Disposition effect and analyst forecast dispersion

Balkanska, Daniela Vesselinova

doi:10.1007/s11156-017-0648-7

Cited by 7 publications

(4 citation statements)

References 45 publications

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“…A considerable body of research suggests that analyst forecast quality is measured by analyst forecast dispersion (Balkanska, 2018; Felo et al , 2018; Lee and Liu, 2011) and analyst earning forecast error (Becchetti et al , 2015; Beekes and Brown, 2006; Behn et al , 2008). We follow past literature to measure forecast quality using both analyst forecast dispersion and analyst earnings forecast errors.…”

Section: Methodsmentioning

confidence: 99%

“…High analyst forecast quality is associated with a low level of forecast dispersion and low earnings forecast errors (Lee and Liu, 2011). Following prior studies (Balkanska, 2018; Felo et al , 2018; Lee and Liu, 2011), we use analyst forecast dispersion as our first proxy for forecast quality. Thus, we follow Lee and Liu (2011) and use analyst forecast dispersion (F_DISP), calculating it as the standard deviation of earnings per share (EPS) scaled by the absolute mean forecast EPS for each reporting quarter.…”

Section: Methodsmentioning

confidence: 99%

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Analyst forecast quality and corporate social responsibility: the mediation effect of corporate governance

Shan

Yang²,

Zhang³

et al. 2022

MEDAR

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Purpose This study aims to examine the mediating role played by corporate governance (CG) in the relationship between corporate social responsibility (CSR) and analyst forecast quality. Design/methodology/approach The authors raise three specific questions: Does CG play a mediating role in the relationship between CSR and analyst forecast quality? If so, is such mediation effect of CG reduced for firms with weak governance? Do firms with superior CSR performance experience higher analyst forecast quality through the mediation effect of CG? Findings The present results suggest that CG serves as a partial mediator that facilitates CSR’s positive influence on analyst forecast quality. However, further analyses show that in firms with a low governance score, CG does not have a mediation effect. Conversely, the authors find that firms with superior CSR performance have higher forecast quality through the mediation effect of CG. The authors also find that the mediation effect of CG is more pronounced for the environmental component than for the social component of CSR. Originality/value To the best of the authors’ knowledge, this study is the first to investigate the role of CG as a mediator between CSR and analyst forecast quality and to reveal that the strength of this effect varies depending on firms’ CG level and CSR commitment.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Analyst forecast quality and corporate social responsibility: the mediation effect of corporate governance

Shan

Yang²,

Zhang³

et al. 2022

MEDAR

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“…Analyst forecast quality/forecast dispersion is the third measured considered as a proxy for price informativeness (Balkanska, 2018; Beekes and Brown, 2006; Felo et al, 2018; Lee and Liu, 2011; Li and Chen, 2016). Intuitively, a more informative stock price should reflect better analyst forecast quality, and smaller dispersion among these estimates.…”

Section: Methodsmentioning

confidence: 99%

Information processing costs and stock price informativeness: Evidence from the XBRL mandate

Huang

Shan

Yang

2020

Australian Journal of Management

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Using the eXtensible Business Reporting Language (XBRL) mandate as a pseudo-natural experiment, we provide empirical evidence that reduction in information processing costs (IPC) leads to more informative stock price through two channels, the firm-specific information incorporation, and increased disclosures. We also find that younger firms with relatively shorter public disclosure history benefit more than older firms, supporting the conjecture that XBRL accelerates the information incorporation process and expedites market’s learning about younger firms faster. Our results are robust to alternative measures of price informativeness, individual batch tests, placebo tests, and potential bias from financial industry. JEL Classification: G14, M41, M48

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“…Para Balkanska (2018), evidências do arcabouço de finanças comportamentais apontam que os viéses psicológicos são mais nítidos à medida que as incertezas sobre os valores fundamentais dos ativos são maiores. Com base nestas premissas, a autora buscou investigar a relação entre o efeito disposição e a dispersão existente nas previsões de ganhos das ações dadas por analistas de mercado.…”

Section: Estudos De 2017unclassified

Efeito disposição em finanças comportamentais: produção científica a partir de 2015 e perspectivas

Rodrigues

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AGRADECIMENTOÀ Deus, por me guiar em todos meus caminhos, me proporcionar saúde, amparo e bênçãos, sem os quais eu nada seria; aos meus pais, Marisol e Vivaldo, pelo amor incondicional e esforço incessante em dar a mim e a meus irmãos tudo o que tinham, colocando-nos em melhores oportunidades e possibilidades, sem os quais jamais chegaria até aqui; aos meus avós, Lydia (in memoriam), Josepha (in memoriam) e Manuel, pelo amor e afeto puros, que acalentam e fortalecem, bem como pela sua importância em minha formação; aos meus irmãos, Igor, Lucas e Vitor, pelo elo inquebrável, pelos momentos de descontração e auxílio; à Tatiana, minha companheira de vida, pela compreensão e ajuda nos momentos difíceis, celebração nas alegrias, e amor e companheirismo em todas as horas; aos meus sobrinhos Arthur e Viktoria, pelo simples ato de compartilhar ocasiões de ingenuidade, carinho e felicidade; ao amigo Julio, pela escuta, incentivo e aconselhamento desde meu ingresso no Programa; ao Prof. Dr. Luiz Fávero, pela orientação, suporte, ensinamentos e presteza a cada instante; à todos os integrantes da FEAUSP, por serem parte tão importantes em minha formação acadêmica e cívica; à CAPES pelo auxílio proporcionado ao longo do curso.Palavras-chave: Efeito disposição. Finanças comportamentais. Teoria do prospecto. Decisões de investimentos. Ganhos e perdas financeiras.

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Disposition effect and analyst forecast dispersion

Cited by 7 publications

References 45 publications

Analyst forecast quality and corporate social responsibility: the mediation effect of corporate governance

Analyst forecast quality and corporate social responsibility: the mediation effect of corporate governance

Information processing costs and stock price informativeness: Evidence from the XBRL mandate

Efeito disposição em finanças comportamentais: produção científica a partir de 2015 e perspectivas

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