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Aggregate Analysts Revisions And Market Reaction
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Book Synopsis Aggregate Analysts' Revisions and Market Reaction by : Xinmei Xie
Download or read book Aggregate Analysts' Revisions and Market Reaction written by Xinmei Xie and published by . This book was released on 2010 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several studies have explored the role of accounting earnings in the capital market at the aggregate level following Kothari et al (2006). However, it is unclear whether accounting earnings are informative as to the market price variations at the aggregate level. In this study, I use aggregate analysts' revisions of earnings forecasts as a proxy for aggregate earnings surprises and explore the relation between market returns and the beliefs of an important user group (analysts) as to future earnings. I find that (1) the direction of analysts' revisions is predictable to some extent with market returns but the magnitude of revisions is not; (2) aggregate analysts' revisions are significantly positively correlated with contemporaneous market returns; (3) there is a weak and negative predictive relation between aggregate analysts' revisions and future market returns. This study not only sheds light on the role of accounting earnings in the capital market but also improves our understanding of financial analysts' role in the stock market.
Book Synopsis Aggregate Earnings, Forecasts and Revisions by : Hamish Campbell Macalister
Download or read book Aggregate Earnings, Forecasts and Revisions written by Hamish Campbell Macalister and published by . This book was released on 2011 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the information in aggregated US equity analysts' earnings forecasts. Despite a voluminous body of research evaluating the information in, and characteristics of, equity analysts' forecasts, relatively little is known regarding aggregated forecasts. However, Kothari, Lewellen and Warner (2006) demonstrate how estimated relationships between, for example, earnings and returns may differ markedly at the aggregate level compared with the individual stock level. I generate time series of aggregated forecast earnings, aggregated forecast revisions and aggregated realized earnings for the period extending from the first quarter of 1979 through to the last quarter of 2009. These variables are employed in three examinations of aggregated earnings expectations. Firstly, prior research indicates significant information in analysts' forecasts for future realized earnings, and strong positive correlation between realized earnings and indicators of macroeconomic activity. I therefore hypothesize significant information in aggregated analysts' forecasts for future realized economic activity. Secondly, I investigate the informational efficiency of analysts' forecasts with respect to realized macroeconomic variables, and implications of earnings revision predictability for return predictability. Thirdly, I employ aggregated earnings revisions as proxies for market earnings surprise in tests of cash flow and discount rate effects in market returns. I find evidence of statistically significant information for future US industrial production growth in aggregated analysts' forecasts, the magnitude of which is a partial function of earnings smoothing by management, firm size and earnings cyclicality. I also find evidence of systematic underreaction by analysts to realized macroeconomic factors, resulting in revision predictability which in turn is able to explain significant systematic variation in future industry returns. In addition, my results suggest that the negative relationship between aggregated earnings surprise and contemporaneous returns identified by Kothari et al. (2006) is at least partially a product of the period they evaluate. In robustness tests employing both aggregated realized earnings and aggregated forecast revisions, I find evidence of positive (albeit insignificant) relationships between these proxies for earnings surprise and contemporaneous market returns. My results do not support the notion of a discount rate effect dominating a cash flow effect at the aggregate level.
Book Synopsis Aggregate Analyst Forecast Errors, Stock Market Liquidity, and the Economy by : Ji-Chai Lin
Download or read book Aggregate Analyst Forecast Errors, Stock Market Liquidity, and the Economy written by Ji-Chai Lin and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine aggregate analyst forecast errors (AAFE) and find a systematic component, which is predictable using lagged stock market returns and macroeconomic variables. The evidence suggests that analysts do not fully take into account macroeconomic influences on individual firms' earnings in their forecasts, and that systematic biases in market expectations exist. Since informed investors may exploit over-optimistic (over-pessimistic) analyst earnings forecasts in their sells (buys), their trading affects stock prices, which induces uninformed investors to gradually revise their expectations and leave (enter) the market. As the number of uninformed investors decreases (increases), stock market liquidity deteriorates (improves). Based on this reasoning, we show that - predictable AAFE is a driving force of time-varying stock market liquidity - and also an important channel through which stock market liquidity incorporates macroeconomic information.
Book Synopsis Market reaction to revisions in analysts consensus forecasts by : John J. Johnston
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:
Book Synopsis The Predictive Content of Aggregate Analyst Recommendations by : John S. Howe
Download or read book The Predictive Content of Aggregate Analyst Recommendations written by John S. Howe and published by . This book was released on 2011 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using more than 350,000 sell-side analyst recommendations from January 1994 to August 2006, this paper examines the predictive content of aggregate analyst recommendations. We find that changes in aggregate analyst recommendations forecast future market excess returns after controlling for macroeconomic variables that have been shown to influence market returns. Similarly, changes in industry-aggregated analyst recommendations predict future industry returns. Changes in aggregate analyst recommendations also predict one-quarter-ahead aggregate earnings growth. Overall, our results suggest that analyst recommendations contain market- and industry-level information about future returns and earnings.
Book Synopsis Analyst Forecast Revisions and Market Price Formation by : Cristi A. Gleason
Download or read book Analyst Forecast Revisions and Market Price Formation written by Cristi A. Gleason and published by . This book was released on 2002 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document several factors that help explain cross-sectional variations in the delayed price response to individual analyst forecast revisions. First, the market does not make a sufficient distinction between those analysts providing new information and others simply quot;herdingquot; toward the consensus. Second, the market responds more completely to quot;celebrityquot; analysts, and under-weights revisions by obscure, but highly accurate, analysts. Third, controlling for firm size, the market price adjustment is more complete for firms with wider analyst coverage. Moreover, a significant portion of the delayed price response is corrected around future earnings news events, particularly forecast revisions by other analysts. Taken together, these findings show that qualitative aspects of an earnings signal can affect the speed and efficacy of the price formation process.
Book Synopsis Market Response to Revisions in Analysts' Future Years' Earnings Forecasts by : Gregory Alan Sommers
Download or read book Market Response to Revisions in Analysts' Future Years' Earnings Forecasts written by Gregory Alan Sommers and published by . This book was released on 2002 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Questions have been raised in the business press and prior academic research about future years' earnings forecast credibility, particularly long-term growth. This paper documents the market response to revisions in analysts' earnings forecasts for the next year and long-term growth (collectively "future years' earnings"). First, I show there is information content in future years' earnings forecast revisions as evidenced by changes in return volatility and volume at their release. Second, there is a direct market response to the magnitudes of the revisions in the next years' earnings forecasts and to upward revisions in long-term growth forecasts as evidenced by the coefficient relating the unexpected returns to the unexpected portion of the revisions. Finally, I find that investors use the next year earnings forecasts interpret the expected persistence of current year earnings forecast revisions. This is evidenced by increases (decreases) in the coefficient relating unexpected returns to the current year earnings forecast revisions when the next year earnings forecast revision is in the same (opposite) direction. This study documents market response to future years' earnings forecast revisions and indicates that they affect how investors respond to the revisions in current year earnings forecasts.
Book Synopsis The Strategic Timing of Analyst Forecasts by : Kerry Xiao
Download or read book The Strategic Timing of Analyst Forecasts written by Kerry Xiao and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Earnings expectation aggregates all available information. However, investors with limited attention are unlikely to behave in such rational fashions. For example, salient information is overweighed in the expectation. This bias could be exploited by sophisticated market participants like analysts. In this study, I document that the market reacts more strongly to forecasts revised during trading hours when investors pay more attention, indicating that the benchmark of the earnings game is primarily determined by salient forecasts. I also find that analyst forecasts are revised more downward during trading hours, especially when earnings announcement day is approaching, showing that analysts strategically timing their forecasts. Collectively, my evidence suggests that analysts make the market expectation be more easily met or beaten by taking advantage of investor's behavioral bias.
Book Synopsis The Magnitude and Timing of Analyst Forecast Response to Quarterly Earnings Announcements by : Lise Newman Graham
Download or read book The Magnitude and Timing of Analyst Forecast Response to Quarterly Earnings Announcements written by Lise Newman Graham and published by . This book was released on 1993 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Determinants of Earnings Forecast Error, Earnings Forecast Revision and Earnings Forecast Accuracy by : Sebastian Gell
Download or read book Determinants of Earnings Forecast Error, Earnings Forecast Revision and Earnings Forecast Accuracy written by Sebastian Gell and published by Springer Science & Business Media. This book was released on 2012-03-26 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earnings forecasts are ubiquitous in today’s financial markets. They are essential indicators of future firm performance and a starting point for firm valuation. Extremely inaccurate and overoptimistic forecasts during the most recent financial crisis have raised serious doubts regarding the reliability of such forecasts. This thesis therefore investigates new determinants of forecast errors and accuracy. In addition, new determinants of forecast revisions are examined. More specifically, the thesis answers the following questions: 1) How do analyst incentives lead to forecast errors? 2) How do changes in analyst incentives lead to forecast revisions?, and 3) What factors drive differences in forecast accuracy?
Book Synopsis The Value of Analyst Forecast Revisions by : Kanyuan Huang
Download or read book The Value of Analyst Forecast Revisions written by Kanyuan Huang and published by . This book was released on 2022 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the information contained in analyst forecast revisions following earnings announcements. I find that sorting firms on aggregated forecast revisions generates a much stronger post-earnings-announcement drift than sorting on measures of earnings surprises. The strong association between aggregated forecast revisions and post-earnings-announcement returns is driven by the subsample of firms with large-magnitude earnings surprises. This result is consistent with analysts' roles in interpreting corporate earnings. Further, the mispricing is the strongest when forecast revisions contradict earnings surprises, suggesting investors have difficulties in processing contradictory signals. Lastly, I document aggregated forecast revisions are more informative when the information environment around earnings announcements is more opaque, when firms have high accruals and when investors do not pay attention to the firm. They are less informative when analysts disagree with each other. Overall, these results point to the value of analyst forecast revisions following earnings announcements.
Book Synopsis Market Reaction to Earnings Forecast Revisions by : Feng Li
Download or read book Market Reaction to Earnings Forecast Revisions written by Feng Li and published by . This book was released on 2003 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs Publisher : ISBN 13 : Total Pages :136 pages Book Rating :4.:/5 (327 download)
Book Synopsis The Impact of the Global Settlement by : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Download or read book The Impact of the Global Settlement written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs and published by . This book was released on 2004 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Response to Revisions in Analysts' Future Years' Earning Forecasts by : Gregory Alan Sommers
Download or read book Market Response to Revisions in Analysts' Future Years' Earning Forecasts written by Gregory Alan Sommers and published by . This book was released on 2002 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Revisions of Earnings Forecasts and Security Returns by : John Capstaff
Download or read book Revisions of Earnings Forecasts and Security Returns written by John Capstaff and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior evidence has demonstrated that for North American markets EPS forecast revisions are associated with security price changes, although this evidence is much stronger for pre-announcement changes than for post-announcement. As there is considerable interest in using analysts' forecasts for stock selection purposes in Europe, it is clearly of some importance to determine whether forecast revisions are associated with security returns, and whether the revisions can be used to trade successfully. We use a large sample of individual analysts' forecast revisions in Europe's three largest markets - the U.K., France and Germany ? and demonstrate that forecast revisions follow significant abnormal returns and can also be used to identify significant, post announcement returns. This result is found in all years bar one, is stronger for the U.K. than the other markets, for downward than for upward revisions, for less researched rather than more researched firms and for forecasts diverging from the consensus rather than converging. Although surprisingly strong evidence against the EMH these results are consistent with certain other studies which also demonstrate delayed market reaction to news.
Book Synopsis Analyst Forecast Revisions and Market Price Discovery by : Cristi A. Gleason
Download or read book Analyst Forecast Revisions and Market Price Discovery written by Cristi A. Gleason and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document several factors that help explain cross-sectional variations in the post-revision price drift associated with analyst forecast revisions. First, the market does not make a sufficient distinction between revisions that provide new information ("high-innovation" revisions) and revisions that merely move toward the consensus ("low-innovation" revisions). Second, the price adjustment process is faster and more complete for "celebrity" analysts (Institutional Investor All-Stars) than for more obscure yet highly accurate analysts (Wall Street Journal Earnings-Estimators). Third, controlling for other factors, the price adjustment process is faster and more complete for firms with greater analyst coverage. Finally, a substantial portion of the delayed price adjustment occurs around subsequent earnings-announcement and forecast-revision dates. Collectively, these findings show that more subtle aspects of an earnings revision signal can hinder the efficacy of market price discovery, particularly in firms with relatively low analyst coverage, and that subsequent earnings-related news events serve as catalysts in the price discovery process.
Book Synopsis An Analysis of Changes in Aggregate Market Volatility by :
Download or read book An Analysis of Changes in Aggregate Market Volatility written by and published by . This book was released on 1978 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
