A Simultaneous Equations Analysis of Forecast Accuracy, Analyst Following, and Trading Volume

Journal of Accounting, Auditing & Finance

Volumn 14, Issue 3, 1999, Pages 219-240

  Alford, Andrew W ^a   Berger, Philip G ^b  

^a Goldman Sachs Asset Management ^*

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84990394373     PISSN: 0148558X     EISSN: None     Source Type: Journal    
DOI: 10.1177/0148558X9901400303     Document Type: Review

References (57)

1. Abarbanell J. S. Bushee B. 1997. “Fundamental Analysis, Future Earnings, and Stock Prices.” Journal of Accounting Research 35 (1): 1–24.
2. Abarbanell J. S. Lanen W. N. Verrecchia R. E. 1995. “Analysts’ Forecasts as Proxies for Investor Beliefs in Empirical Research.” Journal of Accounting & Economics 20 (1): 31–60.
3. Alford A. W. Berger P. G. 1998. “The Association Between Analysts’ Underreaction to Earnings and Post-Earnings-Announcement Drift.” Working paper. Philadelphia: University of Pennsylvania.
4. Alles M. Lundholm R. 1993. “On the Optimality of Public Signals in the Presence of Private Information.” The Accounting Review 68 (1): 93–112.
5. American Institute of Certified Public Accountants (AICPA) Special Committee on Financial Reporting. 1994. Improving Business Reporting—A Customer Focus. Jersey City, N.J.: AICPA.
6. Association for Investment Management and Research (AIMR). 1993. Financial Reporting in the 1990s and Beyond. Charlottesville, Va.: AIMR.
7. Atiase R. K. Bamber L. S. 1994. “Trading Volume Reactions to Annual Accounting Earnings Announcements.” Journal of Accounting & Economics 17: 309–329.
8. Belsley D. Kuh E. Welsch R. 1980. Regression Diagnostics: Identifying Influential Data and Sources of Collinearity. New York: John Wiley & Sons.
9. Bernard V. L. 1987. “Cross-Sectional Dependence and Problems in Inference in Market-Based Accounting Research.” Journal of Accounting Research 25 (1): 1–48.
10. Bhushan R. 1989a. “Collection of Information about Publicly Traded Firms: Theory and Evidence.” Journal of Accounting & Economics 11: 183–206.
11. Bhushan R. 1989b. “Firm Characteristics and Analyst Following.” Journal of Accounting & Economics 11: 255–274.
12. Brown L. D. Richardson G. D. Schwager S. J. 1987. “An Information Interpretation of Financial Analyst Superiority in Forecasting Earnings.” Journal of Accounting Research 25 (1): 49–67.
13. Bushman R. M. 1991. “Public Disclosure and the Structure of Private Information Markets.” Journal of Accounting Research 29 (2): 261–276.
14. Byrnes N. Melcher R. Sparks D. 1998. “Who Can You Trust?” Business Week (October 5): 133–142.
15. Chaney P. K. Hogan C. E. Jeter D. C. 1997. “Changes in Analysts’ Forecasts and Errors Subsequent to a Restructuring Charge Announcement.” Working paper. Nashville, Tenn.: Vanderbilt University.
16. Christie A. A. 1987. “On Cross-Sectional Analysis in Accounting Research.” Journal of Accounting and Economics 9 (3): 231–258.
17. Daniels R. B. Rouse R. Weirich T. 1995. “New Guidance in Accounting for Corporate Restructuring: EITF 94–3.” The CPA Journal (June): 30–33.
18. Dechow P. Sloan R. 1997. “Returns to Contrarian Investment: Tests of the Naive Expectations Hypotheses.” Journal of Financial Economics 43 (1): 3–27.
19. Diamond D. W. 1985. “Optimal Release of Information by Firms.” Journal of Finance 40 (4): 1071–1094.
20. Dorfman J. 1991. “Analysts Devote More Time to Selling as Firms Keep Scorecard on Performance.” Wall Street Journal (October 29): c1–c2.
21. Dugar A. Nathan S. 1995 “The Effect of Investment Banking Relationships on Financial Analysts’ Earnings Forecasts and Investment Recommendations.” Contemporary Accounting Research 12 (1): 131–160.
22. Dugar A. Nathan S. 1996. “Analysts’ Research Reports: Caveat Emptor.” Journal of Investing (Winter): 13–22.
23. Elliott J. A. Hanna J. D. 1996. “Repeated Accounting Write-Offs and the Information Content of Earnings.” Journal of Accounting Research 34 (Supplement): 135–155.
24. Elliott J. A. Shaw W. H. 1988. “Write-Offs as Accounting Procedures to Manage Perceptions.” Journal of Accounting Research 26 (Supplement): 91–119.
25. Financial Accounting Standards Board (FASB). 1976. Statement of Financial Accounting Standards Number 14. Financial Reporting for Segments of a Business Enterprise. Norwalk, Conn.: FASB.
26. Financial Accounting Standards Board (FASB). 1993. Invitation to Comment: Reporting Disaggregated Information by Business Enterprises. Norwalk, Conn.: FASB.
27. Financial Accounting Standards Board (FASB). 1995. Statement of Financial Accounting Standards Number 121. Accounting for the Impairment of Long-Lived Assets. Norwalk, Conn.: FASB.
28. Financial Accounting Standards Board (FASB). 1997. Statement of Financial Accounting Standards Number 131. Disclosures about Segments of an Enterprise and Related Information. Norwalk, Conn.: FASB.
29. Francis J. Hanna D. Vincent L. 1996. “Causes and Effects of Discretionary Asset Writeoffs.” Journal of Accounting Research 34 (Supplement): 117–134.
30. Hakansson N. H. 1977. “Interim Disclosure and Public Forecasts: An Economic Analysis and a Framework for Choice.” Accounting Review 52 (2): 396–416.
31. Hausman J. 1978. “Specification Tests in Econometrics.” Econometrica 23 (November): 1251–1271.
32. Hayes R. M. 1998. “The Impact of Trading Commission Incentives on Analysts’ Stock Coverage Decisions and Earnings Forecasts.” Journal of Accounting Research 36 (2): 299–320.
33. Hogan C. E. Jeter D. C. 1997. “The Information Content of Restructuring Charges: A Contextual Analysis.” Working paper. Nashville, Tenn.: Vanderbilt University.
34. Institutional Brokers Estimate System (IBES). 1996. Glossary of Terms (draft copy). New York: IBES.
35. Karpoff J. M. 1987. “The Relation between Price Changes and Trading Volume: A Survey.” Journal of Financial and Quantitative Analysis 22 (1): 109–126.
36. Kim O. Verrecchia R. E. 1991. “Trading Volume and Price Reactions to Public Announcements.” Journal of Accounting Research 29 (2): 302–321.
37. Kim O. Verrecchia R. E. 1994. “Market Liquidity and Volume around Earnings Announcements.” Journal of Accounting & Economics 17: 41–67.
38. Konrad W. Greising D. 1989. “Are Analysts Putting Their Mouths Where the Money Is?” Business Week (December 18).
39. Kross W. Ro B. Schroeder D. 1990. “Earnings Expectations: The Analysts’ Information Advantage.” Accounting Review 65 (2): 461–476.
40. Lang M. Lundholm R. 1996. “Corporate Disclosure Policy and Analyst Behavior.” Accounting Review 71 (4): 467–492.
41. Lev B. 1988. “Toward a Theory of Equitable and Efficient Accounting Policy.” Accounting Review 63 (1): 1–22.
42. Lev B. Thiagarajan R. 1993. “Fundamental Information Analysis.” Journal of Accounting Research 31 (2): 190–215.
43. Lin H. McNichols M. 1997. “Underwriting Relationships and Analysts’ Earnings Forecasts and Investment Recommendations.” Working paper. Palo Alto, Calif.: Stanford University.
44. Lundholm R. J. 1991. “Public Signals and the Equilibrium Allocation of Private Information.” Journal of Accounting Research 29: 322–349.
45. Lys T. Sohn S. 1990. “The Association between Revisions of Financial Analysts’ Earnings Forecasts and Security-Price Changes.” Journal of Accounting & Economics 13 (4): 341–363.
46. Lys T. Soo L. G. 1995. “Analysts’ Forecast Precision as a Response to Competition.” Journal of Accounting, Auditing & Finance 10 (4): 751–765.
47. McNichols M. O'Brien P. 1997a. “Self-Selection and Analyst Coverage.” Working paper. Palo Alto, Calif.: Stanford University.
48. McNichols M. O'Brien P. 1997b. “Self-Selection and Analyst Coverage.” Journal of Accounting Research 35 (Supplement): 167–199.
49. McNichols M. Trueman B. 1994. “Public Disclosure, Private Information Collection, and Short-Term Trading.” Journal of Accounting & Economics 17: 41–67.
50. Merton R. 1987. “A Simple Model of Capital Market Equilibrium with Incomplete Information.” Journal of Finance 42 (3): 483–510.
51. O'Brien P. C. Bhushan R. 1990. “Analyst Following and Institutional Ownership.” Journal of Accounting Research 28 (Supplement): 55–76.
52. Schipper K. 1991. “Commentary on Analysts’ Forecasts.” Accounting Horizons 5 (4): 105–121.
53. Siconolfi M. Raghavan A. 1995. “Brokers Launch Bidding War for Top Analysts.” Wall Street Journal (August 4).
54. Skinner D. J. 1990. “Options Markets and the Information Content of Accounting Earnings Releases.” Journal of Accounting & Economics 13: 191–211.
55. Smith R. Lipin S. 1996. “Are Companies Using Restructuring Costs to Fudge the Figures?” The Wall Street Journal (January 30): A1.
56. Stevens D. E. Barron O. E. Kim O. Lim S. C. K. 1998. “Using Analysts’ Forecasts to Measure Properties of Analysts’ Information Environment.” Working paper. Durham: University of New Hampshire.
57. Wiedman C. I. 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.