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Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination

Fang, Jing - 2019

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee … the accounting valuation-based predictor does not suffer the problem of instable in-sample and poor out … the accounting valuation-based predictor, suggesting that the accounting valuation-based predictor carries information not …

Persistent link: https://www.econbiz.de/10014103309

The Implied Equity Duration When Discounting and Forecasting Parameters are Industry Specific

Fullana, Olga - 2016

In a seminal paper, Dechow, Sloan and Soliman (2004) develop a price-implied measure for equity duration and for its estimation they employ parsimonious but relatively crude procedures. Hence, these authors claim that improvements in procedures should lead to more accurate and useful estimates...

Persistent link: https://www.econbiz.de/10013006937

Predicting Stock Market Returns Based on the Content of Annual Report Narrative : A New Anomaly

Wisniewski, Tomasz Piotr - 2015

This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of...

Persistent link: https://www.econbiz.de/10013033070

Salient or Safe : Why Do Predicted Stock Issuers Earn Low Returns?

Lee, Charles M.C. - 2019

Predicted stock issuers (PSIs) are firms with expected “high-investment and low-profit” (HILP) profiles that earn unusually low returns. We carefully document important features of PSI firms to provide insights on the economic mechanism behind the HILP phenomenon. Top-PSI firms are...

Persistent link: https://www.econbiz.de/10012902654

Shorting Activity and Stock Return Predictability : Evidence From a Mandatory Disclosure Shock

Griffin, Paul A.; Hong, Hyun A.; Kalcheva, Ivalina; … - 2021

the shock of the mandatory accounting change crowds out some of short-sellers’ value-relevant information in the equity … lending market. Thus, while the democratization of information from a structured accounting change may make sophisticated …

Persistent link: https://www.econbiz.de/10013224726

Do Stock Prices Influence Analysts’ Earnings Forecasts?

Miller, Jeffrey S. - 2010

This paper presents results from an experiment and follow-up survey examining whether stock prices influence analysts' earnings forecasts. In our experiment, prices influence analysts' forecasts when uncertainty about future earnings is high, but not when uncertainty is low. Additional analyses...

Persistent link: https://www.econbiz.de/10013139640

Target price forecasts : The roles of the 52-week high price and recent investor sentiment

Clarkson, Peter M.; Nekrasov, Alexander; Simon, Andreas; … - 2020

This paper reveals that in addition to fundamental factors, the 52-week high price and recent investor sentiment play an important role in analysts' target price formation. Analysts' forecasts of short-term earnings and long-term earnings growth are shown to be important explanatory variables...

Persistent link: https://www.econbiz.de/10012857242

Measuring risk information

Smith, Kevin; So, Eric - 2020

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Persistent link: https://www.econbiz.de/10012244502

Can a Hybrid Method Improve Equity Valuation? An Empirical Evaluation of the Ohlson and Johannesson (2016) Model

Gao, Zhan - 2019

This paper investigates the validity and usefulness of “hybrid” valuation models. We recast the model in Ohlson and Johannesson (2016) as a hybrid of the Dividend Discount Model and an earnings-based price multiple model, and develop a new hybrid model that generalizes the Residual Income...

Persistent link: https://www.econbiz.de/10012901969

Predicting Restatements in Macroeconomic Indicators Using Accounting Information

Nallareddy, Suresh - 2015

Earnings growth dispersion contains information about trends in labor reallocation, unemployment change, and, ultimately, aggregate output. We find that initial macroeconomic estimates released by government statistical agencies do not fully incorporate this information. As a consequence,...

Persistent link: https://www.econbiz.de/10013033473