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Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in general, not directly observable and it is poorly constrained...
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empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock …
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We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...
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This paper examines whether textual management forecast commonalities that arise in a global crisis setting relate to … ex post forecast accuracy, and whether subsequent analyst revisions confirm the credibility relevance of these … those periods serve as catalysts for creating measures to assess management forecast credibility. After arguing that sales …
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