Forecasting Analysts ’ Forecast Errors

@inproceedings{Liu2005ForecastingA,
  title={Forecasting Analysts ’ Forecast Errors},
  author={Jing Liu and Wei Su and David Aboody and Carla Hayn and Jack Bryan Hughes},
  year={2005}
}
We forecast analyst earnings forecast errors out of sample. Forecasting variables include three “under-reaction” variables (earnings surprise, stock returns and analyst earnings forecast revisions) and seven “overreaction” variables (book to price ratio, forward earnings to price ratio, analyst long term growth forecast, sales growth, investments in property, plant and equipment, investments in other long-lived assets, and the accrual component of earnings). Estimation procedures include the… CONTINUE READING

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