returns are stronger for firms with more opaque information environments, and the cross-sectional variation in analyst revisions is related to the variation in abnormal returns.
Stock Splits And Information
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Author : Robert M. Conroy
language : en
Publisher:
Release Date : 2009
Stock Splits And Information written by Robert M. Conroy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Our empirical investigation of announced split factors, split announcement returns, and revisions of analysts' earnings forecasts shows that a firm's past history of stock splits plays a crucial role in both the design and effect of current splits. Managers appear to design splits to return their company's stock price to the price level achieved after the last split. Moreover, when managers announce a split factor to achieve an even lower price than in the last split, both investors and analysts interpret this as a signal of especially positive information.
Analysts Forecast Dispersion And Stock Market Anomalies
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Author : Tingting Liu
language : en
Publisher:
Release Date : 2020
Analysts Forecast Dispersion And Stock Market Anomalies written by Tingting Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We show that understanding the role of analysts' forecast bias is central to discovering the behavior that causes some stocks to have high analyst forecast dispersion. This finding is important because stocks with high analyst forecast dispersion contribute significantly to many important anomalies. We first explain how forecast bias produces significant negative future returns in the high dispersion portfolio. Next we examine the effect of these stocks on momentum returns, the profitability anomaly, and post-earnings announcement drift. Finally, we examine the performance of four asset pricing models focusing on the model's ability to explain the returns to these high dispersion stocks.
The Relation Between Dispersion In Analysts Forecasts And Stock Returns
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Author : Shuping Chen
language : en
Publisher:
Release Date : 2016
The Relation Between Dispersion In Analysts Forecasts And Stock Returns written by Shuping Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper investigates the conclusion in Diether, Malloy, and Scherbina (2002) that dispersion in analysts' forecasts proxies for differences in investor beliefs, and that prices reflect the beliefs of optimistic investors when dispersion is high. If this is the case, we expect to find higher earnings response coefficients (ERCs), related to negative earnings surprises, for high versus low dispersion firms. This follows because the negative earnings surprises are less consistent with the beliefs of optimists. However, we find smaller ERCs, which calls into question the optimism argument in DMS. Further, we find that the relatively low future returns earned by high forecast dispersion firms, documented in DMS, are explained by the well known post-earnings-announcement drift phenomena. Specifically, after sorting observations based on prior period standardized unexpected earnings (SUEs), which are associated with drift, the difference between the future returns of high versus low dispersion firms is not statistically significant.
Analyst Forecast Dispersion And Future Stock Return Volatility
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Author : Madhu Kalimipalli
language : en
Publisher:
Release Date : 2006
Analyst Forecast Dispersion And Future Stock Return Volatility written by Madhu Kalimipalli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
In this paper, we examine the relationship between analysts' forecast dispersion and future stock return volatility using monthly data for a cross section of 160 US firms from 1981 to 1996. We find that there is a strong and positive relationship between analysts' forecast dispersion and future return volatility. The dispersion measure has incremental information content even after accounting for market volatility. These results are robust across sub-sample periods and sub-samples based on based on number of analysts following a firm, forecast dispersion and market capitalization. There is also a strong seasonal relationship between the dispersion measure and future volatility. The importance of dispersion on future return volatility is high in January and the first few months of the year, and declines thereafter. Such information content of analysts' earnings forecast dispersion is of great importance for active portfolio management, option pricing and arbitrage trading strategies.
The Effect Of Dispersion Of Analysts Forecasts On Stock And Bond Prices
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Author : Mun Soo Choi
language : en
Publisher:
Release Date : 1993
The Effect Of Dispersion Of Analysts Forecasts On Stock And Bond Prices written by Mun Soo Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.