Download or read book The Performance of Mechanical Earnings Forecasts written by Dieter Hess and published by . This book was released on 2019 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze three different mechanical models to forecast earnings and compare their forecasts with those of analysts. Moreover, we evaluate implied cost of capital (ICC) estimates that are based on these forecasts. With our analyses we answer three open questions in the literature. 1) Do model forecasts or analysts' forecasts perform better? 2) Are ICCs derived from analysts' forecasts more reliable than ICCs based on model forecasts? And 3) does higher forecast performance also translate into more reliable ICCs? First, we find that analysts' forecasts are even more accurate than the most accurate model forecasts. However, second, we find that model-based ICCs are always more reliable than analyst-based ICCs. Moreover, model-based ICCs are particularly reliable for a sample of firms for which no analysts' forecasts are available. While the lack of reliability of analyst-based ICCs seems to indicate a missing link between forecast performance and ICC reliability, in fact, third, we find that ceteris paribus higher forecast performance translates into more reliable ICCs, that is, within one earnings definition the most accurate forecasts also yield the most reliable ICCs.
Download or read book Mechanical Earnings Forecasts written by Philipp Zacharias-Langhans and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims to compare the performance of earnings forecasts from various cross-sectional models and the consensus of financial analysts for the European setting. My findings indicate that the models of Harris and Wang (2018) and Azevedo et al. (2017) are able to outperform raw consensus analyst forecasts both in terms of bias and accuracy, while analyst forecasts still contain information that is not incorporated in pure model forecasts. Further, I show that the accuracy of earnings forecasts is significantly impacted by the underlying earnings definition, and therefore argue that studies that use varying earnings definitions in their comparison are inconclusive.
Download or read book Evaluation of Mechanical Earnings Forecast Models written by and published by GRIN Verlag. This book was released on 2019-06-24 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2018 in the subject Business economics - Investment and Finance, grade: 2,7, University of Cologne, course: Bachelorseminar Corporate Finance, language: English, abstract: This paper seeks to examine different models to forecast revenue of companies. This is being achieved by examining costs of capital, which are a good representative therefor. The models examined in this paper can be divided into two sections. First, there are mechanical models, second there is one characteristic-based model. The models stand in contrast to analysts’ forecasts. This paper sums up different authors who illustrate, that mechanical models outperform analysts’ forecasts in terms of revenue forecasting. First, the HVZ mode is introduced which is due to outperform analysts’ forecasts. Second, the EP and RI model are introduced, next to a random walk model (RW model) as a benchmark. Objective of this paper is to find out which advantages go along with mechanical models, and whether the quality of forecast could be influenced positively. The topic of revenue forecast is highly relevant for different stakeholders in the financial industry. Based on revenue forecasts investment decisions are met by investors. One advantage of mechanical models therefore, is the greater feasibility due to the greater coverage. Mechanical models rely on firm fundamentals and are hence available for much more companies. Analysts’ forecasts are only available for firms of a certain size upwards. Costs of capital are a topic of focus not only for investment decisions but also for internal application. Apart from the use as a financial ratio it is negatively associated with customer satisfaction. The paper finds out, that the HVZ model outperforms analysts’ forecasts in terms of forecast bias and earnings response coefficient. However, the HVZ model does not outperform analysts’ forecasts in terms of accuracy. The EP and RI model both outperform the HVZ model in terms of all three criteria: forecast bias, earnings response coefficient and accuracy. The characteristic-based model sets up a linear function solely by firm fundamentals, that avoids including unobservable future covariances. Besides, it concludes certain key findings about abnormal earnings volatility and economy-wide risk.
Download or read book Key Performance Indicators as Supplements to Earnings written by Dan Givoly and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: The documented decline in the information content of earnings numbers has paralleled the emergence of disclosures, mostly voluntary, of industry-specific key performance indicators (KPIs). We find that the incremental information content conveyed by KPI news is significant for many KPIs, yet it is diminished when details about the computation of the KPI are absent or when the computation of the KPI changes over time. Consistent with analysts responding to investor information demand, we find that analysts are more likely to produce forecasts for a KPI when that KPI has more information content and when earnings are less informative. We also analyze the properties of analysts' KPI forecasts, and we find that KPI forecasts are more accurate than mechanical forecasts, and their accuracy exceeds that of earnings forecasts. Our study contributes to the literature on the information content of KPIs and increases our understanding of the factors that affect this content. We provide evidence pertinent to the debate on whether and how to regulate KPI disclosures. This study further contributes to research on the properties of analysts' forecasts.
Download or read book Management Science written by and published by . This book was released on 1983 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes special issues: The Professional series in the management sciences.
Download or read book Forecasting and Forecast Combining of Quarterly Earnings per Share Via Genetic Programming written by Arturo Rodriguez and published by . This book was released on 2013 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we examine different methodologies to estimate earnings. More specifically, we evaluate the viability of Genetic Programming as both a forecasting model estimator and a forecast-combining methodology. When we compare the performance of traditional mechanical forecasting (ARIMA) models and models developed using Genetic Programming we observe that Genetic Programming can be used to create time-series models for quarterly earnings as accurate as the traditional linear models. Genetic Programming can also effectively combine forecasts. However, Genetic Programming's forecast combinations are sometimes unable to improve on Value Line. Moreover, simple averaging of forecasts results in better predictive accuracy than Genetic Programming-combining of forecasts. Hence, as implemented in this study, Genetic Programming is not superior to traditional methodologies in either forecasting or forecast combining of quarterly earnings.
Download or read book The Analysis and Use of Financial Statements written by Gerald I. White and published by John Wiley & Sons. This book was released on 2002-12-30 with total page 786 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accounting Standards (US and International) have been updated to reflect the latest pronouncements. * An increased international focus with more coverage of IASC and non-US GAAPs and more non-US examples.
Download or read book Buy Side vs Sell Side Analysts Earnings Forecasts written by Boris Groysberg and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The study reported here is a comparison of the earnings-forecasting performance of analysts at a large buy-side firm with the performance of sell-side analysts in the 1997-2004 period. The tests show that the buy-side analysts made more optimistic and less accurate forecasts than their counterparts on the sell side. The performance differences appear to be partially explained by the buy-side firm's greater retention of poorly performing analysts and by differences in the performance benchmarks used to evaluate buy-side and sell-side analysts.
Download or read book Three Essays on the Performance of Earnings Forecasts and Forward looking Proxies for Expected Stock Returns written by Martin Meuter and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Performance of Earnings Forecasts Bankruptcy Predictions and Textual Analysis written by Tobias Lorsbach and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Security Analyst Forecasting and Asset Allocation written by John Guerard and published by JAI Press(NY). This book was released on 1993 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of a series on contemporary studies in economic and financial analysis, this volume focuses on security analyst forecasting and asset allocation. Topics include market response to earning forecasts; and the effectiveness of security analysts' forecasts; among others.
Download or read book Proceedings of IncoME VI and TEPEN 2021 written by Hao Zhang and published by Springer Nature. This book was released on 2022-09-17 with total page 1074 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers the latest advances, innovations and applications in the field of condition monitoring, plant maintenance and reliability, as presented by leading international researchers and engineers at the 6th International Conference on Maintenance Engineering and the 2021 conference of the Efficiency and Performance Engineering Network (IncoME-VI TEPEN 2021), held in Tianjin, China on October 20-23, 2021. Topics include vibro-acoustics monitoring, condition-based maintenance, sensing and instrumentation, machine health monitoring, maintenance auditing and organization, non-destructive testing, reliability, asset management, condition monitoring, life-cycle cost optimisation, prognostics and health management, maintenance performance measurement, manufacturing process monitoring, and robot-based monitoring and diagnostics. The contributions, which were selected through a rigorous international peer-review process, share exciting ideas that will spur novel research directions and foster new multidisciplinary collaborations.
Download or read book A Multivariate Analysis of Annual Earnings Forecasts Generated from Quarterly Forecasts of Financial Analysts and Univariate Time Series Models written by William S. Hopwood and published by . This book was released on 1979 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study compares the forecast accuracy of financial analysts, ARIMA models, and various permier models considered in the literature in the predicting of annual earnings per share. Various refinements were made of previously used methodologies. The results of the multivariate analysis indicated that financial analysts provide the most accurate forecasts. In addition, the divergence in accuracy between the various sources of forecasts tend to decrease as the end of the year approaches, while at the same time there is a general increase in accuracy. Also specific results are provided for individual model performance.
Download or read book Industry s Earnings Forecasts and Market Efficiency written by Antonio Baldaque da Silva and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, I use historical price, accounting and macroeconomic data to construct alternative forecasts. Using the random walk model as the benchmark, I construct alternative forecasts that significantly increase forecast accuracy in a simulated out-of-sample setting. The most successful alternative combines the forecasts for all industries taking into consideration the "economic" distance between industries.
Download or read book A Theoretical and Empirical Investigation of the Information Content of Annual Earnings Announcements written by Gordon Douglas Richardson and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1983 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Security Analyst Multi year Earnings Forecasts and the Capital Market written by Philip Brown and published by . This book was released on 1985 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Econometric Forecasting and High frequency Data Analysis written by Roberto S. Mariano and published by World Scientific. This book was released on 2008 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.
