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Author: Steven Alan Sharpe
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 58
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Book Description
Author: Steven Alan Sharpe
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 58
Get Book Here
Book Description
Author: Steven A. Sharpe
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Steven Alan Sharpe
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Steven Alan Sharpe
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 56
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Book Description
Author: Mark T. Bradshaw
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 680
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Book Description
Author: Pieter Johannes De Jong
Publisher: ProQuest
ISBN: 9780549145035
Category : Economic forecasting
Languages : en
Pages :
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Book Description
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.
Author: Sati P. Bandyopadhyay
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Little attention has been paid to a principal decision context in which analysts' earnings forecasts are prepared, namely, as an input to their recommendations. We use two data sets, Value Line, USA, and Research Evaluation Service, Canada, and examine the importance of analysts' earnings forecasts for their stock price forecasts via three hypotheses: (1) analysts' earnings forecasts are important for their stock price forecasts; (2) analysts' long-term earnings forecasts are more important than their short-term earnings forecasts for their predictions of stock prices over a particular stock price forecast horizon; (3) the importance of analysts' earnings forecasts for their stock price forecasts rises as the joint earnings and stock price forecast horizon increases. We show that: (1) when the earnings forecast horizon is the next fiscal year, forecasted earnings explain only 30% of the variation in forecasted price; (2) the importance of forecasted earnings for forecasted price rises as the earnings forecast horizon increases; (3) in the long run, (i.e. three to five years hence), forecasted earnings explain about 60% of the variation in forecasted price. Decision usefulness is an ex ante concept, but tests regarding the usefulness of earnings for stock price generally have used actual (not expectational) data. Our evidence suggests that earnings expectations are decision useful, where the decision context is sell-side analysts' stock price forecasts. Our results are potentially important to users of sell-side analyst research reports. When a stock recommendation is accompanied only by short-run earnings forecasts, investors need to closely examine estimates of non-earnings variables to assess the quality of stock recommendations. In contrast, when stock recommendations are accompanied by both short-run and long-run earnings forecasts, investors need to examine estimates of non-earnings information variables less closely.
Author: Niels Haldrup
Publisher: OUP Oxford
ISBN: 0191669547
Category : Business & Economics
Languages : en
Pages : 393
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Book Description
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Author: Nikolaos Panigirtzoglou
Publisher:
ISBN:
Category :
Languages : en
Pages : 8
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Book Description
Equity valuations are important for monetary policy makers as the factors that drive equity valuations may contain information about the future course of the economy. Moreover, a possible correction in equity prices may be a source of shocks to which monetary policy may have to react. Such an equity market correction may also have negative implications for financial stability. We use a three-stage dividend discount model to see whether analysts' forecasts can explain the level of equity prices over the past ten years. This model is also used to decompose equity returns into changes to earnings, the yield curve and equity risk premia.
Author: Aileen Twohig
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 72
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Book Description
