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What drives the Quotes of Earnings Forecasters?
de Bruijn, Bert; Franses, Philip Hans - 2012
Earnings forecasts can be useful for investment decisions. Research on earnings forecasts has focused on forecast … determine the value of the forecast and also investigate to what extent the timing of the forecast can be modeled. We propose a … clear drivers of the value and the timing of the earnings forecast. We thus show that not only the forecasts themselves are …
Persistent link: https://www.econbiz.de/10010326351
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Earnings autocorrelation and the post-earnings-announcement drift: Experimental evidence
Fink, Josef; Palan, Stefan; Theissen, Erik - 2020
Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...
Persistent link: https://www.econbiz.de/10012315966
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Mandatory financial information disclosure and credit ratings
Vanhaverbeke, Steven; Balsmeier, Benjamin; Doherr, Thorsten - 2022
When firms are forced to publicly disclose financial information, credit rating agencies are supposed to improve their risk assessments. Theory predicts such an information quality effect but also an adverse reputational concerns effect because credit analysts may become increasingly concerned...
Persistent link: https://www.econbiz.de/10013412964
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Forecasting ECB monetary policy: accuracy is (still) a matter of geography
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2006
countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …
Persistent link: https://www.econbiz.de/10010299102
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Forecasting ECB monetary policy: accuracy is (still) a matter of geography
Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2006
countries, we find remarkable differences in forecast accuracy, and show that they are partly related to geography and …
Persistent link: https://www.econbiz.de/10011604624
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Time-dynamic evaluations under non-monotone information generated by marked point processes
Christiansen, Marcus C. - In: Finance and Stochastics 25 (2021) 3, pp. 563-596
The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and...
Persistent link: https://www.econbiz.de/10014497597
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Investor attention and stock market activities: New evidence from panel data
Brooks, Robert - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-19
Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence of the SVI-stock market activities relationship...
Persistent link: https://www.econbiz.de/10013200208
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27
Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...
Persistent link: https://www.econbiz.de/10013201388
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Herding in smart-beta investment products
Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-14
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem particularly relevant but its negative effects have...
Persistent link: https://www.econbiz.de/10012611151
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Effects of ipo offer price ranges on initial subscription, initial turnover and ownership structure: Evidence from Indian ipo market
Sandhu, Harsimran; Guhathakurta, Kousik - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-19
In this paper, we establish the significance and effects of initial public offer (IPO) offer price ranges on subscription, initial trading, and post-IPO ownership structures. The primary market in India provides a unique setting for estimating the effect of various initial public offer (IPO)...
Persistent link: https://www.econbiz.de/10012611489