Does the Stock Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog PDF Download
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Author: Shivaram Rajgopal
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
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Book Description
A number of recent studies assume market efficiency and hence interpret an association between stock returns and leading indicators as evidence of the contribution of such indicators to future earnings. We explicitly examine (i) whether one leading indicator - order backlog - has predictive ability for future earnings, and (ii) whether market participants correctly incorporate such predictive ability in determining share prices. We find that the stock market overweights the contribution of order backlog in predicting future earnings and a hedge strategy that takes positions on the cross-sectional distribution of backlog generates significant future abnormal returns. Additional analysis indicates that the market mispricing is not due to analysts' inability to incorporate order backlog into their earnings forecasts.
Author: Shivaram Rajgopal
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Get Book Here
Book Description
A number of recent studies assume market efficiency and hence interpret an association between stock returns and leading indicators as evidence of the contribution of such indicators to future earnings. We explicitly examine (i) whether one leading indicator - order backlog - has predictive ability for future earnings, and (ii) whether market participants correctly incorporate such predictive ability in determining share prices. We find that the stock market overweights the contribution of order backlog in predicting future earnings and a hedge strategy that takes positions on the cross-sectional distribution of backlog generates significant future abnormal returns. Additional analysis indicates that the market mispricing is not due to analysts' inability to incorporate order backlog into their earnings forecasts.
Author: Mei Luo
Publisher:
ISBN:
Category :
Languages : en
Pages : 178
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Book Description
Author: Cheng F. Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9866286436
Category : Business & Economics
Languages : en
Pages : 339
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Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
Author: Katherine Ann Gunny
Publisher:
ISBN:
Category :
Languages : en
Pages : 204
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Book Description
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 1098
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Book Description
Author: American Accounting Association. Annual Meeting
Publisher:
ISBN:
Category : Accounting
Languages : en
Pages : 208
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Book Description
Author: Michael Calegari
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Analysts have been found to underweight the innovation in most recent quarter earnings when forecasting next quarter earnings, and these expectations have been posited as an explanation for post-earnings announcement drift. This study uses an experimental asset market to examine whether similar errors are made by student subjects in forecasting quarterly earnings. We examine two aspects of behavior: (1) Do subjects underestimate the autocorrelation in quarterly earnings when forming earnings expectations? and (2) Are asset prices consistent with subjects underestimating the autocorrelation in quarterly earnings? We observe errors in forecasts by subjects which underweight extreme innovations in the most recent quarter earnings by approximately forty percent. The prices in the experimental markets also fail to reflect fully the most recent innovation in quarterly earnings. We are able to predict the sign of the mispricing in 74 percent of the 135 markets from the mean initial earnings predictions of the subjects. These forecast errors observed in this study are consistent with forecast errors observed for analysts, and this consistency suggests that errors in analysts' forecasts may be at least partially attributable to the use of judgmental heuristics.
Author: James B. Cornehlsen
Publisher: Traders Press
ISBN: 1934354155
Category : Business & Economics
Languages : en
Pages : 168
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Book Description
Many writers focus on economy time series, but James B. Cornehlsen and Michael J. Carr are the first to outline a comprehensive, rigorously tested, easy to understand model. In Conquering The Divide, the authors provide documentation of their model's validity. Using statistical verification, Cornehlsen and Carr don't dumb down the economy; they lay out its signals and indicators. Here, they offer a plan for risk assessment that shows you how to maximize returns, forecast inflation, and get out before big declines. "I've been looking for a book like this for a long time. Carr and Cornehlsen, professional researchers by occupation, have done superb work here in terms of the relationships between various indicators, the economy, and the stock market, e
Author: Frederic S. Mishkin
Publisher: University of Chicago Press
ISBN: 0226531929
Category : Business & Economics
Languages : en
Pages : 184
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Book Description
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.
Author: Paul Kasriel
Publisher: McGraw Hill Professional
ISBN: 0071399852
Category : Business & Economics
Languages : en
Pages : 210
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Book Description
How to understandand profit fromreliable and easy-to-use indicators that are often overlooked by the popular press Seven Indicators That Move Markets reveals easy-to-use indicators that have been shown to actually forecast where the financial markets are going next. These indicators, widely available in daily newspapers and on the Internet, provide continuously updated figures and data that describe what market users are thinking todayand where the markets could be headed tomorrow. This timely book shows savvy investors where and when to look for these market indicators, how to use them to structure investment strategies, and which asset allocations work best for specific market conditions. It contains hands-on techniques for: Filtering fact from rumor in the financial press Understanding relationships between indicators and investment choices Evaluating market data in relation to Fed policy
