The countercyclical price of risk is revealed through declining earnings, dividends, equity book and equity market values, short-run earnings expectations and increasing market returns (k), risk premiums (MRP) and book-to-market (BM) with contractions. Consistent with costly reversibility, high...

We present a two-stage model for the decision making process of financial analysts when issuing earnings forecasts. In the first stage, financial analysts perform a fundamental earnings analysis in which they are, potentially, subject to a behavioral bias. In the second stage analysts can adjust...

The literature in the area of index changes finds evidence that index changes are information free events. However, Denis, McConnell, Ovtchinnikov and Yu (2003) find evidence contrary to this theory. This study extends the work of Denis, McConnell, Ovtchinnikov and Yu (2003) in an attempt to...

Analysts' forecasts are often used as an information source by other investors, and therefore deviations from optimal forecasts are troublesome. Herding, which refers to imitation behavior as a consequence of individual considerations, can lead to such suboptimal forecasts and is therefore...

The main purpose of this study is to investigate the relative advantages and disadvantages of first-mover hypotheses by examining the role of entry timing in the announcement effects of corporate capital investment. Our empirical results suggest that those firms first announcing their capital...

The evaluation of the reliability of analysts' earnings forecasts is an important aspect of research for different reasons: Many empirical studies employ analysts' consensus forecasts as a proxy for the market's expectations of future earnings in order to identify the unanticipated component of...

This paper introduces a methodology for estimating the likelihood of private information usage amongst earnings analysts. This is achieved by assuming that one group of analysts generate forecasts based on the underlying dynamics of earnings, while all other analysts are assumed to issue...

This paper is an empirical examination, drawing on the Institutional Brokers Estimate System (I/B/E/S) database, of analysts’ earnings forecast optimism for Brazilian companies. The study found that analysts were optimistic on average and performed poorly in terms of precision and accuracy....

We use earnings forecasts from a cross-sectional model to proxy for cash flow expectations and estimate the implied cost of capital (ICC) for a large sample of firms over 1968–2008. The earnings forecasts generated by the cross-sectional model are superior to analysts' forecasts in terms of...

Much evidence in the 1990s cast serious doubt on securities analysts’ abilities to produce accurate research for intangible firms. Such evidence is in contrast to analysts’ image in the public mind as gatekeepers of the capital markets. This paper addresses the contentious question regarding...