Financial Analysts Earnings Forecast Dispersion And Intraday Stock Price Variability Around Quarterly Earnings Announcements
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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.
Stock Price Reaction To Quarterly Earnings Announcements With Respect Of Outlook Changes And Deviation To Consensus Forecast
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Author : Benjamin Schmitt
language : en
Publisher: GRIN Verlag
Release Date : 2015-06-02
Stock Price Reaction To Quarterly Earnings Announcements With Respect Of Outlook Changes And Deviation To Consensus Forecast written by Benjamin Schmitt and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-02 with Business & Economics categories.
Bachelor Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.1, EBS European Business School gGmbH (Finance), language: English, abstract: Many authors have already studied about stock price reactions after earnings announcements yet, which is because of the importance of earnings announcements, in particular quarterly earnings announcements, for many investors. However, all major studies concerning this topic deal with long-term scenarios, the stock’s price performance is measured for a time period of at least three quarters. Due to the fact that there are many investors, especially institutional investors such as hedge funds that trade stocks much more frequently, the existing studies are not relevant for them. This paper studies stock price reactions around quarterly earnings announcements for companies listed in Deutscher Aktienindex (DAX) or Midcap DAX (MDAX) with respect to changes of the company’s full-year outlook and of earnings surprise regarding analyst consensus forecast within ten days before and after the announcement date. Hence, this paper aims to analyse short-term reaction to quarterly earnings announcements, which are of relevance for all investors, whose investment strategy is, at least partially, focussing on the short-term performance. The main target group of this analysis are therefore hedge funds and investors that run short-term strategies. Due to the fact that the widespread Event Study Methodology is focused on the long-term, it is irrelevant for this analysis.
The Change In Financial Analysts Forecast Attributes For Value And Growth Stocks
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Author : Pieter Johannes De Jong
language : en
Publisher: ProQuest
Release Date : 2007
The Change In Financial Analysts Forecast Attributes For Value And Growth Stocks written by Pieter Johannes De Jong and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Economic forecasting categories.
This research will concentrate on the changes in earnings forecasts, forecast accuracy and forecast dispersion for growth and value stocks after Reg FD. Each topic is presented in a separate essay. The first essay tests if growth and value stock returns respond more to forecasted earnings changes than they do to changes in earnings and whether these stock returns respond in a different fashion before and after Reg FD. This phenomenon is stronger for growth stock portfolio strategies than it is for value stock portfolios. After Reg FD, the overall impact of earnings expectations on stock returns is smaller, especially for growth stock returns. The second essay examines financial analysts' earnings forecast accuracy in value and growth stocks before and after the introduction of Reg FD. Accuracy for both stock groups (value and growth stocks) has improved after the introduction of Reg FD. The results in this essay provide additional evidence indicating that analysts did not just misinterpret available news but consciously tried to maintain relationships with managers. However, Reg FD efficiently limited these relationships between managers of growth firms and analysts so that the monetary advantage from manipulating earnings forecasts before the introduction of Reg FD no longer exists. The third essay evaluates the hypothesis stating that forecast dispersion, on both growth and value stock returns, has increased after the introduction Reg FD. However, the increased dispersion found at the second quarter of 2001 drastically dissipates at the second quarter of 2002, although value stock forecast dispersion before earnings announcement and value stock belief jumbling remain higher. The results in this essay suggest that corporate voluntary disclosure created a greater variety of opinions and, therefore, more uncertainty about value stocks. Also, value stock returns have a stronger inverse relationship with dispersion because financial analysts have become more uncertain about value firms' performance. The bigger the disagreement about a stock's value, the higher the market price relative to the true value of the stock, and the lower its future return.
Relationship Between Analyst Forecast Properties And Equity Bid Ask Spreads And Depths Around Quarterly Earnings Announcements
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Author : Kiridaran (Giri) Kanagaretnam
language : en
Publisher:
Release Date : 2017
Relationship Between Analyst Forecast Properties And Equity Bid Ask Spreads And Depths Around Quarterly Earnings Announcements written by Kiridaran (Giri) Kanagaretnam 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.
We study the relationships between three variables which proxy for the ex-ante level of information asymmetry - forecast dispersion, forecast revision volatility, and the level of analyst coverage, and equity bid-ask spread and depth changes around quarterly earnings releases. Kim and Verrecchia, 1994 suggest that earnings releases increase the level of information asymmetry and lower the level of liquidity in the security market. Using both an OLS regression framework and a simultaneous equations model, we examine whether equity bid-ask spreads increase and depths decrease as the level of information asymmetry increases. Our results indicate that spreads are higher (relative to a non-event period) around earnings announcements when information asymmetry is more pronounced; however, depths are lower only on the day following the announcement when there is greater information asymmetry. Relative spreads have a significant positive relation with both forecast dispersion and revision volatility and a significant negative relation with analyst coverage. Relative depths have a significant negative relation with forecast dispersion and a significant positive relation with analyst coverage. Our findings indicate that the equity specialist adjusts both spreads and depths when confronting informed traders around earnings releases and that these adjustments are more pronounced when the level of information asymmetry is greater.
The Frequency Of Financial Analysts Forecast Revisions
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Author : Pamela S. Stuerke
language : en
Publisher:
Release Date : 2014
The Frequency Of Financial Analysts Forecast Revisions written by Pamela S. Stuerke 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.
This paper develops a theory of the frequency of financial analysts' forecast revisions and then tests the empirical predictions of the model. Financial analysts act as information intermediaries for firms and investors and therefore their forecast revision frequency helps explain the equilibrium of the supply of and demand for earnings predictions and assessments of firm value. The theory is based on the analyst's costs of information gathering and the profits obtained from selling the information to investors. Our analysis is conducted in two stages. In the first stage, a single-period, Kyle (1985) model is used to determine the profits generated by privately informed investors who trade on the analyst's forecast revision. The analyst is assumed to be compensated as a function of these profits. In the second stage, the analyst's optimal revision frequency to collect and sell private information is determined. We find that the analyst's optimal revision frequency is increasing in the variance of liquidity trading volume, the volatility of the underlying earnings process, and the earnings-response coefficient and decreasing in the total number of informed traders who invest in the firm and the cost of revision. These theoretical results are developed into empirical hypotheses that the frequency of analysts' forecast revisions between earnings announcements is positively associated with variability of the earnings process, average prior trading volume, and earnings response coefficients, and negatively associated with skewness of prior trading volume, after controlling for firm size and prior average daily stock price changes. These hypotheses are tested cross-sectionally and we find significant support each of the hypothesized relations.
Earnings Quality
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Author : Jennifer Francis
language : en
Publisher: Now Publishers Inc
Release Date : 2008
Earnings Quality written by Jennifer Francis and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.
Business Analytics Progress On Applications In Asia Pacific
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Author : Jorge L C Sanz
language : en
Publisher: World Scientific
Release Date : 2016-09-29
Business Analytics Progress On Applications In Asia Pacific written by Jorge L C Sanz and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-29 with Business & Economics categories.
Technological advances in the last five years have allowed organizations to use Business Analytics to provide insights, increase understanding and it is hoped, gain the elusive 'competitive edge'. The rapid development of Business Analytics is impacting all enterprise competences profoundly and classical business professions are being redefined by a much deeper interplay between business and information systems.As computing capabilities for analysis has moved outside the IT glass-house and into the sphere of individual workers, they are no longer the exclusive domain of IT professionals but rather accessible to all employees. Complex open-source data analytics packages and client-level visualization tools deployed in desktops and laptops equip virtually any end-user with the instruments to carry out significant analytical tasks. All the while, the drive to improve 'customer experience' has heightened the demand for data involving customers, providers and entire ecosystems.In response to the proliferation of Business Analytics, a new Center and Masters of Science Program was introduced at the National University of Singapore (NUS). The Center collaborates with over 40 different external partner organizations in Asia-Pacific with which all MSBA students undertake individual projects. Business Analytics: Progress on Applications in Asia Pacific provides a useful picture of the maturity of the Business Analytics domain in Asia Pacific. For more information about the Business Analytics Center at NUS, visit the website at: msba.nus.edu/
International Bibliography Of Economics
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Author : Compiled by the British Library of Political and Economic Science
language : en
Publisher: Psychology Press
Release Date : 2001-11-22
International Bibliography Of Economics written by Compiled by the British Library of Political and Economic Science and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-11-22 with Business & Economics categories.
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Differences Of Opinion
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Author : Jeffrey Wade Hales
language : en
Publisher:
Release Date : 2003
Differences Of Opinion written by Jeffrey Wade Hales and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.