Download or read book Analysts Forecast Dispersion and Stock Split Announcements written by Maria Chiara Iannino and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book 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 published by . This book was released on 2012 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Financial Analysts Earnings Forecast Dispersion and Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Gerald J. Lobo and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Market Reaction to Stock Split Announcements written by Alon Kalay and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Financial Analysts Earnings Forecast Dispersion and Intraday Stock Price Variability Around Quarterly Earnings Announcements written by Samuel S. Tung and published by . This book was released on 2020 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Analysts Forecast Dispersion and Stock Market Anomalies written by Tingting Liu and published by . This book was released on 2020 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Stock Splits and Information written by Robert M. Conroy and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Relation between Dispersion in Analysts Forecasts and Stock Returns written by Shuping Chen and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Analyst Forecast Dispersion and Future Stock Return Volatility written by Madhu Kalimipalli and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Analyst Forecast Accuracy Dispersion and Stock Returns Before and During Stock Market Crashes written by Xiaolei Wang and published by . This book was released on 2008 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies written by Andreas P. Dische and published by . This book was released on 2002 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a well documented phenomenon that stock prices underreact to news about future earnings and drift in the direction suggested by revisions in analysts' earnings forecasts. This paper shows that the dispersion in analysts' consensus forecasts contains incremental information to predict future stock returns. Higher abnormal returns can be achieved by applying an earnings momentum strategy to stocks with a low dispersion. This finding supports one of the recent behavioral models in which investors focus too little on the weight of new evidence and conservatively update their beliefs in the right direction, but by too little in magnitude with respect to more objective information.
Download or read book The Effect of Dispersion of Analysts Forecasts on Stock and Bond Prices written by Mun Soo Choi and published by . This book was released on 1993 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Forward Stock Split Announcements on Stock Price Performance An Event Study Analysis of S P 500 Companies written by Steffen Maxim Hübener and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the effects of forward stock split announcements on the stock price performance of S&P 500 firms listed on the New York Stock Exchange (NYSE) or the NASDAQ Stock Exchange Global Select Market (NASDAQ) in the US between January 1, 2000, and June 1, 2023. In an event study, abnormal returns, their significance, and an evaluation of the effect of independent variables on cumulative abnormal returns are analyzed. These results are then linked to previous findings in the academic literature. The results reveal the presence of abnormal returns within the event window for certain cases, although the effects of the examined independent variables within the multivariate regression present a less conclusive picture. The independent variables examined include the stock split factor, analyst recommendation means, firm size, and ETF ownership. This study demonstrates that the relationships identified in samples with companies of varying sizes cannot be directly applied to large-cap companies of the S&P 500. Moreover, the variables that can be directly influenced by company management only show statistical significance in a few cases, indicating a more complex relationship at hand.
Download or read book Relationship between Analyst Forecast Properties and Equity Bid Ask Spreads and Depths Around Quarterly Earnings Announcements written by Kiridaran (Giri) Kanagaretnam and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Dispersion of Forecasts and Stock Returns written by Bilal Erturk and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research has established that stocks with high dispersion of earnings forecasts yield lower subsequent returns. I offer a new explanation based on some analysts' reluctance to revise their forecasts downward. I show that analysts' sluggish and non-synchronous response to negative information results in dispersion of forecasts. The inertia in downward forecast revisions also leads to market underreaction to bad news. Therefore, the negative relationship between dispersion and subsequent returns may be partially attributable to some analysts' sluggish response to negative information. I also test whether dispersion of forecasts exacerbates overpricing (Miller (1977)), but find that when dispersion of forecasts increases, prices decrease.
Download or read book Dispersion in Analysts Forecasts written by Davit Adut and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial analysts are an important group of information intermediaries in the capital markets. Their reports, including both earnings forecasts and stock recommendations, are widely transmitted and have a significant impact on stock prices (Womack 1996; Lys and Sohn 1990, among others). Empirical accounting research frequently relies on analysts' forecasts to construct proxies for variables of interest. For example, the error in mean forecast is used as a proxy for earnings surprise (e.g., Brown et al. 1987; Wiedman 1996; Bamber et al. 1997). More recent papers provide evidence that the mean consensus forecast is used as a benchmark for evaluating firm performance. (Degeorge et al. 1999; Kasznik and McNichols 2002; Lopez and Rees 2002). Another stream of research uses the forecast dispersion as a proxy for the uncertainty or the degree of consensus among analysts and focuses on the information properties of analysts (e.g., Daley et al. 1988; Ziebart 1990; Imhoff and Lobo 1992; Lang and Lundholm 1996; Barron and Stuerke 1998; Barron et al. 1998). In this paper I combine the two streams of research, and investigate how lack of consensus changes the information environment of analysts and whether the markets perceive this change. More specifically, I investigate the amount of private information in a divergent earnings estimate (i.e. one that is above or below the consensus), whether the markets react to it at either the time of the forecast release, at the realization of actual earnings, and whether Regulation Fair Disclosure has changed the information environment differently for high and low dispersion firms.
Download or read book Expectations and the Structure of Share Prices written by John G. Cragg and published by University of Chicago Press. This book was released on 2009-05-15 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
