Return to search

Analysts' forecasts and future stock return volatility: a firm-level analysis for NYSE Firms

This study demonstrates that financial analysts significantly affect short-term stock prices, by examining how non-accounting information particularly contained in analysts' forecasts contributes to the fluctuation of future stock returns. If current non-accounting information of future earnings is more unfavourable or more volatile, we could observe a larger shift in the current stock return. The empirical evidence strongly supports these theoretical predictions that stem from the combination of the accounting version of Campbell-Shiller model (Campbell and Shiller (1988) and Vuolteenaho (2002)) and Ohlson????s information dynamics (1995). In addition, the results are also valid for measures of both systematic and idiosyncratic volatilities.

Identiferoai:union.ndltd.org:ADTP/257218
Date January 2006
CreatorsShan, Yaowen, School of Banking & finance, UNSW
PublisherAwarded by:University of New South Wales. School of Banking & finance
Source SetsAustraliasian Digital Theses Program
LanguageEnglish
Detected LanguageEnglish
RightsCopyright Yaowen Shan, http://unsworks.unsw.edu.au/copyright

Page generated in 0.0018 seconds