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Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

Forecasting term structure of interest rates in Japan

Ishii, Hokuto - In: International Journal of Financial Studies : open … 7 (2019) 3/39, pp. 1-35

In this paper, we examined and compared the forecast performances of the dynamic Nelson–Siegel (DNS), dynamic Nelson …–Siegel–Svensson (DNSS), and arbitrage-free Nelson–Siegel (AFNS) models after the financial crisis period. The best model for the forecast … that the AFNS is superior to the DNS model in the long forecast horizon. …

Persistent link: https://www.econbiz.de/10012039649

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

The effects of bankruptcy on the predictability of price formation processes on Warsaw's stock market

Fiedor, Paweł; Hołda, Artur - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 32-42

In this study we investigate how bankruptcy affects the market behaviour of prices of stocks on Warsaw’s Stock Exchange. As the behaviour of prices can be seen in a myriad of ways, we investigate a particular aspect of this behaviour, namely the predictability of these price formation...

Persistent link: https://www.econbiz.de/10011539782

The accuracy of financial analysts’ earnings forecasts and the Tunisian market reliance with time

Ahmed, Bouteska; Boutheina, Regaieg - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

paper is to investigate whether following the Tunisian stock market opening, both the analyst forecast accuracy and the … increasing with time. Second, we find evidence that earnings expectations are not mainly based on analyst forecast in the first … (2010–2015) as analyst forecast better explain returns and exhibit greater relative information content. …

Persistent link: https://www.econbiz.de/10011882305

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock …

Persistent link: https://www.econbiz.de/10011556115

Management earnings forecasts and analyst forecasts : evidence from mandatory disclosure system

Wang, Yutao; Chen, Yunsen; Wang, Juxian - In: China journal of accounting research : CJAR 8 (2015) 2, pp. 133-146

Distinct from the literature on the effects that management earnings forecasts (MEFs) properties, such as point, range and qualitative estimations, have on analyst forecasts, this study explores the effects of selective disclosure of MEFs. Under China’s mandatory disclosure system, this study...

Persistent link: https://www.econbiz.de/10011844432

Accounting standard changes and foreign analyst behavior : evidence from China

Wang, Yutao; Hou, Yu; Chen, Xiaolin - In: China journal of accounting research : CJAR 5 (2012) 1, pp. 27-43

implemented during 2007. The empirical results show that after the new accounting standards were implemented, forecast error among … forecast earnings more frequently than they did before the new accounting standards. These results imply that the …

Persistent link: https://www.econbiz.de/10011824957

How to improve quality investing

Otero-González, Luis; Durán Santomil, Pablo; Vieito, … - In: Business research quarterly : BRQ 28 (2025) 2, pp. 453-473

In this article, we evaluate the relationship between quality investing combined with Economic Moat, ESG (Environmental, Social and Governance) and analyst opinions over the period 2014-2020 based on a data set comprising 803 US stocks. Performance is evaluated using several metrics (returns and...

Persistent link: https://www.econbiz.de/10015375408

Complexity is never simple : intangible intensity and analyst accuracy

Ferrer, Elena; Santamaría Aquilué, Rafael; Suárez, Nuria - In: Business research quarterly : BRQ 25 (2022) 2, pp. 143-172

the relationship between intangible intensity and analyst accuracy. Analyst forecast accuracy acts as a channel through …

Persistent link: https://www.econbiz.de/10013270591