Earning Forecast Error in US and European Stock Markets
Earning Forecast Error in US and European Stock Markets
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欧美股市盈利预测误差
DOI：
10.1080/13518470600762507
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
R. Ciciretti
中科院分区：
文献类型：
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作者：
M. Bagella;L. Becchetti;R. Ciciretti
摘要本文研究了两个（美国和欧元区）股票样本中盈利预测偏差的动态和决定因素，这些股票样本是按规模和行业关联度匹配的。有证据表明，欧洲的偏见是显着较高的绝对值，无论是一年和距离的发布日期，除了1997-2000年期间，美国股票更乐观的估值。跨市场差异持续存在时，他们回归，在面板GMM估计，对各种控制，如个人预测的数量和他们的标准差为任何考虑的股票，后者是显着低于美国市场。最后，据观察，在两个市场的工作中的收敛过程，随着发布日期越来越近，偏差变得越来越低。
Abstract The paper investigates the dynamics and determinants of the earning forecast bias in two (US and Eurozone) stock samples matched by size and industry affiliation. Evidence is found that the European bias is significantly higher in absolute terms, irrespective of the year and the distance from the release date, with the exception of the 1997–2000 period in which US stocks are more optimistically valued. Cross-market differences persist when they are regressed, in a panel GMM estimate, on various controls such as the number of individual forecasts and their standard deviation for any considered stock, with the latter being significantly lower in the US market. Finally, it is observed that a convergence process is at work in both markets, with the bias becoming progressively lower as the release date gets closer.