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Online Visits and Forecasting Errors : Evidence from Chinese Financial Analysts

Wang, Jun - 2021

higher analysts' forecast errors. Using a difference-in-differences methodology, we find a positive association between … online mode and analysts' forecast errors. We further discuss possible underlying mechanisms by analyzing the changes of … controlling for these mechanisms. Furthermore, the increase in forecast error is more pronounced for firms with low Internet …

Persistent link: https://www.econbiz.de/10013216235

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

Monetary policy, inflation outlook, and recession probabilities

Ajello, Andrea; Benzoni, Luca; Schwinn, Makena; Timmer, … - 2022

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

Persistent link: https://www.econbiz.de/10013279282

Forecasting USD/EUR FX Rate Volatilities

Park, Jungjun - 2022

As many international transactions are settled in the future, forecasting exchange rates is a very useful endeavor for risk management purposes. We estimate GARCH models to capture the behavior of the conditional volatility. The expected daily volatility converges to the unconditional variance...

Persistent link: https://www.econbiz.de/10014236565

Shared Analyst Coverage and Intra-portfolio Information Spillover : Evidence from Management Earnings Forecasts

Ji, Mingming; Jiang, Liangliang - 2022

This paper examines the role of information spillovers within analysts’ portfolio in improving analyst forecast … accuracy. We show a positive intra-portfolio information spillover effect, that is, the management earnings forecasts issued by … large firms can reduce analysts forecast errors on the corresponding small firms within the same analyst portfolio. We find …

Persistent link: https://www.econbiz.de/10014238059

Transitory Inflation and Projection of Future Inflation

Bonaparte, Yosef; Peron, Matt - 2023

This paper presents an econometric methodology to develop a transitory inflation measure, which reflects a consistent deviation from the mean reversion for at least four consecutive months, and shows it is distinct from white noise inflation. We then utilize this transitory inflation data to...

Persistent link: https://www.econbiz.de/10014261549

Machine Forecast Disagreement and Equity Returns

Bali, Turan G.; Chang, Ran; Kelly, Bryan T. - 2022

same set of inputs. We measure disagreement as the standard deviation of expected return forecasts across investors, which …

Persistent link: https://www.econbiz.de/10013298797

Cross-Cryptocurrency Return Predictability

Guo, Li; Sang, Bo; Tu, Jun; Wang, Yu - 2022

Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are...

Persistent link: https://www.econbiz.de/10013312724

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Bearish Analysts and the Issuance of Difficult-to-Beat Earnings Forecasts

Call, Andrew C.; Sharp, Nathan Y.; Snow, Mason C. - 2022

one such forecast, and that these forecasts increase the likelihood that a firm misses the consensus forecast by 21 … unusually optimistic earnings forecast at the end of the year that increases the likelihood of an earnings miss. We first … difficult-to-beat forecast as a final earnings forecast prior to the earnings announcement that exceeds even the most optimistic …

Persistent link: https://www.econbiz.de/10013492681