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.
| Identifer | oai:union.ndltd.org:ADTP/234858 |
| Date | January 2006 |
| Creators | Shan, Yaowen, School of Banking & finance, UNSW |
| Publisher | Awarded by:University of New South Wales. School of Banking & finance |
| Source Sets | Australiasian Digital Theses Program |
| Language | English |
| Detected Language | English |
| Rights | Copyright Yaowen Shan, http://unsworks.unsw.edu.au/copyright |
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