Download or read book How Rational is the Stock Market Towards Properties of Analyst Consensus Forecasts written by Huai Zhang and published by . This book was released on 2000 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analysts Forecasts as Proxies for Investor Beliefs in Empirical Research written by Jeffery S. Abarbanell and published by . This book was released on 1993 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effect of Analysts Forecasts on Stock Market Returns written by Stefano Bonini and published by . This book was released on 2009 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock returns forecasting is one of the major objectives of financial analysts. Equity Analysts' forecasts, on the other side, are one of the major sources of information used by less informed investors in their asset allocation decisions. Therefore, analysing which major drivers affect time series of stock returns could allow to shed light over the price revelation process in capital markets. In this paper we propose a model aimed at predicting stock market by combining both macroeconomic and microeconomic factors. We first develop a standard APT approach with multiple macroeconomic factors as regressors. We then integrate the model by explicitly including a metric for intrinsic equity value, basing upon a proxy derived by the weighted average of Stock Market Consensus Forecasts by equity analysts. Third, we complete the model by imposing an ARMA specification for the error term, which allows identifying stock returns' stationarity moving over time. The resulting model shows both a strong fitting capability when tested in the in-sample period and a good predictive capability when applied to an out-of-sample period of monthly Italian stock market returns. In particular, we employed specific estimation procedures based upon recently developed statistics aimed at testing for both factors' equal predicting power and forecast encompassing. As a major empirical finding, our model suggests that the information conveyed by analysts' forecasts is indeed a factor in determining future stock prices, even if there is the possibility that the information transferred could be biased.
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 Gatekeepers written by Yasuyuki Fuchita and published by Brookings Institution Press. This book was released on 2007-02-01 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Brookings Institution Press and Nomura Institute of Capital Markets Research publication Developed country capital markets have devised a set of institutions and actors to help provide investors with timely and accurate information they need to make informed investment decisions. These actors have become known as "financial gatekeepers" and include auditors, financial analysts, and credit rating agencies. Corporate financial reporting scandals in the United States and elsewhere in recent years, however, have called into question the sufficiency of the legal framework governing these gatekeepers. Policymakers have since responded by imposing a series of new obligations, restrictions, and punishments—all with the purpose of strengthening investor confidence in these important actors. Financial Gatekeepers provides an in-depth look at these new frameworks, especially in the United States and Japan. How have they worked? Are further refinements appropriate? These are among the questions addressed in this timely and important volume. Contributors include Leslie Boni (University of New Mexico), Barry Bosworth (Brookings Institution), Tomoo Inoue (Seikei University), Zoe-Vonna Palmrose (University of Southern California), Frank Partnoy (University of San Diego School of Law), George Perry (Brookings Institution), Justin Pettit (UBS), Paul Stevens (Investment Company Institute), Peter Wallison (American Enterprise Institute).
Download or read book Distinct or Distant Analysts Consensus and Forecasts in the Stock Market written by Sébastien Galanti and published by . This book was released on 2006 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: We endeavour to understand how the analysts' consensus can constraint the forecasts of a given analyst. Analysts are interested in generating trading volume, and do not necessarily release their most precise forecast. We show that forecast release depend upon consensus dispersion and upon the analyst's private information. The result is that an investor cannot infer information from the gap between a given analyst and the consensus. Herding or not is not linked with forecasting truthfully or not.
Download or read book A Rational Expectations Approach to Macroeconometrics written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2007-11-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
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.
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2000 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Updating Expected Returns Based on Consensus Forecasts written by John Crombez and published by . This book was released on 2001 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investor behavior can explain to some extent the stock market anomalies from a psychological viewpoint. Recent literature suggests a lot of models without testing predictability implied by the models and without a discussion of implications and limitations that are implied by the design. Mostly, these models are descriptive. In these designs, the question about relevant normative models is left aside. In this paper we propose a normative model that allows empirical testing of whether the way investors should behave given the information is useful in making judgments in financial markets. Contrary to most papers, we apply individual priors to form a judgment about the future price change of each asset at each point in time. These priors are considered as the expert opinion and are given by the one-year conensus forecast of earnings yield as provided by analysts. This design allows tests of the predictions for a normative setting using actual market data. Comparing Bayes' rule to a decisions by a price trader, we find that economic loss is lower for the price trader than for the Bayesian trader under several specifications. However, using expert information in the Bayes' rule leads to better predictions for stocks that do not have high-risk characteristics.
Download or read book The Behavior of Stock Analysts written by Jeffrey Sexton and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excess relative outperformance can be achieved by forecasting stocks experiencing momentum in earnings but which will surprise resulting in "consensus forecast errors" whether long or short positions are taken.
Download or read book Characteristics of Price Informative Analyst Forecasts written by Cristi A. Gleason and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effect of signal attributes and analyst identity on the price impact of an earnings forecast revision. We measure the price impact immediately upon the release of a forecast, as well as over the next twenty-four months. We find that an analyst's own prior forecast and the consensus forecast at the time of the release are both important in determining the price impact of a revision. Specifically, quot;confirmingquot; signals (revisions that are above (or below) both the prior consensus and the analyst's own prior forecast) have much greater price impact than quot;conflictingquot; signals (revisions that are in between the prior consensus and the analyst?s own prior forecast). We document a substantial post-revision price drift after the release of confirming signals. Upward (downward) confirming revisions are associated with higher (lower) future size-adjusted returns. The predictive power of these confirming revisions is large even after controlling for price momentum, firm size, and the B/M ratio. The main predictive power derives from the direction of the confirming signal. Controlling for the direction of the revision, the magnitude of the revision is unimportant in return prediction.We also examine the relation between analyst identity and price impact. Specifically, we evaluate the incremental price effect associated with revisions issued by Institutional Investor All-Stars, Wall Street Journal Award Winners, and analysts deemed to be more accurate by the Park and Stice (2000) algorithm. We find that the immediate price respond is greater for revisions issued by all the quot;superiorquot; analysts. In the following months, revisions by II-All Stars exhibit weaker price drifts, and revisions by the Park and Stice (2000) analysts exhibit stronger price drifts. However, taken together, signal attributes are more important than analyst identity in the prediction of subsequent stock returns.
Download or read book Are Markets Rational written by Seung-Woog Kwag and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Behavioral Finance written by Richard H. Thaler and published by Russell Sage Foundation. This book was released on 1993-08-19 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern financial markets offer the real world's best approximation to the idealized price auction market envisioned in economic theory. Nevertheless, as the increasingly exquisite and detailed financial data demonstrate, financial markets often fail to behave as they should if trading were truly dominated by the fully rational investors that populate financial theories. These markets anomalies have spawned a new approach to finance, one which as editor Richard Thaler puts it, "entertains the possibility that some agents in the economy behave less than fully rationally some of the time." Advances in Behavioral Finance collects together twenty-one recent articles that illustrate the power of this approach. These papers demonstrate how specific departures from fully rational decision making by individual market agents can provide explanations of otherwise puzzling market phenomena. To take several examples, Werner De Bondt and Thaler find an explanation for superior price performance of firms with poor recent earnings histories in the tendencies of investors to overreact to recent information. Richard Roll traces the negative effects of corporate takeovers on the stock prices of the acquiring firms to the overconfidence of managers, who fail to recognize the contributions of chance to their past successes. Andrei Shleifer and Robert Vishny show how the difficulty of establishing a reliable reputation for correctly assessing the value of long term capital projects can lead investment analysis, and hence corporate managers, to focus myopically on short term returns. As a testing ground for assessing the empirical accuracy of behavioral theories, the successful studies in this landmark collection reach beyond the world of finance to suggest, very powerfully, the importance of pursuing behavioral approaches to other areas of economic life. Advances in Behavioral Finance is a solid beachhead for behavioral work in the financial arena and a clear promise of wider application for behavioral economics in the future.
Download or read book Market reaction to revisions in analysts consensus forecasts written by John J. Johnston and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Change in Financial Analysts Forecast Attributes for Value and Growth Stocks written by Pieter Johannes De Jong and published by ProQuest. This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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.
