The information content of analysts reports and bankruptcy risk measures
We evaluate the information content of analysts' reports and bankruptcy risk quantities towards each other, and examine whether differences arise between low- and high-risk firms and between stock recommendations and earnings forecasts. We reveal that past changes in analysts' reports convey valuable information towards future developments in default risk measures, analysts' outcome rely upon lagged modifications in corporate creditworthiness, and the predictive power in both directions is more pronounced among high risk enterprises. Furthermore, default likelihoods and analysts' recommendations and forecasts Granger cause each other, generating a significant feedback system. Moreover, earnings forecasts portray more profound relations to credit risk quantities than stock recommendations.
Year of publication: |
2010
|
---|---|
Authors: | Parnes, Dror |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 20.2010, 19, p. 1499-1513
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Abnormal mortgage delinquencies as housing crisis early symptoms
Parnes, Dror, (2018)
-
Corporate governance and corporate creditworthiness
Parnes, Dror, (2011)
-
The integration of mortgage and capital markets : a tale of two administrations
Parnes, Dror, (2019)
- More ...