A new approach to predicting analyst forecast errors : do investors overweight analyst forecasts?
Abstract/Contents
- Abstract
- I provide evidence that investors overweight analyst forecasts by demonstrating that prices do not fully reflect predictable components of analyst errors, which conflicts with conclusions in prior research. I highlight estimation bias in traditional approaches and develop a new approach that reduces this bias. I estimate 'characteristic forecasts' that map current firm characteristics into forecasts of future earnings. Contrasting characteristic and analyst forecasts predicts analyst forecast errors and revisions. I document abnormal returns to strategies that sort firms by predicted forecast errors, consistent with investors overweighting analyst forecasts and predictable biases in analyst forecasts influencing the information content of prices.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2012 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | So, Eric Chi-Ying, Mr |
|---|---|
| Associated with | Stanford University, Graduate School of Business. |
| Primary advisor | Lee, Charles |
| Thesis advisor | Lee, Charles |
| Thesis advisor | Barth, Mary E |
| Thesis advisor | Larcker, David F |
| Thesis advisor | Piotroski, Joseph D. (Joseph David) |
| Advisor | Barth, Mary E |
| Advisor | Larcker, David F |
| Advisor | Piotroski, Joseph D. (Joseph David) |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Eric C. So. |
|---|---|
| Note | Submitted to the Graduate School of Business. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2012. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2012 by Eric Chi-Ying So
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