Combining analysts' forecasts with causal model forecasts of earnings growth

Applied Financial Economics

Volumn 9, Issue 2, 1999, Pages 143-153

  Terregrossa, Salvatore J ^a  

^a ISTANBUL BILGI UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040629751     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332401     Document Type: Article

References (43)

1. Albrecht, S., Lookabill, L. and McKeown, J. (1977) The time-series properties of earnings, Journal of Accounting Research, Autumn, 226-44.
2. S. J. Terregrossa Arnold, J., Moizer, P. and Noreen, E. (1983) Investment appraisal methods of financial analysts: a comparative survey of U.S. and U.K. practices. Working Paper, University of Manchester.
3. Bischoff, C. W. (1989) The combination of macroeconomic forecasts, Journal of Forecasting, 8, 293-314.
4. Black, F., Jensen, M. and Scholes, M. (1972) The capital asset pricing model: some empirical tests, in Studies in the Theory of Capital Markets, M. C. Jensen (ed.), Praeger, New York, pp. 79-121.
5. Blume, M. (1974) On the assessment of risk, Journal of Finance, March, 1-10.
6. Brown, L., Hagerman, R. Griffen, P. and Zmjewski, M. (1987a) Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings, Journal of Accounting and Economics, 9, 61-87.
7. Brown, L., Richardson, G. and Schwager, S. (1987b) An information interpretation of financial analyst superiority in forecasting earnings, Journal of Accounting Research, 25, 49-67.
8. Brown, L. and Rozeff, M. (1978) The superiority of analyst forecasts as measures of expectations: evidence from earnings, Journal of Finance, March, 1-16.
9. Brown, P., Foster, G. and Noreen, E. (1985) Security analyst multi-year earnings forecasts and the capital market, Studies in Accounting Research, 21(1), 1-171.
10. Chang, L. and Most, K. (1980) Financial statement and investment decisions. Manuscript, Florida International University, Miami.
11. Clemen, R. T. (1986) Linear constraints and the efficiency of combined forecasts, Journal of Forecasting, 5, 31-8.
12. Clemen, R. T. (1989) Combining forecasts: a review and annotated bibliography, International Journal of Forecasting, 5, 559-83.
13. Collins, W. and Hopwood, W. (1980) A multivariate analysis of annual earnings forecasts generated from quarterly forecasts of financial analysts and univariate time-series models, Journal of Accounting Research, Autumn, 340-406.
14. Conroy R. and Harris, R. (1987) Consensus forecasts of corporate earnings: analysts' forecasts and time series methods, Management Science, 33, 725-38.
15. Cooper, R. and Nelson, C. (1975) The ex-ante prediction performance of the St. Louis and FRB-MIT-PENN econometric models and some results on composite predictors, Journal of Money, Credit and Banking, 7, 1-32.
16. Fair, R. and Shiller, R. (1990) Comparing information in forecasts from time-series models and econometric models, American Economic Review, 80, 375-89.
17. Francis, J. (1979) Statistical analysis of risk surrogates for NYSE stocks, Journal of Financial and Quantitative Analysis, 14 (5), 981-97.
18. Fried, D. and Givoly, D. (1982) Financial analysts' forecasts of earnings: a better surrogate for earnings expectations, Journal of Accounting and Economics, October, 85-107.
19. Gonedes, N. (1974) Capital market equilibrium and annual accounting numbers: empirical evidence, Journal of Accounting Research, Spring, 26-62.
20. Gordon, M. (1959) Dividends, earnings and stock prices, Review of Economics and Statistics, May, 96-105.
21. Gordon, M. (1962), The Investment, Financing and Valuation of the Corporation, Irwin, Homewood, IL.
22. Granger, C. and Newbold, P. (1975) Economic Forecasting: The Atheist's Viewpoint, Modelling the Economy, Heineman, London.
23. Granger C. (1977) Forecasting Economic Time-Series, Academic Press: New York.
24. Jacob, N. (1971) Measurement of systematic risk for securities and portfolios: some empirical results, Journal of Financial and Quantitative Analysis, March, 815-34.
25. Klemkosky, R. and Martin, J. (1975) The adjustment of beta factors, Journal of Finance, September, 1123-8.
26. Kolb, R. W. and Rodriguez. (1990) Is the distribution of betas stationary? Journal of Financial Research, 13, 279-83.
27. Lintner, J. (1965) The valuation of risk assets and the selection of risky investments in stock portfolios, and capital budgets, Review of Economics and Statistics, 47, 13-37.
28. Lobo, G. (1991) Alternative methods of combining security analysts' and statistical forecasts of annual corporate earnings, International Journal of Forecasting, 7, 57-63.
29. Lobo, G. (1992) Analysis and comparison of financial analysts', time-series and combined forecasts of annual earnings, Journal of Business Research, 24, 269-80.
30. Lobo, G. and Nair, R. (1991) Analysts' utilization of historical earnings information, Managerial & Decision Economics, 12, 383-93.
31. Malkiel, B. (1963) Equity yields, Growth and the structure of shares prices, American Economic Review, 53, 1004-31.
32. Malkiel, B. (1970) The valuation of public utility equities, The Bell Journal of Economics and Mangement Science, Spring, 143-60.
33. Malkiel, B. and Cragg, J. (1970) Expectations and the structure of share prices, American Economic Review, 60, 601-17.
34. Markowitz, H. (1959) Portfolio Selection: Efficient Diversification of Investments, Cowles Foundation Monograph No. 16, John Wiley and Sons, New York.
35. Michaud, R. and Davis, P. (1982) Valuation model bias and the scale structure of dividend discount returns, Journal of Finance, 37(1), 562-73.
36. Moizer, P. and Arnold, J. (1982) A survey of the methods used by U.K. investment analysts to appraise investments in ordinary shares. Working Paper, University of Manchester.
37. Nerlove, M. (1968) Factors affecting differences among rates of return on investments in individual common stocks, Review of Economics and Statistics, 50, 312-31.
38. Rozeff, M. S. (1983) Predicting long-term earnings growth, Journal of Forecasting, October-December, 425-35.
39. Sharpe, W. F. (1964) Capital asset prices: a theory of market equuibrium under conditions of risk, Journal of Finance, 19, 425-42.
40. Sharpe, W. F. and Cooper, G. (1972) Risk-return classes of NYSE common stocks, 1931-67, Financial Analysts Journal, 28(2), 46-54.
41. Sorensen, E. and Williamson, D. (1985) Some evidence on the value of dividend discount models, Financial Analysts Journal, November-December, 60-9.
42. Vander Wiede, J. and Carleton, W. (1988) Investor growth expectations: analysts vs. history, Journal Portfolio Management, Spring, 78-82.
43. Williams, J. B. (1938) The Theory of Investment Value, Harvard University Press, Cambridge, MA.