Rational Expectations And Security Analysts Earnings Forecasts

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Rational Expectations And Security Analysts Earnings Forecasts

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Author : Lucy F. Ackert
language : en
Publisher:
Release Date : 1992

Rational Expectations And Security Analysts Earnings Forecasts written by Lucy F. Ackert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Corporate profits categories.

Rational Expectations And The Dynamic Adjustment Of Security Analysts Forecasts To New Information

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Author : Lucy F. Ackert
language : en
Publisher:
Release Date : 1993

Rational Expectations And The Dynamic Adjustment Of Security Analysts Forecasts To New Information written by Lucy F. Ackert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Corporate profits categories.

The Magnitude And Timing Of Analyst Forecast Response To Quarterly Earnings Announcements

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Author : Lise Newman Graham
language : en
Publisher:
Release Date : 1993

The Magnitude And Timing Of Analyst Forecast Response To Quarterly Earnings Announcements written by Lise Newman Graham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Corporate profits categories.

Loss Function Assumptions In Rational Expectations Tests On Financial Analysts Earnings Forecasts

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Author : Sudipta Basu
language : en
Publisher:
Release Date : 2014

Loss Function Assumptions In Rational Expectations Tests On Financial Analysts Earnings Forecasts written by Sudipta Basu 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.

Prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts. The OLS regression-based tests used in prior studies assume implicitly that analysts face a quadratic loss function, or that analysts minimize their squared forecast errors. In contrast, we argue that analysts face a linear loss function, or that they minimize their absolute forecast errors. We conduct and compare rational expectations tests conditioned on these two alternative loss functions. While we replicate prior findings of inefficiency with OLS regressions, we find virtually no evidence of forecast inefficiency with Least Absolute Deviation regressions, where we explicitly assume a linear loss function.

Rational Expectations And The Dynamic Adjustment Of Security Analysts Forecast To New Information

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Author : Lucy F. Ackert
language : en
Publisher:
Release Date : 1993

Rational Expectations And The Dynamic Adjustment Of Security Analysts Forecast To New Information written by Lucy F. Ackert 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.

An Evaluation Of Security Analysts Earnings Forecasts

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Author : Y. H. Lui
language : en
Publisher:
Release Date : 1992

An Evaluation Of Security Analysts Earnings Forecasts written by Y. H. Lui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Stock price forecasting categories.

Specification Problems With Information Content Of Earnings

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Author : A. Rashad Abdel-Khalik
language : en
Publisher:
Release Date : 2014

Specification Problems With Information Content Of Earnings written by A. Rashad Abdel-Khalik 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 examines three possible specification problems with the research on information content of earnings disclosure. The first deals with the extent to which contemporaneous prediction errors are good surrogates for revisions of future earnings expectations and, hence, distributions of cash flows. This problem is elucidated by evaluating analysts' revisions of future earnings expectations as "relevant omitted variables."The results show that the quality of such surrogation is high in the first quarter but low in the second. The second problem concrns the degree to which analysts' earnings forecasts are good surrogates for the market's own earnings expectations. Unbiasedness and orthogonality are the two properties examined. Although analysts' forecasts satisfy the unbiasedness property, the necessary condition of orthogonality is not satisfied. Hence, analysts' earnings forecasts are not Muthian rational expectations (i.e., they are not good surrogates for market forecasts). Consequently, the explanatory power of known empirical results is likely to be understated.The third specification issue is the significance of the self-selection bias resulting from endogenous partitioning of samples into, say, good- and bad-news portfolios. The Heckman-Lee method of correcting for this type of selection (truncation) bias is applied.The results show significant self-selection bias in both quarters but more so in the first than in the second quarter. Although applying the correction for this sample did not alter the general inferences, it did alter the marginal contribution of each explanatory variable and the explanatory power of the models.The results indicate that the information news about quarterly earnings is not homogeneous across different quarters in a fiscal period. The possibility that a "quarter effect" exists needs further investigation.

Rational Expectation Properties Of Analysts Forecasts Of Earnings And Their Use As Proxies For Market Expectations

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Author : Ashiq Ali
language : en
Publisher:
Release Date : 1989

Rational Expectation Properties Of Analysts Forecasts Of Earnings And Their Use As Proxies For Market Expectations written by Ashiq Ali and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Business forecasting categories.

Company Valuation And Information In Analyst Forecasts

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Author : Daniel Kreutzmann
language : en
Publisher: Logos Verlag Berlin GmbH
Release Date : 2010

Company Valuation And Information In Analyst Forecasts written by Daniel Kreutzmann and has been published by Logos Verlag Berlin GmbH this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.

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.

Analysts Herding Propensity

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Author : Murugappa (Murgie) Krishnan
language : en
Publisher:
Release Date : 2007

Analysts Herding Propensity written by Murugappa (Murgie) Krishnan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

We model and estimate analysts' herding propensity with I/B/E/S annual earnings forecast data. Compared to prior studies, our paper has three unique features. First, we estimate analysts' true posterior beliefs of a firm's earnings assuming rational expectations rather than using analysts' own prior forecasts. Second, we estimate analysts' herding propensity at aggregate and the analyst levels rather than the forecast level. Third, we perform out-of-sample rather than in-sample tests on the usefulness of our herding propensity estimates. We document pervasive herding behavior. At the aggregate level, we find that herding propensity is positively related to forecast horizon and analyst coverage, but negatively related to analysts' general experience and brokerage size. At the analyst level, we find that about 75% (15%) of the analysts in our sample tend to herd (anti-herd). Moreover, our in-sample herding propensity estimates are useful in explaining the cross-sectional variation in analysts' out-of-sample herding behavior and forecast accuracy.