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Predictability of earnings and its impact on stock returns : evidence from India
Kundu, Sayantan; Banerjee, Aditya - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...
Persistent link: https://www.econbiz.de/10013183853
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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
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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
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Analysts' disagreement, self-selection, and stock returns
Wu, Liang; Long, Yunshen; Li, Wenyue; Wu, Bingyan - In: Journal of business economics and management 24 (2023) 1, pp. 37-53
Two ex-ante variables are introduced to characterize the analysts' biased behavior, namely the analysts' disagreement and self-selection in analysts' earnings forecasts. The study investigates the impact of the analysts' disagreement and self-selection on the stock returns. A theoretical...
Persistent link: https://www.econbiz.de/10014330637
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Big data, accounting information, and valuation
Nissim, Doron - In: The Journal of finance and data science : JFDS 8 (2022), pp. 69-85
This paper reviews research that uses big data and/or machine learning methods to provide insight relevant for equity valuation. Given the huge volume of research in this area, the review focuses on studies that either use or inform on accounting variables. The article concludes by providing...
Persistent link: https://www.econbiz.de/10014433769
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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
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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
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The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market
Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...
Persistent link: https://www.econbiz.de/10012887921
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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
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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