This dissertation presents a new measure of U.S. inflation persistence from the point of view of a professional forecaster. In chapter 2 I explore two different measures that give insight into the views of professional forecasters and link their views with U.S. inflation data. One of these measures, given by the persistence implied by forecast revisions, appears to have similarities with actual inflation persistence over the 1981–2008 sample period. Chapter 3 explores forecast revisions in a more general setting allowing forecasters to have their own views on inflation persistence as well as a unique information set. This chapter builds a measure of perceived inflation persistence via the implied autocorrelation function that follows from the estimates obtained using a forecaster-specific state-space model. When compared to the autocorrelation function for actual inflation, forecasters tend to react less to shocks that hit inflation than the actual inflation data would suggest. This could be due to increased credibility of the Federal Reserve, but it could also be a result of a bias in the underlying inflation forecasts. Chapter 4 focuses on this issue and finds that the reluctance of forecasters to make revisions to their previously announced forecasts causes their estimates of perceived inflation persistence to be understated as their announced inflation forecasts differ from their true inflation expectations. This chapter also presents a method to undo this bias by retrieving their true inflation expectations series. / Thesis (Ph.D, Economics) -- Queen's University, 2012-12-21 15:39:23.616

No description available.

Defining ambiguity as investor's uncertainty about the precision of the observed information, Chapter One constructs an empirical measure of ambiguity based on analysts' earnings forecast information, and finds that the market tends to react more negatively to highly ambiguous bad news, while it tends to be less responsive to highly ambiguous good news. This result supports the theoretical argument of Epstein and Schneider (2003, 2008) that ambiguity-averse investors take a worst-case assessment of the information precision, when they are uncertain about the information precision. In addition, Chapter One shows that returns on stocks exposed to highly ambiguous and intangible information are more negatively skewed. Chapter Two finds that certain traders are informed about either the forthcoming analysts' forecasts or long-term value of the stock, and informed traders prefer to use medium-size trades to exploit their private information advantage. Specifically, medium-size trade imbalance prior to the forecast announcements is positively correlated with the nature of forecast revisions, while in the days immediately after the forecasts medium-size trade imbalance is positively correlated with future stock returns for up to four months. Small-size trade imbalance is also positively correlated with future returns but only following downward revisions. In contrast, it is also shown that large trades placed right after the forecasts are unprofitable and generate slightly negative profits in the long run. Overall, our results are consistent with the "stealth trading hypothesis" proposed by Barclay and Warner (1993).

Made available in DSpace on 2010-04-20T20:48:11Z (GMT). No. of bitstreams: 3 68472.pdf.jpg: 26974 bytes, checksum: 034a1c3c9d998708ccd9d2147b6ae400 (MD5) 68472.pdf: 1943638 bytes, checksum: 074240d8b8c6bdfa6dfcfb36d0dd4f75 (MD5) 68472.pdf.txt: 413719 bytes, checksum: bc028bb1f27dfc3f51effc0a0cdcb7af (MD5) Previous issue date: 2004-04-14T00:00:00Z / The main purpose of this thesis is to analyze the financial analysts of Brazilian firms. By gathering data from the market and analyzing the current performance of the firms, these professionals prepare earnings forecasts and stock recommendations. Using I/B/E/S database, it is presented a broad empirical research of the earnings forecasts and stock recommendations, as well as their information content for the Brazilian capital market. The empirical studies covered the period from January 1995 to June 2003. This thesis starts with the discussion of some concepts and the modus operandi of the financial analysts of Brazilian firms. After a literature review in the area, the empirical studies begin with the analysis of the earnings forecast errors. Some of their characteristics, such as accuracy, bias and precision are investigated in different contexts. After a critical analysis of the informational content for different types of earnings forecast revisions and actual announced earnings deviated form analysts expectations (earnings surprises), evidences of price effects in response to these facts are documented. The last part of this thesis discusses the role of stock recommendations in the Brazilian market. The percentage distribution of stock recommendations is verified as well as the informational content of stock recommendations. Other studies are carried out to verify the performance of the consensus stock recommendations and the effects of downgrades and upgrades of recommendations for Brazilian companies. / Esta tese propõe-se a analisar os analistas de mercado de capitais de empresas brasileiras. Coletando informações do mercado e analisando o desempenho corrente das empresas, estes profissionais realizam projeções de resultados e fazem recomendações. Usando dados extraídos do sistema I/B/E/S, realiza-se uma abrangente pesquisa empírica das previsões e recomendações dos analistas, bem como de seu conteúdo informativo para o mercado brasileiro. O período de estudo foi entre janeiro 1995 a junho 2003. Inicialmente são discutidos conceitos e particularidades do modus operandi dos analistas de empresas brasileiras. A seguir, depois de uma revisão da literatura onde se documentam as principais contribuições e descobertas, procede-se a uma investigação da natureza dos erros de previsão dos analistas de empresas brasileiras. Características como a acurácia, viés e precisão das previsões dos analistas são apreciadas e contextualizadas em diferentes situações. Efetua-se um detalhamento analítico do conteúdo informativo dos diferentes tipos de revisões de previsões dos analistas e das surpresas provocadas pelo anúncio de resultados em desacordo com as expectativas. De modo geral, as revisões e as surpresas, na medida em que informarem o mercado, provocam variações de retornos. Encerra-se a tese com uma análise das recomendações dos analistas. Apura-se a distribuição percentual das recomendações, assim como os efeitos sobre os preços de recomendações de compra (buy) e de venda(sell). O desempenho das recomendações de consenso e o efeito das revisões de recomendações para cima (upgrade) e para baixo (downgrade) são exemplos de outros pontos analisados.

Wirtschaftsprognosen sollen die Unsicherheit bezüglich der zukünftigen wirtschaftlichen Entwicklung mindern und Planungsprozesse von Regierungen und Unternehmen unterstützen. Empirische Studien bescheinigen ihnen jedoch in aller Regel ein unbefriedigendes Qualitätsniveau. Auf der Suche nach den Ursachen hat sich in Form der rationalen Erwartungsbildung eine zentrale Grundforderung an  die Prognostiker herausgebildet. So müssten offensichtliche und systematische Fehler, wie bspw. regelmäßige Überschätzungen, mit der Zeit erkannt und abgestellt werden. Die erste Studie der Dissertation übt Kritik am vorherrschenden Verständnis der Rationalität. Dieses ist zu weitreichend, weshalb den Prognostikern die Rationalität voreilig abgesprochen wird. Anhand einer neuen empirischen Herangehensweise wird deutlich, dass die Prognosen aus einem anderen Blickwinkel heraus durchaus als rational angesehen werden können. Der zweite Aufsatz zeigt auf, dass in Form von Befragungsergebnissen öffentlich verfügbare Informationen bestehen, die bei geeigneter Verwendung zu einer Verbesserung der Qualität von Konjunkturprognosen beitragen würden. Die Rationalität dieser Prognosen ist daher stark eingeschränkt. Im dritten Papier erfolgt eine Analyse von Prognoserevisionen und deren Ursachen. Dabei zeigt sich, dass es keinen Zusammenhang zwischen der Rationalität und der Qualität der untersuchten Prognosezeitreihen gibt. Die vierte Studie dient der Präsentation der Ergebnisse eines Prognoseplanspiels, welches den Vergleich der Prognosen von Amateuren und Experten zum Ziel hatte. Es stellt sich heraus, dass die Prognosefehler erhebliche Übereinstimmungen aufweisen.