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Author : James C. McKeown
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (31 download)
Download or read book An Investors Loss Function for Earnings Forecasts with an Empirical Application written by James C. McKeown and published by . This book was released on 1979 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James C. McKeown
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (31 download)
Download or read book An Investor Loss Function for Earnings Forecasts with an Empirical Application written by James C. McKeown and published by . This book was released on 1980 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christine I. Wiedman
Publisher :
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.E/5 ( download)
Download or read book Proxies for Earnings Expectations written by Christine I. Wiedman and published by . This book was released on 1994 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jana Smith Raedy
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Horizon-Dependent Underreaction in Financial Analysts' Earnings Forecasts written by Jana Smith Raedy and published by . This book was released on 2012 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical evidence that underreaction in financial analysts' earnings forecasts increases with the forecast horizon, and the paper offers a rational economic explanation for this result. The empirical portion of the paper evaluates analysts' responses to earnings-surprise and other earnings-related information. Our empirical evidence suggests that analysts' earnings forecasts underreact to both types of information, and the underreaction increases with the forecast horizon. The paper also develops a theoretical model that explains this horizon-dependent analyst underreaction as a rational response to an asymmetric loss function. The model assumes that, for a given level of inaccuracy, analysts' reputations suffer more (less) when subsequent information causes a revision in investor expectations in the opposite (same) direction as the analyst's prior earnings forecast revision. Given this asymmetric loss function, underreaction increases with the risk of subsequent disconfirming information and with the disproportionate cost associated with revision reversal. Assuming that market frictions prevent prices from immediately unraveling these analyst underreaction tactics, investors buying (selling) stock based on analysts' positive (negative) earnings forecast revisions also benefit from analyst underreaction. Therefore, the asymmetric cost of forecast inaccuracy could arise from rational investor incentives consistent with a preference for analyst underreaction. Our incentives-based explanation for underreaction provides an alternative to psychology-based explanations and suggests avenues for further research.
Author : Mark Clatworthy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Are Analysts' Loss Functions Asymmetric? written by Mark Clatworthy and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite displaying a statistically significant optimism bias, analysts' earnings forecasts are an important input to investors' valuation models. Understanding the possible reasons for any bias is important if information is to be extracted from earnings forecasts and used optimally by investors. Extant research into the shape of analysts' loss functions explains optimism bias as resulting from analysts minimizing the mean absolute forecast error under symmetric, linear loss functions. When the distribution of earnings outcomes is skewed, optimal forecasts can appear biased. In contrast, research into analysts' economic incentives suggests that positive and negative earnings forecast errors made by analysts are not penalized or rewarded symmetrically, suggesting that asymmetric loss functions are an appropriate characterization. To reconcile these findings, we exploit results from economic theory relating to the Linex loss function to discriminate between the symmetric linear loss and the asymmetric loss explanations of analyst forecast bias. Under asymmetric loss functions optimal forecasts will appear biased even if earnings outcomes are symmetric. Our empirical results support the asymmetric loss function explanation. Further analysis also reveals that forecast bias varies systematically across firm characteristics that capture systematic variation in the earnings forecast error distribution.
Author : Sudipta Basu
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book Loss Function Assumptions in Rational Expectations Tests on Financial Analysts' Earnings Forecasts written by Sudipta Basu and published by . This book was released on 2014 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research concludes that financial analysts do not process public information efficiently in generating their earnings forecasts. The OLS regression-based tests used in prior studies assume implicitly that analysts face a quadratic loss function, or that analysts minimize their squared forecast errors. In contrast, we argue that analysts face a linear loss function, or that they minimize their absolute forecast errors. We conduct and compare rational expectations tests conditioned on these two alternative loss functions. While we replicate prior findings of inefficiency with OLS regressions, we find virtually no evidence of forecast inefficiency with Least Absolute Deviation regressions, where we explicitly assume a linear loss function.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author :
Publisher :
ISBN 13 :
Total Pages : 430 pages
Book Rating : 4.:/5 (31 download)
Download or read book Towards a Reconciliation of the Comparable Earnings, DCF and CAPM Approaches to Public Utility Rate Regulation written by and published by . This book was released on 1979 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (31 download)
Download or read book Research Projects and Publications written by and published by . This book was released on 1980 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles M. Linke
Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (31 download)
Download or read book "Chewing Ass Out" written by Charles M. Linke and published by . This book was released on 1980 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research
Publisher :
ISBN 13 :
Total Pages : 596 pages
Book Rating : 4.:/5 (31 download)
Download or read book Working Papers, Reprints and Other Publications written by University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research and published by . This book was released on 1980 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan Nagel
Publisher : Princeton University Press
ISBN 13 : 0691218706
Total Pages : 156 pages
Book Rating : 4.6/5 (912 download)
Download or read book Machine Learning in Asset Pricing written by Stefan Nagel and published by Princeton University Press. This book was released on 2021-05-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.
Author :
Publisher :
ISBN 13 :
Total Pages : 1032 pages
Book Rating : 4.:/5 (31 download)
Download or read book National Union Catalog written by and published by . This book was released on 1981 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes entries for maps and atlases.
Author : Graham Elliott
Publisher : Princeton University Press
ISBN 13 : 0691140138
Total Pages : 566 pages
Book Rating : 4.6/5 (911 download)
Download or read book Economic Forecasting written by Graham Elliott and published by Princeton University Press. This book was released on 2016-04-05 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and integrated approach to economic forecasting problems Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables. The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods Approaches forecasting from a decision theoretic and estimation perspective Covers Bayesian modeling, including methods for generating density forecasts Discusses model selection methods as well as forecast combinations Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility Features numerous empirical examples Examines the latest advances in forecast evaluation Essential for practitioners and students alike
Author : Joshua Ronen
Publisher : Springer Science & Business Media
ISBN 13 : 0387257713
Total Pages : 587 pages
Book Rating : 4.3/5 (872 download)
Download or read book Earnings Management written by Joshua Ronen and published by Springer Science & Business Media. This book was released on 2008-08-06 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a study of earnings management, aimed at scholars and professionals in accounting, finance, economics, and law. The authors address research questions including: Why are earnings so important that firms feel compelled to manipulate them? What set of circumstances will induce earnings management? How will the interaction among management, boards of directors, investors, employees, suppliers, customers and regulators affect earnings management? How to design empirical research addressing earnings management? What are the limitations and strengths of current empirical models?
Author :
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.3/5 (91 download)
Download or read book The Journal of Derivatives written by and published by . This book was released on 1998 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xun Zhang
Publisher : Frontiers Media SA
ISBN 13 : 283250681X
Total Pages : 200 pages
Book Rating : 4.8/5 (325 download)
Download or read book Advanced Models of Energy Forecasting written by Xun Zhang and published by Frontiers Media SA. This book was released on 2022-11-23 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
