The disparity between long-term and short-term forecasted earnings growth

被引：32

作者：

Da, Zhi ^{[2
]}

Warachka, Mitch ^{[1
]}

机构：

[1] Singapore Management Univ, LKC Sch Business, Singapore 178899, Singapore

[2] Univ Notre Dame, Mendoza Coll Business 239, Notre Dame, IN 46556 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2011年 / 100卷 / 02期

关键词：

Analyst forecasts; Return predictability; MUTUAL FUND PERFORMANCE; CROSS-SECTION; STOCK RETURNS; EXPECTED RETURNS; MARKET; EXPECTATIONS; RECOMMENDATIONS; UNDERREACTION; PERSISTENCE; INATTENTION;

D O I：

10.1016/j.jfineco.2010.10.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and long-term analyst forecast errors. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns along with downward and upward revisions in long-term forecasted earnings growth, respectively. Additional results indicate that investor inattention toward firm-level changes in long-term earnings growth is responsible for these risk-adjusted returns. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：424 / 442

页数：19

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