Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.497755
Title: The usefulness of analysts' cash flow forecasts and analysts' earnings forecasts excluded by I/B/E/S
Author: Komutphong, Thitiphol
Awarding Body: University of Lancaster
Current Institution: Lancaster University
Date of Award: 2007
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Abstract:
This thesis reports the results of three studies that investigate the properties of analyst forecasts of US firms provided by I/B/E/S. Firstly, using annual I/B/E/S detail forecasts for US firms from 1993 through 2004, I document that analyst cash flow forecasts are superior to forecasts generated by statistical models across three forecast horizons. This property, however, declines in forecast horizon. More specifically, analyst cash flow forecasts with longer horizons appear to be much closer to forecasts generated by the simple adjustments of earnings forecasts. In addition, I investigate the determinants of cross-sectional variation in the comparative superiority of analyst forecasts relative to the best mechanical model, referred to as a random walk model without drift. The results suggest that timing advantage, cash flow volatility, the number of analyst following, and the number of forecast revisions are positively related to the comparative forecast superiority. The degree of comparative forecast superiority also decreases in forecast horizon. Consistent with prior studies, the findings indicate that analysts possess both contemporaneous and timing advantages for the sample.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.497755  DOI: Not available
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