Dynamic Forecasting Behavior By Analysts PDF Download
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Author | : Jonathan Clarke |
Publisher | : |
Total Pages | : 58 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Dynamic Forecasting Behavior by Analysts Book in PDF, ePub and Kindle
We examine the dynamic forecasting behavior of security analysts in response to their prior performance relative to their peers. In a multi-period Bayesian learning model where an analyst and her employer (the investment bank or brokerage house) bargain over the surplus that she generates in each period, we show that the analyst's compensation at any date is convex in her perceived forecasting ability or reputation. Further, she faces employment risk as a result of the variation of her perceived ability with her relative forecasting performance. The interplay between the convexity of her payoff structure and the presence of employment risk leads to a non-monotonic U-shaped relationship between the deviation of the analyst's forecast from the consensus, and her prior relative performance. Hence, analysts who significantly out-perform or under-perform their peers issue bolder forecasts than intermediate performers. Consistent with existing empirical evidence, our theory also predicts that, ceteris paribus, the incentive to herd decreases with the analyst's experience. In our empirical analysis, we document significant support for the predicted U-shaped relation between the boldness of an analyst's forecast and her prior relative forecasting performance. We also document a positive relation between boldness and experience controlling for the predicted non-monotonic relation between boldness and prior performance that previous empirical studies do not incorporate. Finally, we directly test the importance of employment risk in driving variations in forecasting behavior. Consistent with the theory, we document that analysts with either high or low probabilities of being terminated in the future are more likely to issue bolder forecasts than those with intermediate termination probabilities.
Author | : Qi Chen |
Publisher | : |
Total Pages | : 35 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download The Effects of True and Perceived Ability on Analysts' Forecasting Behavior Book in PDF, ePub and Kindle
We model the existence of an equilibrium in which analysts adopt a threshold reporting strategy to convey their forecasting ability. Under this strategy, an analyst issues a forecast only if the realized value of her private signal exceeds a threshold value. Higher-ability analysts choose higher threshold levels than lower-ability analysts, and the market correctly interprets all analysts' forecasts. Our model produces implications for using sample mean squared forecast error to measure analysts' ability, offers alternative explanation for the observed bias in analysts' forecasts, and produces testable predictions concerning analysts' decisions to follow a firm and to issue forecasts for firms they follow.
Author | : Seung-Woog (Austin) Kwag |
Publisher | : |
Total Pages | : 39 |
Release | : 2003 |
Genre | : |
ISBN | : |
Download Bias in Analysts' Earnings Forecasts Book in PDF, ePub and Kindle
If either economic incentives or psychological phenomena cause the bias in analysts' forecasts to persist long enough, it would be potentially discoverable and exploitable by investors. quot;Exploitationquot; in this context implies that investors, through examination of historical forecasting performance, can more or less reliably estimate the direction and extent of bias, and impute unbiased estimates for themselves, given analysts' forecasts. The absence of persistence in forecast errors would suggest that analysts' own behavior ultimately quot;self-correctsquot; within a time frame that eliminates the possibility that the patterns could be exploited by investors. We use two look-back methods that capture salient features of analysts' past forecasting behavior to form quintile portfolios that describe the range of analysts' forecasting behavior. Parametric and nonparametric tests are performed to determine whether the two portfolio formation methods provide predictive power with respect to subsequent forecast errors. The findings support a conclusion that analysts' behaviors in both optimistic and pessimistic extremes do not entirely self-correct, leaving open the possibility that investors may find historical forecast errors useful in making inferences about current forecasts.
Author | : Andy Pole |
Publisher | : CRC Press |
Total Pages | : 432 |
Release | : 2018-10-08 |
Genre | : Business & Economics |
ISBN | : 1482267438 |
Download Applied Bayesian Forecasting and Time Series Analysis Book in PDF, ePub and Kindle
Practical in its approach, Applied Bayesian Forecasting and Time Series Analysis provides the theories, methods, and tools necessary for forecasting and the analysis of time series. The authors unify the concepts, model forms, and modeling requirements within the framework of the dynamic linear mode (DLM). They include a complete theoretical development of the DLM and illustrate each step with analysis of time series data. Using real data sets the authors: Explore diverse aspects of time series, including how to identify, structure, explain observed behavior, model structures and behaviors, and interpret analyses to make informed forecasts Illustrate concepts such as component decomposition, fundamental model forms including trends and cycles, and practical modeling requirements for routine change and unusual events Conduct all analyses in the BATS computer programs, furnishing online that program and the more than 50 data sets used in the text The result is a clear presentation of the Bayesian paradigm: quantified subjective judgements derived from selected models applied to time series observations. Accessible to undergraduates, this unique volume also offers complete guidelines valuable to researchers, practitioners, and advanced students in statistics, operations research, and engineering.
Author | : Khondkar E. Karim |
Publisher | : Emerald Group Publishing |
Total Pages | : 168 |
Release | : 2019-09-30 |
Genre | : Business & Economics |
ISBN | : 1838673458 |
Download Advances in Accounting Behavioral Research Book in PDF, ePub and Kindle
Focusing on research that examines both individual and organizational behavior relative to accounting, this volume of Advances in Accounting Behavioral Research offers a perspectives on topics such as tax compliance, risk judgement, and affiliation bias.
Author | : Sundaresh Ramnath |
Publisher | : Now Publishers Inc |
Total Pages | : 125 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 1601981627 |
Download Financial Analysts' Forecasts and Stock Recommendations Book in PDF, ePub and Kindle
Financial Analysts' Forecasts and Stock Recommendations reviews research related to the role of financial analysts in the allocation of resources in capital markets. The authors provide an organized look at the literature, with particular attention to important questions that remain open for further research. They focus research related to analysts' decision processes and the usefulness of their forecasts and stock recommendations. Some of the major surveys were published in the early 1990's and since then no less than 250 papers related to financial analysts have appeared in the nine major research journals that we used to launch our review of the literature. The research has evolved from descriptions of the statistical properties of analysts' forecasts to investigations of the incentives and decision processes that give rise to those properties. However, in spite of this broader focus, much of analysts' decision processes and the market's mechanism of drawing a useful consensus from the combination of individual analysts' decisions remain hidden in a black box. What do we know about the relevant valuation metrics and the mechanism by which analysts and investors translate forecasts into present equity values? What do we know about the heuristics relied upon by analysts and the market and the appropriateness of their use? Financial Analysts' Forecasts and Stock Recommendations examines these and other questions and concludes by highlighting area for future research.
Author | : George E. P. Box |
Publisher | : San Francisco : Holden-Day |
Total Pages | : 576 |
Release | : 1970 |
Genre | : Mathematics |
ISBN | : |
Download Time Series Analysis Book in PDF, ePub and Kindle
The book is concerned with the building of models for discrete time series and dynamic systems. It describes in detail how such models may be used to obtain optimal forecasts and optimal control action. All the techniques are illustrated with examples using economic and industrial data. In Part 1, models for stationary and nonstationary time series are introduced, and their use in forecasting is discussed and exemplified. Part II is devoted to model building, and procedures for model identification, estimation, and checking which are then applied to the forecasting of seasonal time series. Part III is concerned with the building of transfer function models relating the input and output of a dynamic system computed by noise. In Part IV it is shown how transfer function and time series models may be used to design optimal feedback and feedforward control schemes. Part V contains an outline of computer programs useful in making the needed calculations and also includes charts and tables of value in identifying the models.
Author | : Graham Elliott |
Publisher | : Elsevier |
Total Pages | : 667 |
Release | : 2013-08-23 |
Genre | : Business & Economics |
ISBN | : 0444627405 |
Download Handbook of Economic Forecasting Book in PDF, ePub and Kindle
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Author | : Marius del Giudice Rodriguez |
Publisher | : |
Total Pages | : 132 |
Release | : 2006 |
Genre | : Corporate profits |
ISBN | : |
Download Essays on Financial Analysts' Forecasts Book in PDF, ePub and Kindle
This dissertation contains three self-contained chapters dealing with specific aspects of financial analysts' earnings forecasts. After recent accounting scandals, much attention has turned to the incentives present in the career of professional financial analysts. The literature points to several reasons why financial analysts behave overoptimistically when providing their predictions. In particular, analysts may wish to maintain good relations with firm management, to please the underwriters and brokerage houses at which they are employed, and to broaden career choice. While the literature has focused more on analysts' strategic behavior in these situations, less attention has been paid to the implications these factors have on financial analysts' loss functions. The loss function dictates the criteria that analysts use in order to build their forecasts. Using a simple compensation scheme in which the sign of prediction errors affect their incomes differently, in the first chapter we examine the implications this has on their loss function. We show that depending on the contract offered, analysts have a strict preference for under-prediction or over-prediction and the size of this asymmetric behavior depends on the parameter that governs the financial analyst's preferences over wealth. This is turn affects the bias in their forecasts. Recent developments in the forecasting literature allow for the estimation of asymmetry parameters after observing data on forecasts. Moreover, they allow for a more general test of rationality once asymmetries are present. We make use of forecast data from financial analysts, provided by I/B/E/S, and present evidence of asymmetries and weak evidence against rationality. In the second chapter we study the evolution over time in the revisions to financial analysts' earnings estimates for the 30 Dow Jones firms over a 20 year period. If analysts' forecasts used information efficiently, earnings revisions should not be predictable. However, we find strong evidence that earnings revisions can in fact be predicted by means of the sign of the last revision or by using publicly available information such as short interest rates and past revisions. We propose a three-state model that accounts for the very different magnitude and persistence of positive, negative and `no change' revisions and find that this model forecasts earnings revisions significantly better than an autoregressive model. We also find that our forecasts of earnings revisions predict the actual earnings figure beyond the information contained in analysts' earnings estimates. Finally, the empirical literature on financial analysts' forecast revisions of corporate earnings has focused on past stock returns as the key determinant. The effects of macroeconomic information on forecast revisions is widely discussed, yet rarely tested in the literature. In the third chapter, we use dynamic factor analysis for large data sets to summarize a large cross-section of macroeconomic variables. The estimated factors are used as predictors of the average analyst's forecast revisions for different sectors of the economy. Our analysis suggests that factors extracted from macroeconomic variables do, indeed, improve on the current model with only past stock returns. In trying to explain what drives financial analysts' forecast revisions, the factors representing the macroeconomic environment must be considered to avoid a potential omitted variable problem. Moreover, the explanatory power and direction of such factors strongly depend on the industry in question.
Author | : Marc Nerlove |
Publisher | : Academic Press |
Total Pages | : 495 |
Release | : 2014-05-10 |
Genre | : Business & Economics |
ISBN | : 1483218880 |
Download Analysis of Economic Time Series Book in PDF, ePub and Kindle
Analysis of Economic Time Series: A Synthesis integrates several topics in economic time-series analysis, including the formulation and estimation of distributed-lag models of dynamic economic behavior; the application of spectral analysis in the study of the behavior of economic time series; and unobserved-components models for economic time series and the closely related problem of seasonal adjustment. Comprised of 14 chapters, this volume begins with a historical background on the use of unobserved components in the analysis of economic time series, followed by an Introduction to the theory of stationary time series. Subsequent chapters focus on the spectral representation and its estimation; formulation of distributed-lag models; elements of the theory of prediction and extraction; and formulation of unobserved-components models and canonical forms. Seasonal adjustment techniques and multivariate mixed moving-average autoregressive time-series models are also considered. Finally, a time-series model of the U.S. cattle industry is presented. This monograph will be of value to mathematicians, economists, and those interested in economic theory, econometrics, and mathematical economics.