Economic forecasts, anchoring bias, and stock returns

2021 ◽  
Author(s):  
Gene Birz ◽  
Sandip Dutta ◽  
Han Yu
Keyword(s):  
Stock Returns ◽  
Anchoring Bias ◽  
Economic Forecasts

scholarly journals The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns

2012 ◽  
Vol 48 (1) ◽  
pp. 47-76 ◽  
Author(s):  
Ling Cen ◽  
Gilles Hilary ◽  
K. C. John Wei
Keyword(s):  
Stock Returns ◽  
Earnings Forecasts ◽  
Equity Market ◽  
Stock Splits ◽  
Forecast Errors ◽  
Forecast Revisions ◽  
Earnings Per Share ◽  
Earnings Surprises ◽  
Anchoring Bias

AbstractWe test the implications of anchoring bias associated with forecast earnings per share (FEPS) for forecast errors, earnings surprises, stock returns, and stock splits. We find that analysts make optimistic (pessimistic) forecasts when a firm’s FEPS is lower (higher) than the industry median. Further, firms with FEPS greater (lower) than the industry median experience abnormally high (low) future stock returns, particularly around subsequent earnings announcement dates. These firms are also more likely to engage in stock splits. Finally, split firms experience more positive forecast revisions, more negative forecast errors, and more negative earnings surprises after stock splits.

scholarly journals The Power of Narratives in Economic Forecasts

2020 ◽  
Vol 2020 (001r1) ◽  
pp. 1-58
Author(s):  
Steven A. Sharpe ◽  
◽  
Nitish R. Sinha ◽  
Christopher A. Hollrah ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Private Sector ◽  
Stock Returns ◽  
Economic Performance ◽  
Federal Reserve ◽  
Strongly Correlated ◽  
Quantile Regressions ◽  
Incremental Information ◽  
Economic Forecasts

The sentiment, or “Tonality”, extracted from the narratives that accompany Federal Reserve economic forecasts is strongly correlated with future economic performance, positively with GDP and negatively with unemployment and inflation. Moreover, Tonality conveys incremental information in that it predicts errors in both Federal Reserve and private-sector forecasts of GDP, unemployment, and monetary policy up to four quarters out. Tonality similarly predicts stock returns. Tonality is most informative when uncertainty is high and point forecasts predict subpar growth. Quantile regressions indicate that much of Tonality’s forecasting power arises from its signal of downside risks to economic performance and stock returns.

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration

The Impact of Dividend Announcement on Stock Returns

2016 ◽  
Vol 7 (1) ◽  
pp. 46
Author(s):  
Naik Priyanka Umesh ◽  
Nezvila Tracy Saldanha ◽  
Y. V. Reddy
Keyword(s):  
Stock Returns ◽  
The Impact
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