Publication Type

Conference Paper

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

Additional URL

http://ssrn.com/abstract=1336821

Comments

Also presented at FMA 2010

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