Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings Export

@article{citeulike:3326592, abstract = {Evidence is provided of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers. It is demonstrated that SA forecast superiority in the sample is attributable to: 1. better use of information that exists on the date that TS model forecasts can be initiated, a contemporaneous advantage, and 2. use of information acquired between the date of initiation of TS model forecasts and the date when SA forecasts are published, a timing advantage. The findings that SA forecasts out-predict TS model forecasts do not suggest that SA forecasts are superior measures of expectations to be employed in "event" or "information content" studies. The important criterion for evaluating expectation models for these studies is unexpected returns that are associated with information arrival, rather than predictive ability.}, author = {Brown and Lawrence, D. and Hagerman and Robert, L. and Griffin and Paul, A. and Zmijewski and Mark, E.}, citeulike-article-id = {3326592}, journal = {Journal of Accounting \& Economics}, keywords = {accuracy, analysis, comparative, cross, errors, forecasting, models, section, securities, series, techniques, time}, month = {April}, number = {1}, pages = {61--88}, posted-at = {2008-09-24 01:40:42}, priority = {2}, title = {Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings}, volume = {9}, year = {1987} }

TY - JOUR ID - citeulike:3326592 L3 - citeulike-article-id:3326592 N2 - Evidence is provided of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers. It is demonstrated that SA forecast superiority in the sample is attributable to: 1. better use of information that exists on the date that TS model forecasts can be initiated, a contemporaneous advantage, and 2. use of information acquired between the date of initiation of TS model forecasts and the date when SA forecasts are published, a timing advantage. The findings that SA forecasts out-predict TS model forecasts do not suggest that SA forecasts are superior measures of expectations to be employed in "event" or "information content" studies. The important criterion for evaluating expectation models for these studies is unexpected returns that are associated with information arrival, rather than predictive ability. IS - 1 JF - Journal of Accounting & Economics EP - 88 TI - Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings VL - 9 SP - 61 KW - accuracy KW - analysis KW - comparative KW - cross KW - errors KW - forecasting KW - models KW - section KW - securities KW - series KW - techniques KW - time AU - Brown AU - Lawrence, D AU - Hagerman AU - Robert, L AU - Griffin AU - Paul, A AU - Zmijewski AU - Mark, E PY - 1987/04// ER -