Artikel
Earnings forecasts: the case for combining analysts’ estimates with a cross-sectional model
We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts’ forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts’ forecasts in two ways: reducing their sluggishness with respect to information in recent stock price movements and improving their long-term performance. Our model outperforms the most popular methods from the literature in terms of forecast accuracy, bias, and earnings response coefficient. Furthermore, using our estimates in the implied cost of capital calculation leads to a substantially stronger correlation with realized returns compared to earnings estimates from extant cross-sectional models.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Review of Quantitative Finance and Accounting ; ISSN: 1573-7179 ; Volume: 56 ; Year: 2020 ; Issue: 2 ; Pages: 545-579 ; New York, NY: Springer US
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Institutions and Services: Other
Accounting
- Thema
-
Earnings forecasts
Analysts’ forecasts
Forecast evaluation
Implied cost of capital
Expected returns
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Azevedo, Vitor
Bielstein, Patrick
Gerhart, Manuel
- Ereignis
-
Veröffentlichung
- (wer)
-
Springer US
- (wo)
-
New York, NY
- (wann)
-
2020
- DOI
-
doi:10.1007/s11156-020-00902-z
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Azevedo, Vitor
- Bielstein, Patrick
- Gerhart, Manuel
- Springer US
Entstanden
- 2020
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