Publication Type
Conference Paper
Version
acceptedVersion
Publication Date
7-2008
Abstract
We find the disparity between long-term and short-term analyst forecasted earnings growth is a robust predictor of future returns and revisions in long-term forecasted earnings growth. After adjusting for industry characteristics, stocks whose long-term earnings growth forecasts are far above or far below their implied short-term forecasts for earnings growth have negative and positive subsequent risk-adjusted returns, respectively. Despite the importance of conditioning on short-term forecasted earnings growth, these returns are not driven by earnings momentum. Instead, consistent with investors having limited attention, predictable revisions in long-term analyst forecasts appear to induce return predictability.
Keywords
Analyst Forecasts, Return Predictability
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Nippon Finance Association International Conference, Yokohama, July 2008
Last Page
35
City or Country
Yokohama, Japan
Citation
DA, Zhi and WARACHKA, Mitchell Craig.
The Disparity between Long-Term and Short-Term Forecasted Earnings Growth. (2008). Nippon Finance Association International Conference, Yokohama, July 2008. 35.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1894
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://ssrn.com/abstract=1336821
Comments
Also presented at FMA 2010