Predictability in financial analyst forecast errors: Learning or irrationality?

Journal of Accounting Research

Volumn 44, Issue 4, 2006, Pages 725-761

  Markov, Stanimir ^a   Tamayo, Ane ^b  

^a EMORY UNIVERSITY   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33746191384     PISSN: 00218456     EISSN: 1475679X     Source Type: Journal    
DOI: 10.1111/j.1475-679X.2006.00215.x     Document Type: Article

References (43)

1. ABARBANELL, J. S. "Do Analysts' Forecasts Incorporate Information in Prior Stock Price Changes?" Journal of Accounting Economics 14 (1991): 147-165.
2. ABARBANELL, J. S., AND V. L. BERNARD. "Test of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior. "Journal of Finance 47 (1992): 1181-1207.
3. ACCOUNTING PRINCIPLE BOARD (APB). "Interim Financial Reporting." APB Opinion No. 28. New York, NY APB, 1973.
4. ALCHIAN, A. "Uncertainty, Evolution and Economic Theory. "Journal of Political Economy 58 (1950): 211-221.
5. ALI, A.; A. KLEIN; AND J. ROSENFELD. "Analysts' Use of Information About Permanent and Transitory Earnings Components in Forecasting Annual EPS." Accounting Review 67 (1992): 183-198.
6. BALL, R., AND E. BARTOV. "How Naive Is the Stock Market's Use of Earnings Information?" Journal ofAccounting Economics 21 (1996): 319-337.
7. BARBERIS, N.; A. SHLEIFER; AND R. VISHNY. "A Model of Investor Sentiment. "Journal of Financial Economics 49 (1998): 307-343.
8. BASU, S., AND S. MARKOV. "Loss Function Assumptions in Rational Expectations Tests on Financial Analysts' Earnings Forecasts. "Journal of Accounting Economics 38 (2004): 171-203.
9. BERNARD, V. L., AND J. K. THOMAS. "Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings." Journal of Accounting Economics 13 (1990): 305-340.
10. BLUME, L., AND D. EASLEY. "Rationality and Selection in Asset Markets." Working paper, Cornell University, 2002.
11. BRAV, A., AND J. B. HEATON. "Competing Theories of Financial Anomalies." Review of Financial Studies 15 (2002): 575-606.
12. BROWN, L. D., AND M. S. ROZEFF. "Univariate Time-Series Models of Quarterly Accounting Earnings Per Share: A Proposed Model" Journal of Accounting Research 17 (1979): 179-189.
13. BROWN, P.; G. FOSTER; AND E. NOREEN. Security Analyst Multi-Year Earnings Forecasts and the Capital Market. Studies in Accounting Research, no. 21. Sarasota, FL: American Accounting Association, 1985.
14. CAMERER, C. Handbook of Experimental Economics, edited by J. Kagel and A. Roth. Princeton, New Jersey: Princeton University Press (1995): 587-703.
15. CASELLA, G., AND E. I. GEORGE. "Explaining the Gibbs sampler." American Statistician 46 (1992): 167-174.
16. CASKEY, J. "Modeling the Formation of Price Expectations: A Bayesian Approach." American Economic Review 75 (1985): 768-776.
17. CHEN, Q.; J. FRANCIS; AND W. JIANG. "Investor Learning About AnalystPredictive Ability." Journal of Accounting and Economics 39 (2005): 3-24.
18. DEBONDT, W. F. M., AND R. M. THALER. "Do Security Analysts Overreact?" American Economic Revieiv 80 (1990): 52-57.
19. EASTERWOOD, J. C., AND S. R. NUTT. "Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?" Journal of Finance 54. (1999): 1777-1797.
20. FINANCIAL ACCOUNTING STANDARD BOARD (FASB). Reporting Accounting Changes in Interim Financial Statements. Statement of Financial Standards No. 3. Stamford, CT: FASB, 1974.
21. FINANCIAL ACCOUNTING STANDARD BOARD (FASB). Accounting for Income Taxes in Interim Periods. FASB Interpretation No. 18. Stamford, CT: FASB, 1977.
22. FOSTER, G. "Quarterly Accounting Data: Time-Series Properties and Predictive Ability Results." Accounting Review 52 (1977): 1-21.
23. FRIESEN, G., AND P. A. WELLER. "Quantifying Cognitive Biases in Analyst Earnings Forecasts." Journal of Financial Markets. Forthcoming, 2005.
24. GRIFFIN, P. "Time Series Behavior of Quarterly Earnings: Preliminary Evidence."Journal of Accounting Research 15 (1977): 71-83.
25. HONG, H., AND J. KUBIK. "Analyzing the Analyste; Career Concerns, and Biased Earnings Forecasts." Journal of Financed (2003): 313-351.
26. JACOB, J., AND T. LYS. "Determinants and Implications of the Serial Correlation in Analysts' Earnings Forecast Errors." Working paper, Northwestern University, 2000.
27. KENDALL, M. "Note on Bias in the Estimation of Autocorrelation. " Biometrica 41 (1954): 403-404.
28. LANG, M. Time-Varying Stock Price Response to Earnings Induced by Uncertainty About the Time-Series Process of Earning." Journal of Accounting Research 29 (1991): 229-257.
29. LEWELLEN, J., AND J. SHANKEN. "Learning, Asset-Pricing Tests, and Market Efficiency. Journal of Finance 57 (2002): 1113-1145.
30. LIU, J. "Post-Earnings Announcement Drift and Analysts Forecasts." Working paper, UCLA, 1998.
31. LYS, T., AND S. SOHN. "The Association Between Revisions of Financial Analysts' Earnings Forecasts and Security Price Changes." Journal of Accounting Economics 13 (1990): 341-364.
32. MENDENHALL, R. R. "Evidence of Possible Underweighting of Earnings-Related Information." Journal of Accounting Research 29 (1991): 170-179.
33. MIKHAIL, M. B.; B. R. WALTHER; AND R. H. WILUS. "Do Security Analysts Improve Their Performance with Experience?" Journal of Accounting Research 35 (1997): 131-157.
34. MIKHAIL, M. B.; B. R. WALTHER; AND R. H. WILLIS. "Does Forecast Accuracy Matter to Security Analysts?" The Accounting Review 74 (1999): 185-200.
35. MIKHAIL, M. B.; B. R. WALTHER; AND R. H. WILLIS. "The Effect of Experience on Security Analyst Undcrreactian." Journal of Accounting Economics 35 (2003): 101-116.
36. RANGAN, S., AND R. SLOAN. "Implications of the Integral Approach to Quarterly Reporting for the Post-Earnings-Announcement Drift." The Accounting Review 73 (1998): 353-371.
37. SANDRONI, A. "Do Markets Favor Agents Able to Make Accurate Predictions?" Econometrica 68 (2000): 1303-1341.
38. SOFFER, L. C., AND T. LYS. "Post-Earnings Announcement Drift and the Dissemination of Predictable Information." Contemporary Accounting Research 16 (1999): 305-331.
39. SUBRAMANYAM, K. R. "Uncertain Precision and Price Reactions to Information.' Accounting Review 71 (1996): 207-220.
40. VERONESI, P. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model" Review of Financial Studies 12 (1999): 975-1007.
41. WATTS, R. "The Time Series Behavior of Quarterly Earnings." Working paper, University of Newcastle, 1975.
42. WU, J. S. "Financial Analysts' Forecasts and Seasonal Pattern in Quarterly Earnings." Working paper, University of Rochester, 2000.
43. ZITZEWITZ, E. "Measuring Herding and Exaggeration by Equity Analysts and Other Opinion Sellers." Working paper, Stanford University, 2001.