An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts

An empirical assessment of the premium associated with meeting or beating both time-series... Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts, and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable (i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts

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Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-007-0075-2
Publisher site
See Article on Publisher Site

Abstract

Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts, and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable (i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Nov 16, 2007

References

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