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Stock return synchronicity and analysts’ forecast properties

Title
Stock return synchronicity and analysts’ forecast properties
Author
조중석
Keywords
Analysts; Forecast accuracy; Forecast bias; Information environment; Stock return synchronicity
Issue Date
2016-01
Publisher
Universitas Gadjah Mada
Citation
Gadjah Mada International Journal of Business, v. 18, NO 3, Page. 301-314
Abstract
Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.
URI
https://jurnal.ugm.ac.id/gamaijb/article/view/16941https://repository.hanyang.ac.kr/handle/20.500.11754/101941
ISSN
1411-1128; 2338-7238
DOI
10.22146/gamaijb.16941
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > BUSINESS ADMINISTRATION(경영학과) > Articles
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