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A New Measure of Earnings Forecast Uncertainty : Theory and Evidence
Sheng, Xuguang Simon - 2010
By decomposing analysts' forecast errors into common and idiosyncratic components, we develop a simple model aimed at … explaining the relationship between forecast uncertainty and analyst dispersion. Under this framework, we propose a new measure … of earnings forecast uncertainty as the sum of dispersion among analysts and the variance of mean forecast errors …
Persistent link: https://www.econbiz.de/10013138826
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Forecasting stock market volatility : can the risk aversion measure exert an important role?
Dai, Zhifeng; Chang, Xiaoming - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013188175
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Quasi ex-ante inflation forecast uncertainty
Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: International journal of forecasting 35 (2019) 3, pp. 994-1007
Persistent link: https://www.econbiz.de/10012305215
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Forecasting bond risk premia with unspanned macroeconomic information
Liu, Rui - In: The quarterly journal of finance 9 (2019) 1, pp. 1-62
Persistent link: https://www.econbiz.de/10012029073
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …
Persistent link: https://www.econbiz.de/10010441139
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Forecasting exchange rate volatility : is economic policy uncertainty better?
Ruan, Qingsong; Zhang, Jiarui; Lv, Dayong - In: Applied economics 56 (2024) 13, pp. 1526-1544
Persistent link: https://www.econbiz.de/10014473121
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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Can we forecast better in periods of low uncertainty? : the role of technical indicators
Ferrer Fernández, María; Henry, Ólan Thomas John; … - In: Journal of empirical finance 71 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014292349
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Financial uncertainty, risk aversion and monetary policy
Inekwe, Nkwoma John - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 939-961
Persistent link: https://www.econbiz.de/10011554354
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Valuation uncertainty risk compensation and IPO prospectus earnings forecasts
Shi, Jing; Bilson, Chris M.; Powell, John Gregory - In: Applied economics letters 15 (2008) 4/6, pp. 331-335
Persistent link: https://www.econbiz.de/10003727307