Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings

Lawrence D. Brown; Robert L. Hagerman; Paul A. Griffin; Mark E. Zmijewski

doi:10.1016/0165-4101(87)90017-6

Journal of Accounting and Economics Vol. 9 No. 1 1987

Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings

Lawrence D. Brown¹; Robert L. Hagerman²; Paul A. Griffin³; Mark E. Zmijewski⁴

¹ Temple University · ² University at Buffalo, State University of New York · ³ University of California, Davis · ⁴ University of Chicago

Abstract

This paper provides evidence of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers and shows that SA forecast superiority in our sample is attributable to: (1) better utilization of information existing 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.

DOI: 10.1016/0165-4101(87)90017-6
Volume: 9
Issue: 1
Pages: 61-87
Language: en
Sources: bibtex:phds-export.bib openalex crossref

Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings

Abstract

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