Analysts' forecasts as proxies for investor beliefs in empirical research

Abarbanell, Jeffery S.; Lanen, William N.; Verrecchia, Robert E.

doi:10.1016/0165-4101(94)00392-i

Cited by 227 publications

(154 citation statements)

References 11 publications

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“…Imhoff and Lob0 (1992) examine analysts' forecast dispersion preceding earnings announcements and suggest that increased dispersion is reflective of "noise" in the financial statements and does not represent fundamental uncertainty. Abarbanell et al (1995) provide an alternative explanation. They show that when analysts' forecast dispersion increases (decreases), investors place less (more) reliance on the analysts' forecast estimate and rely more (less) on private information search activities.…”

Section: Data and Research Designmentioning

confidence: 99%

See 1 more Smart Citation

Earnings Management: The Effect of Ex Ante Earnings Expectations

Payne

Robb

2000

Journal of Accounting, Auditing & Finance

225

124

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Section: Data and Research Designmentioning

confidence: 99%

“…* The Compustat 1998 database is the source of all earnings and 7. Imhoff and Lob0 (1992), Abarbanell et al (1995). and Barron and Stuerke (1998) present two compelling, yet different, explanations for the negative relationship between investor's reactions to unexpected earnings and analysts' forecast dispersion.…”

Section: Data and Research Designmentioning

confidence: 99%

Earnings Management: The Effect of Ex Ante Earnings Expectations

Payne

Robb

2000

Journal of Accounting, Auditing & Finance

225

124

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“…Following the prior literature, we control for firm size (Clement andTse 2005, Mikhail et al 1997), book-to-market ratio, and number of analysts following the firm (Stickel 1989). Inclusion of the number of analysts following the firm also controls for competition among analysts (Abarbanell et al 1995).…”

Section: Relative Forecast Errormentioning

confidence: 99%

Management Earnings Forecasts and Value of Analyst Forecast Revisions

Kim

Song

2014

SSRN Journal

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“…According to Beaver (1968), the change in price reflects the average change in investors' beliefs whereas trading volume reflects the aggregate differences in investors' reactions to the earnings announcement. Several trading models involving price change and volume have since been constructed (Kim & Verrecchia, 1991a, 1991bAbarbanell et al, 1995;Harris & Raviv, 1993;Kandel & Pearson, 1995;among others). An important drawback of many early models of trade in speculative markets was the assumption that agents interpret public information identically.…”

Section: ⅱ Hypothesis Developmentmentioning

confidence: 99%

The Effect of Earnings Announcement Timing on Liquidity

Gaynor¹,

Morton²,

Morse³

2013

Glob Bus Financ Rev

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A B S T R A C TThe proportion of after-market-close (AMC) earnings announcements has recently increased to more than 40% of the total number of earnings announcements (Berkman & Truong, 2009). Doyle and Magilke (2009) conclude that managers do not announce AMC to hide bad news; however, they do not directly address other explanations for the AMC announcement increase. Thus, the cause(s) remains an open question. Interestingly, the increase in AMC earnings announcements has coincided with the emergence of a 24/7 news environment and a marked increase in noise trading. We posit that managers are increasingly announcing earnings AMC instead of before-market-open (BMO) to take advantage of this increased noise trading-thereby increasing the liquidity of their stock. We show evidence, after controlling for other factors, that announcing AMC instead of BMO increases liquidity. In addition, the relationship between AMC and liquidity is increasing in analysts' coverage-consistent with the view that AMC announcements generate the largest increase in liquidity for those stocks with high investor interest. timing of earnings announcements to see if managers bury bad news for strategic reasons. Because of their relative infrequency, they remove from consideration earnings announcements made during trading hours. We follow this convention as well. Doyle and Magilke (2009) conclude that AMC announcements are not an effort to hide bad news. Additionally, they find that AMC earnings announcements are accompanied by higher abnormal trading volume than are those made BMO. However, their study does not address the relative price reactions of AMC vs. BMO announcements. Thus, they are not able to determine whether the timing of earnings announcements can affect price variability in addition to differences in trading volume.In this paper, we make trading volume-to-price variability comparisons for both AMC and BMO announcements in an effort to assess overall liquidity. The relationship of trading volume to price variability is used in Brennan and Subrahmanyam (1996), who find a significant relation

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Analysts' forecasts as proxies for investor beliefs in empirical research

Cited by 227 publications

References 11 publications

Earnings Management: The Effect of Ex Ante Earnings Expectations

Earnings Management: The Effect of Ex Ante Earnings Expectations

Management Earnings Forecasts and Value of Analyst Forecast Revisions

The Effect of Earnings Announcement Timing on Liquidity

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