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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
/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
cross-sectional variation. On average, the bias increases in the forecast horizon, and analysts revise their expectations …. We show that analyst expectations are on average biased upwards, and that this bias exhibits substantial time-series and …
Persistent link: https://www.econbiz.de/10012481146
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
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
Our paper reexamines the forecasting regressions which predict annual aggregate stock market returns net of the risk-free rate with lagged aggregate dividend-yield ratios and dividend-price ratios. Prior to 1990, the conditional dividend yield could reliably outperform the historical equity...
Persistent link: https://www.econbiz.de/10012469927
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
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
allows us to observe a long panel of managerial forecast errors for a sample of firms representative of the Italian economy …. We show that managerial forecast errors are <i>positively and significantly</i> autocorrelated. This persistence in … forecast error is consistent with managerial underreaction to new information. To quantify the economic significance of this …
Persistent link: https://www.econbiz.de/10012479353
The short ratio - shares shorted to shares outstanding - is an oft-used measure of arbitrageurs' opinion about a stock's over-valuation. We show that days-to-cover (DTC), which divides a stock's short ratio by its average daily share turnover, is a more theoretically well-motivated measure...
Persistent link: https://www.econbiz.de/10012457501