메뉴 건너뛰기




Volumn 13, Issue 2-3, 2008, Pages 266-291

On the relation between predictable market returns and predictable analyst forecast errors

Author keywords

Analyst forecast; Market inefficiency; Stock market anomaly

Indexed keywords


EID: 44449091506     PISSN: 13806653     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11142-007-9065-9     Document Type: Article
Times cited : (93)

References (32)
  • 1
    • 0000790309 scopus 로고
    • Do analysts' earnings forecasts incorporate information in prior stock price changes?
    • Abarbanell, J. (1991). Do analysts' earnings forecasts incorporate information in prior stock price changes? Journal of Accounting and Economics, 14, 147-165.
    • (1991) Journal of Accounting and Economics , vol.14 , pp. 147-165
    • Abarbanell, J.1
  • 2
    • 84977733335 scopus 로고
    • Test of analysts' overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior
    • Abarbanell, J., & Bernard, V. (1992). Test of analysts' overreaction/underreaction to earnings information as an explanation for anomalous stock price behavior. Journal of Finance, 47, 1181-1207.
    • (1992) Journal of Finance , vol.47 , pp. 1181-1207
    • Abarbanell, J.1    Bernard, V.2
  • 4
    • 12344267943 scopus 로고    scopus 로고
    • Loss function assumptions in rational expectations tests on financial analysts' earnings forecasts
    • Basu, S., & Markov, S. (2004). Loss function assumptions in rational expectations tests on financial analysts' earnings forecasts. Journal of Accounting and Economics, 38, 171-203.
    • (2004) Journal of Accounting and Economics , vol.38 , pp. 171-203
    • Basu, S.1    Markov, S.2
  • 5
    • 0001819765 scopus 로고
    • Post-earnings-announcement drift: Delayed price response or risk premium?
    • Bernard, V., & Thomas, J. (1989). Post-earnings-announcement drift: Delayed price response or risk premium? Journal of Accounting Research, 27, 1-36.
    • (1989) Journal of Accounting Research , vol.27 , pp. 1-36
    • Bernard, V.1    Thomas, J.2
  • 6
    • 0000909526 scopus 로고
    • Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
    • Bernard, V., & Thomas, J. (1990). Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. The Journal of Accounting and Economics, 13, 305-340.
    • (1990) The Journal of Accounting and Economics , vol.13
    • Bernard, V.1    Thomas, J.2
  • 7
    • 0031184823 scopus 로고    scopus 로고
    • Disclosure level and the cost of equity capital
    • Botosan, C. (1997). Disclosure level and the cost of equity capital. The Accounting Review, 72, 323-350.
    • (1997) The Accounting Review , vol.72 , pp. 323-350
    • Botosan, C.1
  • 9
    • 33746883582 scopus 로고    scopus 로고
    • The relation between corporate financing activities, analysts' forecasts, and stock returns
    • Bradshaw, M., Richardson, S., & Sloan, R. (2006). The relation between corporate financing activities, analysts' forecasts, and stock returns. Journal of Accounting and Economics, 42, 53-85.
    • (2006) Journal of Accounting and Economics , vol.42 , pp. 53-85
    • Bradshaw, M.1    Richardson, S.2    Sloan, R.3
  • 10
    • 0003188650 scopus 로고    scopus 로고
    • The relation between analysts' forecasts of long-term earnings growth and stock price performance following equity offerings
    • Dechow, P., Hutton, A., & Sloan, R. (2000). The relation between analysts' forecasts of long-term earnings growth and stock price performance following equity offerings. Contemporary Accounting Research, 17, 1-32.
    • (2000) Contemporary Accounting Research , vol.17 , pp. 1-32
    • Dechow, P.1    Hutton, A.2    Sloan, R.3
  • 11
    • 0038850183 scopus 로고    scopus 로고
    • Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism?
    • Easterwood, J., & Nutt, S. (1999). Inefficiency in analysts' earnings forecasts: systematic misreaction or systematic optimism? Journal of Finance, 54, 1777-1797.
    • (1999) Journal of Finance , vol.54 , pp. 1777-1797
    • Easterwood, J.1    Nutt, S.2
  • 12
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, E., & MacBeth, J. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 71, 607-636.
    • (1973) Journal of Political Economy , vol.71 , pp. 607-636
    • Fama, E.1
  • 13
    • 21344493717 scopus 로고
    • Analysts' decisions as products of a multi-task environment
    • Francis, J., & Philbrick, D. (1993). Analysts' decisions as products of a multi-task environment. Journal of Accounting Research, 31, 216-230.
    • (1993) Journal of Accounting Research , vol.31 , pp. 216-230
    • Francis, J.1    Philbrick, D.2
  • 14
    • 0001386234 scopus 로고    scopus 로고
    • Accounting valuation, market expectation and cross-sectional stock returns
    • Frankel, R., & Lee, C. (1998). Accounting valuation, market expectation and cross-sectional stock returns. Journal of Accounting and Economics, 25, 283-319.
    • (1998) Journal of Accounting and Economics , vol.25 , pp. 283-319
    • Frankel, R.1    Lee, C.2
  • 15
    • 0037288662 scopus 로고    scopus 로고
    • Analyst forecast revisions and market price discovery
    • Gleason, C., & Lee, C. (2003). Analyst forecast revisions and market price discovery. The Accounting Review, 78, 193-225.
    • (2003) The Accounting Review , vol.78 , pp. 193-225
    • Gleason, C.1    Lee, C.2
  • 16
    • 0038002643 scopus 로고    scopus 로고
    • Predicting the equity premium with dividend ratios
    • Goyal, A., & Welch, I. (2003). Predicting the equity premium with dividend ratios. Management Science, 49, 639-654.
    • (2003) Management Science , vol.49 , pp. 639-654
    • Goyal, A.1    Welch, I.2
  • 17
    • 0037375980 scopus 로고    scopus 로고
    • Earnings skewness and analyst forecast bias
    • Gu, Z., & Wu, J. (2003). Earnings skewness and analyst forecast bias. Journal of Accounting and Economics, 35, 5-29.
    • (2003) Journal of Accounting and Economics , vol.35 , pp. 5-29
    • Gu, Z.1    Wu, J.2
  • 18
    • 0002445438 scopus 로고
    • Predictability bias in the U.S. equity market
    • Huberts, L., & Fuller, R. (1995). Predictability bias in the U.S. equity market. Financial Analyst Journal, 51, 12-28.
    • (1995) Financial Analyst Journal , vol.51 , pp. 12-28
    • Huberts, L.1    Fuller, R.2
  • 19
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jagadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, 48, 65-91.
    • (1993) Journal of Finance , vol.46 , pp. 65-91
    • Jagadeesh, N.1    Titman, S.2
  • 20
    • 0039470462 scopus 로고    scopus 로고
    • Expectations and the cross-section of stock returns
    • La Porta, R. (1996). Expectations and the cross-section of stock returns. The Journal of Finance, 51, 1715-1742.
    • (1996) The Journal of Finance , vol.51 , pp. 1715-1742
    • La Porta, R.1
  • 23
    • 38249017814 scopus 로고
    • The association between revisions of financial analysts' earnings forecasts and security-price changes
    • Lys, T., & Sohn, S. (1990). The association between revisions of financial analysts' earnings forecasts and security-price changes. Journal of Accounting and Economics, 13, 341-363.
    • (1990) Journal of Accounting and Economics , vol.13 , pp. 341-363
    • Lys, T.1    Sohn, S.2
  • 24
    • 0000024127 scopus 로고
    • A finite smoothing algorithm for linear l1 estimation
    • Madsen, K., & Nielsen, H. (1993). A finite smoothing algorithm for linear l1 estimation. SIAM Journal on Optimization, 3, 223-235.
    • (1993) SIAM Journal on Optimization , vol.3 , pp. 223-235
    • Madsen, K.1    Nielsen, H.2
  • 26
    • 33846365735 scopus 로고
    • Evidence on the possible underweighting of earnings-related information
    • Mendenhall, R. (1991). Evidence on the possible underweighting of earnings-related information. Journal of Accounting Research, 29, 170-179.
    • (1991) Journal of Accounting Research , vol.29 , pp. 170-179
    • Mendenhall, R.1
  • 28
    • 0000070375 scopus 로고
    • Financial statement analysis and the prediction of stocks returns
    • Ou, J., & Penman, S. (1989). Financial statement analysis and the prediction of stocks returns. Journal of Accounting and Economics, 11, 295-329.
    • (1989) Journal of Accounting and Economics , vol.11 , pp. 295-329
    • Ou, J.1    Penman, S.2
  • 30
    • 0030305172 scopus 로고    scopus 로고
    • Do stock prices fully reflect information in accruals and cash flows about future earnings?
    • Sloan, R. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71, 289-315.
    • (1996) The Accounting Review , vol.71 , pp. 289-315
    • Sloan, R.1
  • 31
    • 0000675751 scopus 로고
    • Common stock returns surrounding earnings forecast revisions: More puzzling evidence
    • Stickel, S. (1991). Common stock returns surrounding earnings forecast revisions: More puzzling evidence. The Accounting Review, 66, 402-416.
    • (1991) The Accounting Review , vol.66 , pp. 402-416
    • Stickel, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.