An Empirical Analysis of the Bias and Rationality of Profit Forecasts Published in New Issue Prospectuses

Our study sets out to assess the accuracy of profit forecasts made by IPOs in Hong Kong. We use a variety of measures and tests to examine the accuracy, bias, rationality, and superiority of earnings estimates. The results show that forecast accuracy compares favourably with the findings from the developed economies of Australia, Britain, Canada, and New Zealand. Forecasts are shown to be superior to the predictions from time series models. IPOs tend to underforecast in the sense that actual profits exceed the forecasts. The rationality tests show mixed results. Cross-sectional analyses of forecast accuracy have poor explanatory power although the Big Six reporting accountants are associated with smaller forecast errors.     

Analysts' Rationality and Forecast Bias: Evidence from Sales Forecasts

When optimistic forecasts can improve access to management, rational analysts have incentives to issue optimistically-biased forecasts (Lim, 2001). This paper proposes that the extent of this optimistic forecast bias will depend on the forecast's importance to management. If management attaches less importance to a forecasted measure, analysts should decrease their forecast bias because the expected benefits of issuing optimistic forecasts are less. We examine analysts' earnings and sales forecasts, and predict that analysts' optimistic bias will be greater for earnings than for sales. Results are consistent with our predictions and contribute to the evidence that analysts' forecast bias is rational and intentional.     

Forecasts in IPO Prospectuses: The Effect of Corporate Governance on Earnings Management

Prior research suggests that managers may use earnings management to meet voluntary earnings forecasts. We document the extent of earnings management undertaken within Canadian Initial Public Offerings (IPOs) and study the extent to which companies with better corporate governance systems are less likely to use earnings management to achieve their earnings forecasts. In addition, we test other factors that differentiate forecasting from non‐forecasting firms, and assess the impact of forecasting and corporate governance on future cash flow prediction. We find that firms with better corporate governance are less likely to include a voluntary earnings forecast in their IPO prospectus. In addition, we find that while IPO firms use accruals management to meet forecasts; the informativeness of the discretionary accruals depends on whether or not the firm would have missed its forecast without the use of discretionary accruals.     

A Comparative Analysis of Earnings Forecasts in Europe

This study examines the accuracy and bias of financial analysts' EPS forecasts in nine European countries during 1987 to 1995. There are significant differences between the countries which may be due to the differences in earnings behaviour, accounting practices, and the influence of securities markets. An optimistic bias is endemic in European forecasts, consistent with research from the US. Investors who incorporate earnings forecasts in their stock selection procedures may be able to improve returns by explicitly adjusting their models for observed regularities in earnings forecast errors. However, we have shown that these regularities differ in incidence and magnitude across the countries studied, and further research is needed to effectively model these differences.     

An Empirical Analysis of Qualitative Management Earnings Forecasts

Despite efforts by the Securities and Exchange Commission (SEC) to encourage corporate disclosure of quantitative management earnings projections, only a small fraction of firms voluntarily do so. Instead of quantitative estimates, a large number of firms choose to disclose qualitative (verbal) assessments of their earnings prospects. This paper is a study of the information characteristics and the usefulness of this alternative form of forecast disclosure to investors. The study examines a sample of qualitative forecast statements from the 1979–1985 period and finds associations between these forecasts and percentage changes in realized earnings per share, the direction of financial analysts' forecast revisions following the disclosure of these forecasts, and abnormal stock returns on the date of their disclosure. These associations are, however, shown to be more significant for negative (bad news) than for positive (good news) forecasts.     

Improving the Precision of Analysts' Earnings Forecasts by Adjusting for Predictable Bias

This research demonstrates that publicly-available information can be used to develop estimates of analysts' optimistic bias in earnings forecasts. These bias estimates can be used to produce more accurate forecasts, resulting in significant reductions of both cross-sectional mean forecast error and error variance. When bias estimates are based on past observations of forecast error alone, however, reductions in mean forecast error are smaller, and forecast precision is unimproved. Further tests provide evidence of a significant association between returns and the bias predictable from contemporaneously-available information, suggesting that predictable bias is only partially discounted by market participants. This study has significant implications for researchers and investors. The pricing of predictable bias in analysts' forecasts may add error toinferences which are based on the association between returns and analyst forecast errors, and knowledge of the market's partial discounting of predictable bias may help investors to make more efficient resource allocations.     

The Credibility of Earnings Forecasts in IPO Prospectuses and Underpricing

This paper provides empirical evidence of the impact of the voluntary disclosure of management earnings forecasts in IPO prospectuses and of the credibility of these forecasts, as perceived by investors at the time of the IPO. We measure forecast credibility ex ante with two approaches: (i) a vector of determinants of credibility that are observable by market participants at the time of the issue and (ii) the predicted value of the forecast error based on some of these determinants. Controlling for the firm's decision on whether or not to issue a forecast, we find that the issue of a forecast reduces underpricing. We find that the quality of the firm's governance and of the auditor and underwriter associated with the issue seems to act as a substitute to the disclosure of an earnings forecast in the prospectus, so that they significantly decrease the level of underpricing only for non‐forecasters. However, despite our various approaches to measure ex ante credibility, we find no association between the pricing of the issue and perceived forecast credibility at the time of the IPO.     

投资决策中地区偏好与地区规避的实证研究

本地人是否更加倾向于购买本地股、或者正好相反?如何解读其中蕴含的经济学含义和行为金融学含义?论文以北京、上海、深圳开放式基金为例,对上述问题进行了研究。结果发现,第一,北京基金和上海基金低配本地股,表现为本地规避,深圳基金高配本地股,表现为本地偏好。第二,北京基金、上海基金和深圳基金都拥有不为外地投资者知晓的本地上市公司私人信息,其中北京基金获取本地私人信息的能力最为显著(对应的则意味着北京本地股信息最不透明)。第三,北京基金和上海基金没有表现出明显的本地情结,而深圳基金表现出了一定程度的本地情结。上述结果证实了地域因素是影响投资行为和投资绩效的重要因素,这一影响体现为"本地信息优势"和"本地情结"两个方面上。论文的研究结论,对资产定价的信息假说、对金融的文化意义、对行为金融的地区因素等诸多方面,均有一定的参考意义。     

On the Determinants of Optimism in Financial Analyst Earnings Forecasts: The Effect of the Market's Ability to Adjust for the Bias

This paper examines whether the documented bias in analyst earnings forecasts is intentional by examining whether it is related to the market's ability to adjust for this bias. For intentional bias to exist it is not enough for analysts to face incentives but rather, analysts should also be willing to respond to these incentives. As the market's ability to adjust for the bias increases, its market effects decrease while analyst reputation costs increase reducing analyst willingness to bias their forecasts. The paper utilizes a firm‐specific design that allows for both the bias component of the forecast error and the market's ability to adjust for the bias to be computed at the firm level. Results suggest that even though forecast error is positive in the latter part of the period under review reflecting overall analyst pessimism, the bias embedded in the forecasts is optimistic throughout the period. More importantly, I find that analyst forecast bias is decreasing in the market's ability to adjust for it. This result provides further evidence that analysts knowingly bias their forecasts and provides support for the existence of reporting bias, in particular. Thus, the evidence provides justification for recent regulatory efforts to increase the objectivity of analyst research reports.     

An Empirical Study of Sample-Selection Bias in Indices of Commercial Real Estate

Real estate price indices based solely on samples of sold properties may not accurately represent the population of properties due to potential sample-selection bias. This study addresses this potential for sample-selection bias in the construction of commercial price indices within the context of the Phoenix area office market. The empirical analysis confirms the presence of sample-selection bias in the estimation of the total price equation. However, within this sample, the price indices generated after correcting for sample-selection bias do not appear significantly different from those that do not consider selectivity bias.     

关于IPO后中信证券股份有限公司绩效的实证分析

本文通过对中信证券2000--2009年年度报告中的数据进行绩效分析,揭示了中信证券抓住机遇通过IPO上市,扩大公司规模、提升盈利能力和流动性以及为公司发展进行再融资的过程;不难看出,作为上市公司中信证券存在着创新业务压力大、管理水平与公司规模亟待提高等新的挑战。     

Probability Forecasts of Macroaggregates in the Turkish Economy

We provide probability forecasts of key Turkish macroeconomic variables such as inflation and output growth. The probability forecasts are derived from a core vector error correction model of the Turkish economy and its several variants. We use model and window averaging to address uncertainties arising from estimated models and possible structural breaks. The performances of the different models and their combinations are evaluated using relevant forecast accuracy tests in different pseudo out-of-sample settings. The results indicate that successful directional forecasts can be obtained for output growth and inflation. Averaging over both the models and the estimation windows improves the level of accuracy of the forecasts.     

投资偏向分析：基于全球银行股票投资的实证研究

本文研究了29个国家的银行在全球范围内的股票投资配置,发现存在很明显的投资偏向。研究中采用了7类变量共25个子变量对投资偏向进行解释,使用两种方法进行经验分析,第一种借鉴Kalok Chan,Vicentiu Coverig,Lilian Ng等人的方法将7类变量逐一与投资偏向回归,发现股票市场发展变量对国内投资偏向解释最显著,投资保护、全球化变量次之。而股票市场投资回报对外国投资偏向(该经济体对于外部投资者的吸引力)解释最显著,股票市场发展、资本控制、全球化等变量次之。另一种方法是笔者提出的因子回归分析法,将25个子变量进行因子分析,形成了反映一个国家经济水平与经济制度、全球化等7个突出的公共因子。将这7个公共因子与投资偏向回归,发现经济水平和经济制度因子以及股票市场因子对国内投资偏向具有明显的影响,而经济水平和经济制度因子、全球化因子以及熟悉程度因子对其外国投资偏向具有明显影响。     

Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies

This paper shows that the dispersion in analysts' consensus forecasts contains incremental information to predict future stock returns. Consistent with prior research, stock prices in the German market underreact to news about future earnings and drift in the direction suggested by analysts' forecasts revisions. Even higher abnormal returns can be achieved by applying such an earnings momentum strategy to stocks with a low dispersion in analyst forecasts. These results support one of the recent behavioural models in which investors underweight new evidence and conservatively update their beliefs in the right direction, but by too little in magnitude with respect to more objective information.     

Cost and Profit Efficiency of the Turkish Banking Industry: An Empirical Investigation

By employing a stochastic frontier approach, we examine the effect of bank size, corporate control, and governance, as well as ownership, on the cost (input) and alternative profit (input-output) efficiencies of Turkish banks. We find that the average profit efficiency is 84% for Turkish banks. The oligopolistic nature of the Turkish banking industry has contributed to less than optimal competition in the loan market and deposit markets. Our results indicate that the degree of linkage between cost and profit efficiency is significantly low. This suggests that high profit efficiency does not require greater cost efficiency in Turkey, and that cost in efficient banks can continue to survive in this imperfect market, where profit opportunities are abundant for all types and sizes of banks. Accordingly, our results indicate that the different sizes of banks have capitalized these opportunities equivalently.     

我国银行业集中度与盈利能力关系研究

产业集中度与赢利能力之间的相互关系一直是理论界与实践界所研究的重点和热点问题，本文以实证分析的方法研究了我国银行业的市场集中度与盈利能力之间的关系，得出了与经典产业经济学观点相悖的结论，即我国银行业存在高集中度、低赢利能力以及规模不经济现象。本文对其原因进行了相关阐述，并对我国银行业的改革提出了相关政策建议。     

Analysts Earnings Forecasts and the Roles of Earnings and Book Value in Equity Valuation

This study examines the effect of the degree of association between current earnings and expected future earnings on the relative importance of earnings and book value for explaining equity price. Consensus analysts forecasts of one-year-ahead earnings are used to proxy for expected future earnings and are compared to reported current earnings to measure the degree of the association. We find that the value-relevance of current earnings negatively correlates with the extent to which consensus analysts forecasts deviate from current earnings. We also find that the incremental explanatory power of book value for equity price positively correlates with this measure. These results remain robust after controlling for factors known to be affecting the value-relevance of earnings such as negative earnings and the earnings-to-book ratio. Our results also show that this analysts' forecast-based measure of `earnings persistence' dominates historical earnings variance in explaining cross-sectional variations in the value-relevance of earnings and book value.     

深市小微市值账户近五年盈亏情况报告

对2007年1月1日至2011年12月31日五年的登记结算数据进行分析显示:五年间深市证券账户盈利621.95亿元,所有账户中仅机构账户总体盈利。从盈亏账户比重来看,机构账户盈利占比最高,个人账户中,微型市值账户盈利占比最高。个人账户尤其是小微市值账户ST股持股比重高于机构账户,而深成指持股占比远低于中大市值账户和机构账户。并且,小微市值账户的交易频率远低于中大市值账户,而持股集中度高于中大市值账户与机构账户。小微市值账户的开户时间越早、投资经验越丰富、年龄越大,其盈利能力相对越强;反之,交易越频繁、投资越分散,盈利能力则随之降低。其他类型账户与小微市值账户的情况大致相同。     

基于SCP模型的自媒体人格化品牌分析及盈利模式探索

随着中国数字科技托管平台的开发,传统媒体在新媒体的强势浪潮中不断受到挤压甚至走向灭亡.自媒体正以它独有的特质努力改变信息传递碎片化的状况,在和传统媒体共享受众和市场,成为网络传播最活跃的主体和新兴舆论场.因此,对于经营传统广播、报刊、杂志、电视新闻媒体的企业,新媒体所带来的挑战和颠覆不容小觑.本文立足“流动空间”理论,基于SCP（structure-conduct-performance,结构-行为-绩效）模型,对自媒体品牌人格化“意见领袖”及自媒体传播模式、盈利模式进行了阐述,旨在探索自媒体更好的盈利模式及未来更广阔的发展前景.     

我国流动性过剩的实证分析

本文从货币供求角度对我国流动性过剩问题进行实证分析.首先,通过构建我国广义货币需求模型,对我国广义货币需求量进行拟合,发现从2005年起我国明显出现流动性过剩问题.然后,从货币供求两个方面分析了我国流动性过剩产生的原因,外汇占款快速增长是导致广义货币供给过多的主要原因,而存款利率偏低、预期通货膨胀率提高和资本市场快速发展等都减少了广义货币需求.最后,从货币供求两方面分别提出解决我国流动性过剩的办法,除此之外,还可以有效利用流动性过剩来优化经济结构.