Analyst Earnings Forecast Revisions and the Pricing of Accruals

We investigate the relation between two market anomalies to provide insights into analysts role as information intermediaries. Prior research finds that accruals and analyst earnings forecast revisions predict future returns. We find that the accrual and forecast revision strategies generate hedge returns of 15.5% and 5.5% when implemented independently. Strikingly, a combined strategy that uses forecast revisions to refine the accrual strategy generates a hedge return of 28.5%. Firms with consistent accrual and forecast revision signals have less persistent accruals and earnings. We also find that accruals can be used to refine the forecast revision strategy—high accruals are associated with overoptimism in analyst forecasts. Our findings indicate that although forecast revisions reflect information about accrual and earnings persistence beyond that reflected in the level of current year accruals, investors do not fully incorporate this information into their valuation assessments.     

The Impact of Analysts' Forecast Errors and Forecast Revisions on Stock Prices

Abstract:  We present a comprehensive analysis of the association between stock returns, quarterly earnings forecast errors, and quarter-ahead and year-ahead earnings forecast revisions. We find that forecast errors and the two forecast revisions have significant effects on stock prices, indicating each conveys information content. Findings also show that the fourth quarter differs from other quarters—the relative importance of the forecast error (quarter-ahead forecast revision) is lower (higher). We also find a marked upward shift over time in the forecast error and forecast revision coefficients, consistent with the I/B/E/S database reflecting an improved quality of both earnings forecasts and actual earnings.     

Effects of Preannouncements on Analyst and Stock Price Reactions to Earnings News

This study examines the effects of earnings preannouncements on financial analyst and stock price reactions to earnings news. Prior experimental research documents that when the signs of a preannouncement surprise and subsequent earnings announcement surprise are consistent (i.e., both either positive or negative), analysts make larger magnitude revisions to their future period earnings forecasts in response to the total earnings news conveyed in the preannouncement and earnings announcement than when the surprise signs are inconsistent. This study extends this research by examining a sample of actual preannouncements from 1993–1997 to determine whether the effects documented in laboratory settings manifest at the aggregate market level in stock prices and consensus analyst forecast revisions. Results indicate that after controlling for the sign of earnings news, sign of earnings, and sign of the earnings announcement surprise, stock prices and analyst forecast revisions respond more strongly when a preannouncement and subsequent earnings announcement elicit the same surprise signs than when the surprise signs are inconsistent. Further analysis indicates that the consistency of the signs of a preannouncement surprise and earnings announcement surprise is not associated with future earnings, suggesting that the magnified reaction of investors and analysts to consistent surprise signs is not a rational reaction to associations observed in market settings.     

Does Meeting Earnings Expectations Matter? Evidence from Analyst Forecast Revisions and Share Prices

This paper investigates whether the market rewards firms meeting current period earnings expectations, and whether any such reward reflects the implications of meeting expectations in the current period for future earnings or reflects a distinct market premium. We document that abnormal annual returns are significantly greater for firms meeting expectations, controlling for the information in the current year's earnings. We then test whether firms meeting expectations experience higher returns simply because their expected future earnings are also higher. We find firms meeting expectations have significantly higher earnings forecasts and realized earnings than firms that do not. We find that controlling for these higher future earnings, firms meeting expectations in one or two years do not receive a greater valuation than their fundamentals would suggest. We find, however, that the market assigns a higher value to firms that meet expectations consistently, controlling for an estimate of the firm's fundamental value.     

Investor Reaction to Celebrity Analysts: The Case of Earnings Forecast Revisions

We examine the effects of analysts' celebrity on investor reaction to earnings forecast revisions. We measure celebrity as the quantity of media coverage analysts receive in sources included in the Dow Jones Interactive database, and find that media coverage is positively related to investor reaction to forecast revisions. The effect of celebrity on the reaction to forecast revisions remains significant after controlling for forecast performance variables examined in prior studies (ex post forecast accuracy, ex ante accuracy, award status, and other variables shown to be related to forecast accuracy). While these results are consistent with the familiarity of the analyst's name affecting the market reaction, we cannot rule out that our measure of celebrity is correlated with error in the performance measures we examine and/or correlated with other unexamined dimensions of forecast performance. A content analysis of a random subsample of the media coverage of our sample analysts suggests that our findings likely are not due to the increased availability of forecast revisions. Finally, an investigation of the excess returns around the quarterly earnings announcement date suggests that market participants react too strongly to forecast revisions issued by analysts with high levels of media coverage. Taken together, these findings suggest that an analyst's level of media coverage can affect the initial market reaction to his forecast revisions.     

Stock Price Reaction to Daily Limit Moves: Evidence From the Taiwan Stock Exchange

This paper tests the overreaction hypothesis by examining the price behavior following daily limit moves. The sample includes all listed firms on the Taiwan Stock Exchange for the period 1971—93. There are significant price reversals following the limit moves for both the up-limit and the down-limit cases. The price reversals cannot be attributed to the size effect. When the size effect is adjusted for, the price reversals remain significant.     

Analyst Pessimism and Forecast Timing

In this study, we show that on average relatively pessimistic analysts tend to reveal their earnings forecasts later than other analysts. Further, we find this forecast timing effect explains a substantial proportion of the well‐known decrease in consensus analyst forecast optimism over the forecast period prior to earnings announcements, which helps explain why analysts’ longer term earnings forecasts are more optimistically biased than their shorter term forecasts. We extend the theory of analyst self‐selection regarding their coverage decisions to argue that analysts with a relatively pessimistic view–compared to other analysts–are more reluctant to issue their earnings forecasts, with the result that they tend to defer revealing their earnings forecasts until later in the forecasting period than other analysts.     

股吧评论、分析师跟踪与股价崩溃风险——关于模糊信息的信息含量分析

东方财富股吧等股票论坛日渐活跃,反映了投资者对获得上市公司真实、完整、及时信息的强烈需求。尽管股吧有助于促进信息传播,但仍是非正式的信息发布平台,股吧评论本质上是一种模糊信息。为探明股吧评论的信息含量,本文以2012—2017年A股上市公司为研究样本,研究股吧评论对股价崩溃风险的影响,以及同样属于模糊信息的分析师跟踪在这一过程中可能产生的作用。实证结果表明,股吧评论分歧越小,股价崩溃风险越大,并且分析师跟踪人数和研报数量在上述影响过程中发挥中介作用。研究结果有助于厘清股吧评论影响股价崩溃风险的路径和机理,既丰富了股价崩溃风险成因的研究,也揭示了股吧评论、分析师跟踪等模糊信息的信息含量。     

家族涉入、业绩预告与股价崩盘风险

本文考察家族企业治理模式的有效性,以家族涉入对股价崩盘风险的影响为切入点,从社会情感财富的视角为家族涉入的有效性提供证据。研究发现,家族涉入程度越高,发生股价崩盘风险的概率越低。机制检验发现,家族涉入通过提高业绩预告质量来降低股价崩盘风险,具体表现为披露更准确和更及时的业绩预告。进一步研究发现,当业绩预告的披露形式精确度更高以及在自愿性披露的背景下,家族涉入对股价崩盘风险的抑制作用更强。本文的结论丰富了家族企业与股价崩盘风险的研究内容,且对业界如何提升家族企业治理水平以及维护资本市场的稳定具有一定的指导意义。     

Analyst Forecast Accuracy and Media Independence

Using a large international sample of 47,307 firm‐years from 52 countries, we investigate the impact of media independence on the forecast quality of financial analysts. We find that analyst forecast errors are positively associated with the extent of a country's state media ownership and its lack of freedom of the press. We also find that financial analysts with more inaccurate forecasts disappear from the institutional broker's estimate system more quickly in countries with more independent media.     

Analyst Specialization and Conglomerate Stock Breakups

This paper examines whether firms emerging from conglomerate stock breakups are able to affect the types of financial analysts that cover their firms as well as the quality of information generated about their performance. Our sample comprises 103 focus-increasing spin-offs, equity carve-outs, and targeted stock offerings between 1990 and 1995. We find that, after these transactions, sample firms experience a significant increase in coverage by analysts that specialize in subsidiary firms' industries, and a 30–50% increase in analyst forecast accuracy for parent and subsidiary firms. The improvement in forecast accuracy is partially attributable to expanded disclosure. However, forecast improvements for specialists exceed those for non-specialists, leading us to conclude that corporate focus can facilitate improved capital market intermediation by financial analysts with industry expertise.     

Analyst Report Readability and Stock Returns

This study investigates the market's response to analyst report readability. We posit that readable reports decrease uncertainty of earnings expectations and by extension increase stock prices. Our results show that the equity market reacts more positively to readable reports and that this positive reaction is attributable to a reduction in uncertainty of future performance. Moreover, we find that the effect of readability on stock prices is significantly positive only for firms with greater R&D spending, higher bid‐ask spreads, a greater proportion of uninformed investors, and more experienced analysts, which suggests that readability matters only when information asymmetry in the equity market is high.     

The Effects of Disclosure and Analyst Regulations on the Relevance of Analyst Characteristics for Explaining Analyst Forecast Accuracy

We posit and find an effect of disclosure and analyst reporting regulations implemented from 2000 through 2003 (including Regulation Fair Disclosure, the Sarbanes‐Oxley Act and the Global Settlement Act) on the importance of analyst and forecast characteristics for analyst forecast accuracy. Following the enactment of these regulations, more experienced analysts and All‐Star analysts do not maintain their superior forecast accuracy, and analysts employed by large brokerage houses perform worse than other analysts. In addition, we find a decrease in the importance of analyst effort, the number of industries and firms followed, days elapsed since the last forecast, and forecast horizon. While the importance of bold upward forecast revisions does not change, bold downward revisions lose their relevance for forecast accuracy after 2003. Finally, we find an increase in the importance of prior forecast accuracy. We find that the importance of these characteristics varies with the precision of publicly available information. Specifically, the decrease in the importance of most analyst and forecast characteristics and the increase in the importance of prior forecast accuracy are greater when the precision of publicly available information is low. Overall, our results suggest that the positive effects of experience, effort, brokerage house size and All‐Star status on forecast accuracy in the pre‐regulation period were because of the information advantages that these analysts enjoyed (rather than their ability to generate private information). In contrast, our results suggest that prior forecast accuracy is related to analysts’ ability to generate private information.     

基于神经网络技术的股指预测模型及实证分析

通过建立BP神经网络预测模型和GARCH-BP神经网络预测模型,对2001年深圳成分指数的日收盘价进行预测分析发现,GARCH-BP模型较BP模型的收敛速度快,学习能力强,预测精度较高,误差率较小.     

Price Informativeness and Investment Sensitivity to Stock Price

The article shows that two measures of the amount of privateinformation in stock price—price nonsynchronicity andprobability of informed trading (PIN)—have a strong positiveeffect on the sensitivity of corporate investment to stock price.Moreover, the effect is robust to the inclusion of controlsfor managerial information and for other information-relatedvariables. The results suggest that firm managers learn fromthe private information in stock price about their own firms’fundamentals and incorporate this information in the corporateinvestment decisions. We relate our findings to an alternativeexplanation for the investment-to-price sensitivity, namelythat it is generated by capital constraints, and show that boththe learning channel and the alternative channel contributeto this sensitivity. (JEL G14, G31)     

Financial Analyst Characteristics and Herding Behavior in Forecasting

This study classifies analysts' earnings forecasts as herding or bold and finds that (1) boldness likelihood increases with the analyst's prior accuracy, brokerage size, and experience and declines with the number of industries the analyst follows, consistent with theory linking boldness with career concerns and ability; (2) bold forecasts are more accurate than herding forecasts; and (3) herding forecast revisions are more strongly associated with analysts' earnings forecast errors (actual earnings—forecast) than are bold forecast revisions. Thus, bold forecasts incorporate analysts' private information more completely and provide more relevant information to investors than herding forecasts.     

非财务信息披露与分析师预测——基于深市上市企业社会责任报告的实证检验

以深市上市企业披露的社会责任报告作为非财务信息的替代变量,实证检验了非财务信息披露质量与分析师盈利预测的关系。多元回归分析结果表明,企业社会责任报告披露质量越好,其分析师盈利预测越精确,并且在财务透明度低的企业中,这种正向关系更显著。这说明社会责任报告披露的这类非财务信息对分析师预测不仅具有信息含量,而且能够通过对财务信息的补充作用,缓解财务不透明对分析师预测精度的不利后果。