A Note on Analysts' Earnings Forecast Errors Distribution
|Authors:||Cohen, Daniel A.|
Lys, Thomas Z.
|Keywords:||Analysts forecasts;analysts bias;analysts under/overreaction to information;analysts loss function;discretionary accruals|
|Series/Report no.:||Daniel A. Cohen-08|
|Abstract:||Abarbanell and Lehavy provide evidence that analysts' forecast errors are not normally distributed exhibiting a high occurrence of extreme negative forecast errors (left-tail asymmetry) and a high occurrence of small positive forecast errors (middle asymmetry). This is important for researchers who rely on techniques that are sensitive to the distributional assumptions of analysts' forecast errors. Many of the conclusions drawn by Abarbanell and Lehavy, however, are based on visual impressions (as opposed to formal empirical tests) or based on methods that are very sensitive to the empirical methods used (e.g., whether the serial correlation of forecast errors is caused by the left-tail asymmetry).|
|Appears in Collections:||Accounting Working Papers|
Accounting Working Papers
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.