Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings |
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| Institution: | 1. Salford Business School, University of Salford, UK;2. School of Management, University of Bradford, UK;3. International Business School Suzhou, Xi''an Jiaotong-Liverpool University, China;4. Research Institute of Economics and Management, Southwestern University of Finance and Economics, China;1. Shenzhen Audencia Financial Technology Institute, Shenzhen University, Shenzhen 518060, China;3. Department of Accounting, College of Business, San Francisco State University, San Francisco, CA 94132, USA;4. Shenzhen Audencia Business School, Shenzhen University, Shenzhen 518060, China;1. Department of Accounting, College of Business, San Francisco State University, San Francisco, CA 94132, USA;2. Shenzhen Audencia Business School, WeBank Institute of Fintech, and Guangdong Laboratory of Artificial Intelligence and Digital Economy (SZ), Shenzhen University, Shenzhen 518060, China;3. Finance Department, Audencia Business School, Nantes 44300, France;5. Portsmouth Business School, University of Portsmouth, UK |
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| Abstract: | This paper provides evidence of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers and shows that SA forecast superiority in our sample is attributable to: (1) better utilization of information existing on the date that TS model forecasts can be initiated, a contemporaneous advantage; and (2) use of information acquired between the date of initiation of TS model forecasts and the date when SA forecasts are published, a timing advantage. |
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