The influence of forecast dispersion on the incremental explanatory power of earnings, book value, and analyst forecasts on market prices

Accounting Review

Volumn 82, Issue 3, 2007, Pages 651-677

  Bryan, Daniel M ^a   Tiras, Samuel L ^b  

^a UNIVERSITY OF WASHINGTON   (United States)

^b LOUISIANA STATE UNIVERSITY   (United States)

Author keywords

Analyst forecast dispersion; Analyst forecasts; Explanatory power

Indexed keywords

EID: 34250743175     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr.2007.82.3.651     Document Type: Article

References (31)

1. Abarbanell, J. 1991. Do analysts' earnings forecasts incorporate information in prior stock price changes? Journal of Accounting & Economics 14 (2): 147-165.
2. Ang, J., and S. Ciccone. 2001. Analyst forecasts and stock returns. Working paper, Florida State University, Tallahassee, FL.
3. Barron, O., O. Kim, S. Lim, and D. Stevens. 1998. Using analyst forecasts to measure properties of analyst' information environment. The Accounting Review 73 (4): 421-434.
4. Barth, M., W. Beaver, and W. Landsman. 1998. Relative valuation roles of equity book value and net income as a function of financial health. Journal of Accounting & Economics 25 (1): 1-34.
5. Brown, L., G. Richardson, and S. Schwager. 1987. An information interpretation of financial analyst superiority in forecasting earnings. Journal of Accounting Research 25 (1): 1-49.
6. _, and J. Han. 1992. The impact of annual earnings announcements on convergence of beliefs. The Accounting Review 67 (4): 862-875.
7. 2 in accounting research: Measuring changes in value relevance over the last four decades. Journal of Accounting and Economics 28 (2): 83-115.
8. Ciccone, S. 2001. Analyst forecast properties, financial distress, and business risk. Working paper, University of New Hampshire, Durham, NH.
9. Clement, M., R. Frankel, and J. Miller. 2003. Confirming management earnings forecasts, earnings uncertainty, and stock returns. Journal of Accounting Research 41 (4): 653-680.
10. Collins, D., and S. Kothari. 1989. An analysis of intertemporal and cross-sectional determinants of earnings response coefficients. Journal of Accounting & Economics 11 (2): 143-181.
11. Dechow, P., A. Hutton, and R. Sloan. 1999. An empirical assessment of the residual income valuation model. Journal of Accounting & Economics 26 (1-3): 1-34.
12. Easton, P. 1999. Security returns and the value relevance of accounting data. Accounting Horizons 13 (4): 399-412.
13. Elliott, J., and D. Philbrick. 1990. Accounting changes and earnings predictability. The Accounting Review 65 (1): 157-174.
14. Gebhardt, W., C. Lee, and B. Swaminathan. 2001. Toward an implied cost of capital. Journal of Accounting Research 39 (1): 135-176.
15. Han, B., and D. Manry. 2000. The implications of dispersion in analysts' earnings forecasts for future ROE and future returns. Journal of Business, Finance and Accounting 27 (1/2): 99-125.
16. Hand, J. 2001. Discussion of: Earnings, book values, and dividends in equity valuation: An empirical perspective. Contemporary Accounting Research 18 (1): 121-130.
17. Lee, B., and B. Choi. 2000. Discretionary accruals, the dispersion of earnings forecasts, and the accuracy of earnings forecasts over the forecasting horizon. American Business Review 18 (2): 34-42.
18. Li-Chen, J., J. Hassell, and S. Swidler. 1995. An empirical examination of the dispersion and accuracy of analyst. Review of Financial Economics 4 (2): 171-185.
19. Liu, M., D. Xu, and T. Yao. 2004. Does analysts' forecast dispersion predict stock returns? A corporate guidance perspective. Working paper, The University of Arizona, Tucson, AZ.
20. Lopez, T., and M. Clement. 2000. Evidence on the effect of multiple corporate restructurings on analysts' earnings forecasts: Do analysts learn from prior restructuring events? Working paper, Texas A&M University, College Station, TX.
21. Lustgarten, S., and V. Mande. 1998. The effect of insider trading on financial analysts' forecast accuracy and dispersion. Journal of Accounting and Public Policy 17 (4-5): 311-327.
22. Manry, D., S. Tiras, and C. Wheatley. 2003. The influence of interim auditor reviews on the association of returns with earnings. The Accounting Review 78 (1): 251-274.
23. Morse, D., S. Jens, and E. Stice. 1991. Earnings announcements and the convergence (or divergence) of beliefs. The Accounting Review 66 (2): 376-388.
24. Ohlson, J., and P. Shroff. 1992. Changes versus levels in earnings as explanatory variables for returns: Some theoretical considerations. Journal of Accounting Research 30 (2): 210-226.
25. _. 1995. Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research 11 (2): 661-687.
26. _. 2001. Earnings, book values, and dividends in equity valuation: An empirical perspective. Contemporary Accounting Research 18 (1): 107-120.
27. Teoh, S., and T. Wong. 1993. Perceived auditor quality and the earnings response coefficient. The Accounting Review 68 (2): 346-366.
28. Tse, S. and R. Yaansah. 1999. An analysis of historical and future-oriented information in accounting-based security valuation models. Contemporary Accounting Research 16 (2): 347-384.
29. Vuong, Q. 1989. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 57: 307-333.
30. Wiedman, C. 1996. The relevance of characteristics of the information environment in the selection of a proxy for the market's expectations for earnings: An extension of Brown, Richardson, and Schwager (1987). Journal of Accounting Research 34 (2): 313-324.
31. White, H. 1980. A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48 (4): 817-838.