Explaining firms’ earnings announcement stock returns using FactSet and I/B/E/S data feeds

Hand, John R. M.; Laurion, Henry; Lawrence, Alastair; Martin, Nicholas

doi:10.1007/s11142-021-09597-6

Cited by 20 publications

(12 citation statements)

References 35 publications

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“…Accordingly, our findings are relevant to both market participants and researchers who rely on FDP-produced data. Given the growing importance of FDP-produced information in capital markets (e.g., Hand et al [2021]), and the vast discretion FDPs have in their methodology choices, our findings should also be relevant to regulators tasked with capital market oversight. + 0.5, where RE T [0,t ] is the buy-and-hold return up to hour t following the earnings press release .…”

Section: Discussionmentioning

confidence: 92%

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The Roles of Data Providers and Analysts in the Production, Dissemination, and Pricing of Street Earnings

Bochkay

MARKOV²,

Subasi

et al. 2022

J of Accounting Research

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Section: Discussionmentioning

confidence: 92%

“…Given the growing importance of FDP‐produced information in capital markets (e.g., Hand et al. [2021]), and the vast discretion FDPs have in their methodology choices, our findings should also be relevant to regulators tasked with capital market oversight.…”

Section: Discussionmentioning

confidence: 94%

The Roles of Data Providers and Analysts in the Production, Dissemination, and Pricing of Street Earnings

Bochkay

MARKOV²,

Subasi

et al. 2022

J of Accounting Research

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show abstract

“…Notably, in each sample year, more firms are covered with book value forecasts than with cash flow forecasts. This trend likely reflects both improved information production (Hand et al 2021) and increased analyst sophistication that increases their awareness of the usefulness of book value information for valuation.…”

Section: Introductionmentioning

confidence: 99%

“…16 16 The increasing supply of BPS forecasts may stem from reduced costs of information processing due to, for example, innovations and new technology (Hand et al 2021). It may also be the result of analysts' increased sophistication in financial analysis and valuation, and their better understanding of the role of book value information. …”

mentioning

confidence: 99%

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Analysts' Book Value Forecasts: Initial Evidence from the Perspective of Real‐Options‐Based Valuation*

Hui

Liu

Schneible

et al. 2022

Contemporary Accting Res

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This study examines the usefulness of analysts' book value forecasts and the economic factors driving analysts' issuance of these forecasts. Guided by the real-options-based valuation model (ROM) of Zhang (2000), we explicitly link book value forecasts to the need for such information in valuation. We first establish that analysts' book value forecasts are superior to forecasts that are mechanically imputed from analysts' own earnings forecasts and those from random walk models and are incrementally informative beyond analysts' earnings, cash flow, and dividend forecasts. We then employ the ROM to explore the distinct information embedded in book value forecasts and analysts' decisions to issue these forecasts. Consistent with our expectations, we find that (i) book value forecasts convey growth information that is significantly correlated with ex ante indicators of real options, while analysts' earnings forecasts do not display this property; and (ii) analysts issue more book value forecasts when either growth options or, to a lesser extent, abandonment options are an important part of firm value. Our study sheds light on how analysts' book value forecasts are useful and under what circumstances analysts provide such information to meet investors' needs.

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Book Value Forecast Quality: Financial Versus Nonfinancial Firms

Caylor,

McCoy,

Street

2024

J Corp Accounting Finance

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This study investigates the quality and usefulness of analysts’ book value forecasts for financial firms relative to nonfinancial firms. We examine whether forecast properties (accuracy, bias, and dispersion) of book value forecasts and the market reaction to unexpected book value surprises differ between financial and nonfinancial firms. We find that book value forecasts are more accurate, less biased, and less dispersed for financial firms compared to nonfinancial firms. In addition, we show that these results are not simply a result of differences in earnings per share (EPS) forecast quality. We also provide evidence that book value forecasts are incrementally helpful to analysts in forecasting earnings for financial firms. In addition, we find evidence that the stock price drift following an earnings announcement is more pronounced when book value per share (BPS) surprises are considered in addition to EPS surprises. However, this finding only holds for financial firms. We find that this delayed reaction can form the basis for a profitable trading strategy.

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Explaining firms’ earnings announcement stock returns using FactSet and I/B/E/S data feeds

Cited by 20 publications

References 35 publications

The Roles of Data Providers and Analysts in the Production, Dissemination, and Pricing of Street Earnings

The Roles of Data Providers and Analysts in the Production, Dissemination, and Pricing of Street Earnings

Analysts' Book Value Forecasts: Initial Evidence from the Perspective of Real‐Options‐Based Valuation*

Book Value Forecast Quality: Financial Versus Nonfinancial Firms

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