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Concurrent Earnings Announcements and Analysts’ Information Production
Driskill, Matthew - 2019
We examine whether financial analysts—sophisticated market participants—are subject to limited attention. We find that when analysts have another firm in their coverage portfolio announcing earnings on the same day as the sample firm (a “concurrent announcement”), they are less likely to...
Persistent link: https://www.econbiz.de/10012902859
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Information Diffusion in Analyst Portfolios
Petzev, Ivan - 2017
Analysts cover portfolios of firms. Firms in these analyst portfolios are thus in principle subject to common (integrated) production of information. Nonetheless, this paper documents significant stock return and forecast revision predictability across firms with common analyst coverage. Prices...
Persistent link: https://www.econbiz.de/10012967356
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A Practitioner’s Guide to the CAPM : An Empirical Study
French, Jordan - 2018
The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate …? This research looks at the out of sample forecasting capabilities of three popular CAPM ex-post constant beta models from … the pricing, contrary to popular studies that use five to ten years of historical data. There are many different CAPM …
Persistent link: https://www.econbiz.de/10012907773
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Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams) : Testing Predicted Beta with Liquidity Adjustment
Teplova, Tamara - 2012
justify the DCF construction on Russian capital market use CAPM. The present paper assesses the CAPM predicted beta …
Persistent link: https://www.econbiz.de/10013113257
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Consensus Analyst Target Prices : Information Content and Implications for Investors
Palley, Asa - 2019
Consensus analyst target prices are widely available online at no cost to investors. In this paper we consider whether these consensus target prices are informative for predicting future returns. We find that when considered in isolation, consensus target prices are not generally informative...
Persistent link: https://www.econbiz.de/10012861400
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Do Social Interactions Communicate or Garble Information? Evidence from Equity Analysts
Chen, Qi - 2018
We examine the effects of social interaction among equity analysts on the transmission of geographic-specific information and the quality of analysts' forecasts. We focus on interactions among local peers, defined as analysts who work in the same brokerage office (officemates) who cover...
Persistent link: https://www.econbiz.de/10012933101
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Modifications on book-valued ratios
Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37
Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...
Persistent link: https://www.econbiz.de/10014281276
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Do Analysts Chase Prices When Prices Have No Information?
Starkweather, Austin - 2019
In a recent survey of analysts, 96% claim that returns are not very useful as earnings forecast model inputs. I find, though, that analysts actually do incorporate returns into their earnings forecasts, even if those returns have no underlying earnings information. This leads to forecast error,...
Persistent link: https://www.econbiz.de/10012859897
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Accounting-Based Equity Valuation and Returns on Equity Volatility
Lyle, Matthew R. - 2020
The same firm characteristics that help explain cross-sectional variation in expected stock returns, such as size, book-to-market and the earnings yield, also help explain cross-sectional variation in returns to trading in option-implied stock return volatility. This empirical phenomenon is...
Persistent link: https://www.econbiz.de/10012855869
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Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios
Detzel, Andrew L. - 2017
In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...
Persistent link: https://www.econbiz.de/10012968901