Clatworthy, Mark A., Peel, David A. and Pope, Peter (2007) Evaluating the properties of analysts’ forecasts: a bootstrap approach. British Accounting Review, 39 (1). pp. 3-13. ISSN 0890-8389
Full text not available from this repository.Abstract
Previous research has reported that analysts’ forecasts of company profits are both optimistically biased and inefficient. However, many prior studies have applied ordinary least-squares regression to data where heteroskedasticity and non-normality are common problems, potentially resulting in misleading inferences. Furthermore, most prior studies deflate earnings and forecasts in an attempt to correct for non-constant error variances, often changing the specification of the underlying regression equation. We describe and employ the wild bootstrap—a technique that is robust both to heteroskedasticity and non-normality—to assess the reliability of prior studies of analysts’ forecasts. Based on a large sample of 23,283 firm years covering the period 1981–2002, our main results confirm the findings of prior research. Our results also suggest that deflation may not be a successful method of correcting for heteroskedasticity, providing a strong rationale for using the wild bootstrap in future work in this, and other areas of accounting and finance research.
| Item Type: | Article |
|---|---|
| Official URL: | http://bafa.ac.uk/publications/british-accounting-... |
| Additional Information: | © 2007 Elsevier |
| Divisions: | Accounting |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G3 - Corporate Finance and Governance |
| Date Deposited: | 23 Oct 2013 13:09 |
| Last Modified: | 04 Jan 2024 22:27 |
| URI: | http://eprints.lse.ac.uk/id/eprint/53755 |
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