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Accuracy versus Complexity Trade-Off in VaR Modelling : Could Technical Analysis Be a Solution?

Vasileiou, Evangelos - 2019

Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modelling, many crises have emerged during the same period, and an explanation for this is that the advanced models...

Persistent link: https://www.econbiz.de/10012860668

Does the Midpoint of Range Earnings Forecasts Represent Managers’ Expectations?

Ciconte, Will - 2015

The accounting literature has used the midpoint of range forecasts in various research settings, assuming that the midpoint is the best proxy for managers' earnings expectations revealed in range forecasts. We argue that given managers' asymmetric loss functions regarding earnings surprises,...

Persistent link: https://www.econbiz.de/10013036896

Predictability Without Accuracy? Diversity, Consistency, and Earnings Predictability

Chhaochharia, Vidhi; Kumar, Alok; Zhang, Shiyi - 2023

forecasts generates stronger correlation between the aggregate consensus forecast and future firm-level earnings. Further, the …

Persistent link: https://www.econbiz.de/10014353348

Reading the Tea Leaves : Model Uncertainty, Robust Forecasts, and the Autocorrelation of Analysts' Forecast Errors

Linnainmaa, Juhani - 2015

mechanism explains approximately 60% of the autocorrelation in analysts' forecast errors. The remainder stems from the cross …-sectional variation in mean forecast errors and in analysts' estimation errors of the persistence of earnings growth shocks. Consistent … reduces, but does not eliminate, the auto- correlation of forecast errors as firms age. Other potential explanations for the …

Persistent link: https://www.econbiz.de/10013039156

Why Do Security Analysts Issue Early Forecasts?

Balashov, Vadim S. - 2019

I study security analysts' early forecasts. Forecasts with over one-year horizons constitute nearly one-half of all analysts' forecasts. I find that the demand for early forecasts is driven by long-term institutional investors and that analyst skills and resources are more important for...

Persistent link: https://www.econbiz.de/10012869682

Strategic Distortions in Analyst Forecasts in the Presence of Short-Term Institutional Investors

Bilinski, Pawel - 2018

We document that analysts cater to short-term investors by issuing optimistic target prices. Catering dominates among analysts at brokers without an investment banking arm as they face lower reputational cost. The market does not see through the analyst catering activity and their forecasts lead...

Persistent link: https://www.econbiz.de/10012937400

Forecast in Capital Markets

Ledenyov, Dimitri - 2016

Persistent link: https://www.econbiz.de/10012987861

Time-Varying Leverage Demand and Predictability of Betting-Against-Beta

Hedegaard, Esben - 2018

The leverage aversion theory implies that returns to the betting-against-beta (BAB) strategy are predictable by past market returns: An outward shift in investors' aggregate demand function simultaneously increases market prices and increases the expected future BAB return. I confirm the...

Persistent link: https://www.econbiz.de/10012916920

Blinding Precedent - Heading into 2023, How Reliable Are Empirical or Trend-Based Expectations or Forecasts of Capital Market Direction or CPM Models?

Gambles, Paul; Ng, Jureemas; Endo, Nuttika - 2023

Most capital market forecasts for the year ahead tend to be narrow consensus extrapolations of broad trends and historic data, in which analysts look in particular at the last 12 months, especially in a rising market, and assume, as a baseline, that a similar outcome will recur in the next 12...

Persistent link: https://www.econbiz.de/10014254890

Corporate Governance and Financial Distress : A Discrete Time Hazard Prediction Model

Li, Zhiyong - 2015

Poor corporate governance can damage the interests of shareholders, and may lead to company collapse. Previous studies in credit risk prediction provide no consensus as to which and how corporate governance variables determine bankruptcy. This paper is the first to apply a discrete time hazard...

Persistent link: https://www.econbiz.de/10013018775