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International Economic Policy Uncertainty and Properties of Analysts’ Earnings Forecasts
Le, Cao Hoang Anh; Shan, Yaowen; Taylor, Stephen L. - 2023
positively associated with analyst coverage, the size of forecast errors, as well as the extent of forecast dispersion … and both forecast accuracy and dispersion is stronger for firms in the resources and mining industries, and for longer … forecast horizons. Our results are consistent with heightened EPU being associated with a decline in firms’ information …
Persistent link: https://www.econbiz.de/10014355572
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An Empirical Study of Financial Analysts Earnings Forecast Accuracy
Stotz, Andrew - 2017
forecasts by 25.3%. This study may be the first of its kind to assess analyst earnings forecast accuracy at all listed companies …
Persistent link: https://www.econbiz.de/10012959862
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Oil Price Exposure, Earnings Announcements, and Stock Return Predictability
Moore, Jordan - 2020
in the next quarter. Our oil-response forecast strategy earns especially high returns in periods that follow large …
Persistent link: https://www.econbiz.de/10012852476
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Cross-cryptocurrency Return Predictability
Guo, Li; Kang, Donghun; Sang, Bo; Wang, Yu - 2021
Using the minute-frequency data of the top 30 coins listed on Binance, which represent 86% of the total dollar trading volume of the cryptocurrency market, we document strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant...
Persistent link: https://www.econbiz.de/10013212875
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Cross-Cryptocurrency Return Predictability
Guo, Li; Sang, Bo; Tu, Jun; Wang, Yu - 2022
Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are...
Persistent link: https://www.econbiz.de/10013312724
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Why does the yield-curve slope predict recessions?
Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018
Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...
Persistent link: https://www.econbiz.de/10011924714
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Illiquidity and Earnings Predictability
Kerr, Jon N. - 2018
This paper studies whether illiquidity affects the predictability of fundamental valuation variables. Firm-level, cross-sectional analyses show that returns of illiquid stocks contain less information about their firm's future earnings growth compared to those of more liquid stocks. A natural...
Persistent link: https://www.econbiz.de/10012940517
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Cash-Flow or Return Predictability at Long Horizons? The Case of Earnings Yield
Maio, Paulo F. - 2020
We examine the predictive ability of the aggregate earnings yield for market returns and earnings growth by estimating variance decompositions at multiple horizons. Based on weighted long-horizon regressions, we find that most of the variation in the earnings yield is due to return...
Persistent link: https://www.econbiz.de/10012857172
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Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021
This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...
Persistent link: https://www.econbiz.de/10013248340
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Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27
The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...
Persistent link: https://www.econbiz.de/10013179575