مقاله انگلیسی رایگان در مورد حرکت قیمت و حق بیمه برای برخورد یا غلبه پیش بینی های تحلیلگران درآمد – الزویر 2018

1- Introduction

2- Background, theoretical development, and empirical predictions

3- Research design

4- Data and descriptive analysis

5- Results

6- Temporal variation in meet/beat premiums

7- The effect of preannouncement momentum on the likelihood of just meeting analyst forecasts of earnings

8- Sensitivity analyses

9- Conclusion

References

Abstract

This study provides a theoretical rationale and empirical support that relates the existence and magnitude of the premium for meeting/beating analysts’ EPS forecasts to the existence of preannouncement price momentum. The study is based on the theoretical work that suggests that extreme levels of price momentum can cause security prices to deviate from fundamental values even in the presence of well-informed and well-financed rational arbitrageurs. Differences of opinion regarding the extent of mispricing and/or optimal exit time to exit the position allow this mispricing to persist (Abreu and Brunnermeier, 2002, Abreu and Brunnermeier, 2003). To correct mispricing, a news event, like an earnings announcement, is necessary to synchronize investors’ exit strategy beliefs (Abreu and Brunnermeier, 2002, Abreu and Brunnermeier, 2003). In the case of an earnings announcement, this synchronization of beliefs triggers a price reaction of such magnitude that it cannot be explained by unexpected earnings. Instead, we hypothesize and show that the abnormal price reaction is largely captured in what empirical researchers have identified as the meet/beat market premium. Our findings provide a cohesive argument for the temporal variation in meet/beat premiums documented by Koh, Matsumoto and Rajgopal (2008).

Introduction

Prior research has documented the existence of a stock return premium for meeting or beating analyst forecasts of earnings1 even after controlling for unexpected earnings (Bartov et al. 2002; Kasznik and McNichols, 2002). Despite the empirical evidence of its existence, the basis of the meet/beat premium remains a largely unexplained phenomenon in the literature. The motivation behind our paper is to extend the existing literature by providing a theoretical rationale and related empirical support for the existence and magnitude of the meet/beat premium. To that end, we relate the meet/beat premium to the degree of pre-announcement stock price momentum.2 The foundation of our study is based on the idea that price momentum is linked to investor disagreement3 over the extent of temporary mispricing caused by a prior market misreaction to news about a security.4 That is, disagreement over any such misreaction and the related price momentum will result in the belief among a subset of investors that a security is temporarily mispriced (e.g., Barberis 1998; Hong and Stein 1999; Lee and Swaminathan 2000).5 Differences of opinion concerning the timing of the market correction (Abreu and Brunnermeier, 2002, 2003) allow this momentum / mispricing to persist.6 To correct any mispricing, a sufficient number of investors must be synchronized in the belief that the security is indeed mispriced. Therefore, a news event, such as an earnings announcement, is necessary to synchronize investors’ beliefs (Abreu and Brunnermeier 2002, 2003). In the case of an earnings announcement, the synchronization of beliefs triggers a price reaction of such magnitude that it cannot be explained by unexpected earnings. Instead, we argue that the abnormal price reaction is largely captured in what empirical researchers have identified as the meet/beat premium. In this vein, we argue that the meet/beat premium is a consequence of resolving investor disagreement over the existence and magnitude of a prior misreaction.