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Noise in Expectations : Evidence from Analyst Forecasts
De Silva, Tim - National Bureau of Economic Research - 2021
This paper quantifies the amount of noise and bias in analysts' forecast of corporate earnings at various horizons. We … next decompose the relative accuracy of these forecasts into three components: (i) noise, (ii) bias and (iii) analysts … both noise and bias are increase linearly. We then show most existing models lack a mechanism to account for these facts …
Persistent link: https://www.econbiz.de/10012585447
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Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole
Ferreira, Miguel A. - 2008
We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...
Persistent link: https://www.econbiz.de/10012464077
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Valuation Ratios and the Long-Run Stock Market Outlook : An Update
Campbell, John Y. - 2001
The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...
Persistent link: https://www.econbiz.de/10012470503
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10012457852
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Changing Times, Changing Values : A Historical Analysis of Sectors within the US Stock Market 1872-2013
Bunn, Oliver D. - 2014
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10012458297
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …
Persistent link: https://www.econbiz.de/10012470566
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Biases in the IPO Pricing Process
Lowry, Michelle - 2001
By investigating the entire IPO pricing process, beginning when the offering is filed, the paper contributes to the existing literature along four dimensions. First, price updates during the registration period are predictable based on firm and offer-specific characteristics known at the time...
Persistent link: https://www.econbiz.de/10012470130
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Beliefs About the Economy are Excessively Sensitive to Household-Level Shocks : Evidence from Linked Survey and Administrative Data
Taubinsky, Dmitry; Butera, Luigi; Saccarola, Matteo; … - National Bureau of Economic Research - 2024
additional tests, some of which utilize data on adverse health events, suggests that the forecast biases are at least partly due …
Persistent link: https://www.econbiz.de/10014635627
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Market Reactions to Tangible and Intangible Information
Daniel, Kent - 2003
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012468955
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Analysts' Conflict of Interest and Biases in Earnings Forecasts
Chan, Louis K. C. - 2003
distribution of earnings surprises, the market's response to surprises and forecast revisions, and in the predictability of non …
Persistent link: https://www.econbiz.de/10012469156