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Author: Pervin K. Shroff
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Book Description
We examine how analysts whose forecasts lag those of timely analysts aid the price discovery process. We classify analysts as lead and follower analysts for a given firm based on the relative timeliness of their earnings forecasts over a two-year period. We find that news in forecasts of lead analysts has a higher price impact relative to that of follower analysts and this difference in impact cannot be explained by analyst reputation or experience. The price impact of follower analysts' forecasts is significant, although it dissipates as follower analysts become less timely. Moreover, we find that the forecast issued by even the least timely analyst conveys incremental information to the market. The significant market impact of follower analysts arises mostly due to the private information conveyed by their forecast and partly because their forecasts incorporate public information including their predecessor's forecast. While in general the price impact of the forecast component that mimics prior information is consistent with the post-revision drift documented by prior studies, we find that this impact is significant only when the follower analyst's forecast confirms the information conveyed by the predecessor analyst. We also find that follower analysts issue more accurate forecasts than lead analysts who appear to trade off accuracy for timeliness. Overall, we conclude that the complementary roles of timely and late forecasters combine the merits of timely and accurate information and facilitate price discovery.
Author: Pervin K. Shroff
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Book Description
We examine how analysts whose forecasts lag those of timely analysts aid the price discovery process. We classify analysts as lead and follower analysts for a given firm based on the relative timeliness of their earnings forecasts over a two-year period. We find that news in forecasts of lead analysts has a higher price impact relative to that of follower analysts and this difference in impact cannot be explained by analyst reputation or experience. The price impact of follower analysts' forecasts is significant, although it dissipates as follower analysts become less timely. Moreover, we find that the forecast issued by even the least timely analyst conveys incremental information to the market. The significant market impact of follower analysts arises mostly due to the private information conveyed by their forecast and partly because their forecasts incorporate public information including their predecessor's forecast. While in general the price impact of the forecast component that mimics prior information is consistent with the post-revision drift documented by prior studies, we find that this impact is significant only when the follower analyst's forecast confirms the information conveyed by the predecessor analyst. We also find that follower analysts issue more accurate forecasts than lead analysts who appear to trade off accuracy for timeliness. Overall, we conclude that the complementary roles of timely and late forecasters combine the merits of timely and accurate information and facilitate price discovery.
Author: Ilan Guttman
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
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Book Description
Existing literature assumes that the order and timing of analysts' earnings forecasts are determined exogenously. However, analysts choose when to issue their forecasts. This study develops a model that endogenizes the timing decision of analysts and analyzes their equilibrium timing strategies. In the model, analysts face a trade-ocurren; between the timeliness and the precision of their forecasts. The model introduces a timing game with two analysts, derives and analyzes its unique pure strategies equilibrium, and provides new empirical predictions about the precision and timing of analysts' forecasts. The equilibrium has one of two patterns: either the times of the analysts' forecasts cluster, or there is a separation in the times of the forecasts. The less informed and less similar the analysts are, the more likely it is that they forecast at different points in time. All else equal, analysts with a higher precision of initial private information tend to forecast earlier, and analysts with a higher learning ability tend to forecast later.
Author: Andrew B. Jackson
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
We empirically examine the associations between the cost of capital and the timeliness of analysts' earnings forecasts, as a proxy for disclosure precision. We document that as the precision of the information increases so does the cost of capital, consistent with prior research showing more timely disclosures are positively associated with the cost of capital, and that the precision of disclosure widens the information gap between informed and uninformed investors in an imperfect market. We also find that at a certain point, more timely analysts' forecasts are not positively associated with the cost of capital, although the relation is mixed.
Author: Lise Newman Graham
Publisher:
ISBN:
Category : Corporate profits
Languages : en
Pages : 334
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Book Description
Author: Sami Keskek
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
We investigate whether the reputation-herding theory or the tradeoff theory explains variation in the timing of individual analysts' forecasts. Using forecast accuracy improvements, forecast boldness, and the price impact of forecasts as measures of forecast quality, we find that in the information discovery phase that precedes an earnings announcement event, earlier forecasts have higher quality than later forecasts and find a similar pattern in the information analysis phase that begins with the earnings announcement date. Our findings suggest that consistent with the herding theory, more-capable analysts participate early in discovering and analyzing information and, therefore, earlier forecasts in the information discovery and analysis phases are of higher quality than later forecasts in that phase.
Author: Christopher Frost
Publisher:
ISBN: 9780732505561
Category : Economic forecasting
Languages : en
Pages : 23
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Book Description
Author: Patricia C. O'Brien
Publisher: Forgotten Books
ISBN: 9780364062012
Category : Mathematics
Languages : en
Pages : 134
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Book Description
Excerpt from Analysts' Forecasts as Earnings Expectations A third contribution of this paper is a methodological refinement of the techniques used to evaluate forecastsp I demonstrate the existence of significant time-period - specific effects in forecast errors. If time series and cross-section data are pooled without taking these effects into account, the statistical results may be overstated, and the results are subject to an aggregation bias. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: Tae Hee Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 334
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Book Description
Abstract: Empirical evidence supports the notion that both reported earnings and analysts' forecasts of earnings are managed in response to a variety of incentives of managers. One of the important incentives to manage earnings and/or analysts' forecasts is to exceed the market's expectation. The purpose of this study is to explore issues associated with earnings management and/or forecast management. In this thesis, I will present two essays to investigate issues pertaining to earnings management and/or forecast management.
Author: Lawrence D. Brown
Publisher:
ISBN:
Category :
Languages : en
Pages : 5
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Book Description
Previous research (e.g., O'Brien [1988], Stickel [1990], and Brown [1991]) has documented that timely composites of analysts' forecasts are superior to the mean forecast in terms of predictive ability. An alternative criterion in choosing an earnings expectation proxy is market association, whereby the forecast whose error is most highly correlated with abnormal returns is the proxy of choice (Foster [1977]). This paper shows that timely composites are superior to the mean on the market association dimension. The results are robust to the three timely composites considered by Brown [1991] and pertain to each of five years and two deflators.
Author: Rajiv D. Banker
Publisher:
ISBN:
Category :
Languages : en
Pages : 57
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Book Description
We investigate how the arrival of Estimize, a provider of crowdsourced earnings forecasts, impacts IBES analysts' forecast timeliness and facilitates market efficiency. We find that IBES analysts become more responsive to earnings announcements and start issuing their quarterly forecasts earlier when faced with competition from Estimize. The Estimize effect is strongest when Estimize quarterly forecasts pose a direct competitive threat to IBES -- when Estimize forecasts are present within 3 days of earnings announcements (i.e., are issued early). Specifically, IBES analysts become more responsive to earnings announcements post Estimize, and issue more than 9% of their one-quarter-ahead forecasts earlier in the quarter when early Estimize coverage is present in the prior quarter. We also document that this increased responsiveness of IBES analysts facilitates market efficiency as it results in greater immediate market reaction to earnings surprises and mostly eliminates the post-earnings-announcement drift.
