본문 바로가기
KERD
논문KCI 등재

Analysts’ Multi－period Forecasts and Future Earnings Persistence

이세중|이동헌
한국국제회계학회 (Korea International Accounting Association)|2022.02|국제회계연구 (Korea International Accounting Review)|제101호|pp. 21-45|DOI 10.21073/kiar.2022..101.002

2

조회

0

다운로드

0

인용

0

참고문헌

키워드

주가수익률stock returns주가수익률 변동성이익지속성earnings persistenceAnalysts’ forecastsstock returns volatility재무분석가 이익예측

초록

[Purpose] The purpose of this study is to investigate whether analyst multi－period forecasts reflect the future earnings persistence information. [Methodology] Our sample period covers from 1993 and 2013. We establish 8,867 final samples from the intersection of the Compustat, CRSP, and I/B/E/S. We test the relationship between the actual future earnings persistence and analysts’ earnings persistence forecasts implied in the multi －period earnings forecasts. Also, we investigate the relationship between the expectation in earings persistence change and future stock returns volatility. Lastly, we regress future abnormal returns on the expectation of change in earnings persistence. [Findings] After estimating analysts’ earnings persistence forecasts embedded in their multi－ period earnings forecasts, we find that the expectation of change in future earnings persistence implied in the multi－period forecasts captures actual change in future earnings persistence. We also find that when analysts anticipate a rise in future earnings persistence, future stock returns increase while future stock returns volatility declines. [Implications] Our findings support the argument that, although analysts’ multi－period forecasts convey information regarding the future earnings persistence variation, investors do not fully understand the implication and respond on a delayed basis.

Abstract

[Purpose] The purpose of this study is to investigate whether analyst multi－period forecasts reflect the future earnings persistence information. [Methodology] Our sample period covers from 1993 and 2013. We establish 8,867 final samples from the intersection of the Compustat, CRSP, and I/B/E/S. We test the relationship between the actual future earnings persistence and analysts’ earnings persistence forecasts implied in the multi －period earnings forecasts. Also, we investigate the relationship between the expectation in earings persistence change and future stock returns volatility. Lastly, we regress future abnormal returns on the expectation of change in earnings persistence. [Findings] After estimating analysts’ earnings persistence forecasts embedded in their multi－ period earnings forecasts, we find that the expectation of change in future earnings persistence implied in the multi－period forecasts captures actual change in future earnings persistence. We also find that when analysts anticipate a rise in future earnings persistence, future stock returns increase while future stock returns volatility declines. [Implications] Our findings support the argument that, although analysts’ multi－period forecasts convey information regarding the future earnings persistence variation, investors do not fully understand the implication and respond on a delayed basis.

참고문헌 (52)

  1. Aboody, D., "Earnings Quality, Insider Trading, and Cost of Capital", Journal of Accounting Research, 43(5), pp.651~673 (2005)
  2. Aboody, D., "Limited attention and the earnings announcement returns of past stock market winners", Review of Accounting Studies, 15(2), pp.317~344 (2010)
  3. Ali, A., "Residual－Income－Based Valuation Predicts Future Stock Returns: Evidence on Mispricing vs. Risk Explanations", The Accounting Review, 78(2), pp.377~396 (2003)
  4. Athanassakos, G., "Analyst Forecast Dispersion and Future Stock Return Volatility", Quarterly Journal of Business and Economics, 42(1, pp.2) (2003), 57~78
  5. Barber, B., "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns", The Journal of Finance, 56(2), pp.531~563 (2001)
  6. Bernard, V. L., "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings", Journal of Accounting and Economics, 13(4), pp.305~340 (1990)
  7. Bhattacharya, N., "Does Earnings Quality Affect Information Asymmetry? Evidence from Trading Costs", Contemporary Accounting Research, 30(2), pp.482~516 (2013)
  8. Bradshaw, M. T., "GAAP versus The Street: An Empirical Assessment of Two Alternative Definitions of Earnings", Journal of Accounting Research, 40(1), pp.41~66 (2002)
  9. Bradshaw, Mark T, "The use of target prices to justify sell‐side analysts’ stock recommendations", Accounting Horizons, 16(1), pp.27~41 (2002)
  10. Bradshaw, Mark T, "How do analysts use their earnings forecasts in generating stock recommendations?", The Accounting Review, 79(1), pp.25~50 (2004)
  11. Brooks, L. D., "FURTHER EVIDENCE OF THE TIME SERIES PROPERTIES OF ACCOUNTING INCOME", The Journal of Finance, 31(5), pp.1359~1373 (1976)
  12. Brown, L. D., "Do Stock Prices Fully Reflect the Implications of Current Earnings for Future Earnings for AR1 Firms?", Journal of Accounting Research, 38(1), pp.149~164 (2000)
  13. Brown, L. D., "THE SUPERIORITY OF ANALYST FORECASTS AS MEASURES OF EXPECTATIONS: EVIDENCE FROM EARNINGS", The Journal of Finance, 33(1), pp.1~16 (1978)
  14. Brown, L. D., "Comparing the Value Relevance of Two Operating Income Measures", Review of Accounting Studies, 8(4), pp.561~572 (2003)
  15. Brown, L. D., "Security analyst superiority relative to univariate time－series models in forecasting quarterly earnings", Journal of Accounting and Economics, 9(1), pp.61~87 (1987)
  16. Call, A. C., "Are Analysts’ Cash Flow Forecasts Naive Extensions of Their Own Earnings Forecasts?", Contemporary Accounting Research, 30(2), pp.438~465 (2013)
  17. Chen, C, "Time－Varying Earnings Persistence and the Delayed Stock Return Reaction to Earnings Announcements", Contemporary Accounting Research, 30(2), pp.549~578 (2013)
  18. Claus, J., "Equity Premia as Low as Three Percent? Evidence from Analysts’ Earnings Forecasts for Domestic and International Stock Markets", The Journal of Finance, 56(5), pp.1629~1666 (2001)
  19. Coakley, J., "Valuation ratios and price deviations from fundamentals", Journal of Banking and Finance, 30(8), pp.2325~2346 (2006)
  20. Collins, D. W., "An analysis of intertemporal and cross－sectional determinants of earnings response coefficients", Journal of Accounting and Economics, 11(2), pp.143~181 (1989)
  21. Corwin, S. A., "Limited Attention and the Allocation of Effort in Securities Trading", The Journal of Finance, 63(6), pp.3031~3067 (2008)
  22. Cowen, A, "Which types of analyst firms are more optimistic?", Journal of Accounting and Economics, 41(1-2), pp.119~146 (2006)
  23. Da, Z., "The disparity between long－term and short－term forecasted earnings growth", Journal of Financial Economics, 100(2), pp.424~442 (2011)
  24. Dechow, P. M., "The relation between analysts’forecasts of long－term earnings growth and stock price performance following equity offerings", Contemporary Accounting Research, 17(1), pp.1~32 (2000)
  25. Dechow, P, "Understanding earnings quality: A review of the proxies, their determinants and their consequences", Journal of Accounting and Economics, 50(2-3), pp.344~401 (2010)
  26. Elgers, P. T., "Reductions in Analysts’ Annual Earnings Forecast Errors Using Information in Prior Earnings and Security Returns", Journal of Accounting Research, 32(2), pp.290~303 (1994)
  27. Fama, E. F., "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, 33, pp.3~56 (1993)
  28. Feng, M., "Analysts’ incentives to overweight management guidance when revising their short－term earnings forecasts", Accounting Review, 85(5), pp.1617~1646 (2010)
  29. Foster, G, "Quarterly Accounting Data: Time－Series Properties and Predictive－Ability Results", The Accounting Review, 52(1), pp.1~21 (1977)
  30. Francis, J., "The market pricing of accruals quality", Journal of Accounting and Economics, 39(2), pp.295~327 (2005)
  31. Frankel, R., "Accounting valuation, market expectation, and cross －sectional stock returns", Journal of Accounting and Economics, 25(3), pp.283~319 (1998)
  32. Gaio, C., "Earnings quality and firm valuation: international evidence", Accounting and Finance, 51(2), pp.467~499 (2011)
  33. Gebhardt, W. R., "Toward an Implied Cost of Capital", Journal of Accounting Research, 39(1), pp.135~176 (2001)
  34. Gleason, C. A., "Analyst Forecast Revisions and Market Price Discovery", The Accounting Review, 78(1), pp.193~225 (2003)
  35. Gu, Z., "Analysts’ treatment of nonrecurring items in street earnings", Journal of Accounting and Economics, 38, pp.129~170 (2004)
  36. Gu, Z., "Monitors or Predators: The Influence of Institutional Investors on Sell－Side Analysts", The Accounting Review, 88(1), pp.137~169 (2012)
  37. Hayn, C, "The information content of losses", Journal of Accounting and Economics, 20(2), pp.125~153 (1995)
  38. Hirshleifer, D., "Limited Investor Attention and Stock Market Misreactions to Accounting Information", The Review of Asset Pricing Studies, 1(1), pp.35~73 (2011)
  39. Jackson, A. R., "Trade Generation, Reputation, and Sell－Side Analysts", The Journal of Finance, 60(2), pp.673~717 (2005)
  40. Jung, B., "Do financial analysts’ long－term growth forecasts matter? Evidence from stock recommendations and career outcomes", Journal of Accounting and Economics, 53(1-2), pp.55~76 (2012)
  41. Ke, B., "The Effect of Issuing Biased Earnings Forecasts on Analysts’Access to Management and Survival", Journal of Accounting Research, 44(5), pp.965~999 (2006)
  42. Kelly, P. J, "Information Efficiency and Firm－Specific Return Variation", Quarterly Journal of Finance, 4(4), pp.1450018~ (2014)
  43. Kormendi, R., "Earnings Innovations, Earnings Persistence, and Stock Returns", The Journal of Business, 60(3), pp.323~345 (1987)
  44. Krishnaswami, S., "Information asymmetry, valuation, and the corporate spin－offdecision", Journal of Financial Economics, 53(1), pp.73~112 (1999)
  45. Lambert, R. A., "Information Asymmetry, Information Precision, and the Cost of Capital", Review of Finance, 16(1), pp.1~29 (2012)
  46. Lee, C. M. C., "What is the Intrinsic Value of the Dow?", The Journal of Finance, 54(5), pp.1693~1741 (1999)
  47. Lim, T, "Rationality and Analysts’ Forecast Bias", The Journal of Finance, 56(1), pp.369~385 (2001)
  48. Mayew, William J., "Individual analysts’stock recommendations, earnings forecasts, and the informativeness of conference call question and answer sessions", The Accounting Review, 95(6), pp.311~337 (2020)
  49. Penman, S. H, "Financial Statement Information and the Pricing of Earnings Changes", The Accounting Review, 67(3), pp.563~577 (1992)
  50. Petersen, M. A, "Estimating standard errors in finance panel data sets: Comparing approaches", Review of Financial Studies, 22(1), pp.435~480 (2009)
  51. Stickel, S. E, "Reputation and Performance Among Security Analysts", The Journal of Finance, 47(5), pp.1811~1836 (1992)
  52. West, K. D, "Dividend Innovations and Stock Price Volatility", Econometrica, 56(1), pp.37~61 (1988)

관련 논문AI추천

Analysts’ Forecast Consistency and Investor Responsiveness to Earnings Information김영겸, 나종길, 신희정경영연구소 · 신산업경영저널2019 · 제37권 제2호Analyst Forecast Dispersion, Trading Volume, and Stock Return김정욱, 최원석, Kenton Hoyem경제연구소 · Seoul Journal of Economics2009 · 제22권 제2호Meeting or Beating Analysts’ Forecasts: Empirical Evidence of Firm’s Characteristics, and Persistence Patterns최태희경영연구소 · Seoul Journal of Business2010 · 제16권 제2호The effect of financial statement comparability on analysts’ reliance on common information기은선, 심준용사람과세계경영학회 · Global Business and Finance Review2017 · 제22권 제3호Earnings Announcements, Analyst Forecasts, and Trading Volume송민섭경영연구소 · Seoul Journal of Business2013 · 제19권 제2호Cost Stickiness and Future Earnings Response Coefficient김진배, 이민영한국국제회계학회 · 국제회계연구2021 · 제97호

이 간행물의 다른 논문 (10건)

온라인 학습(녹화 방식)의 회계․세무 교육과정이 교육만족도에 미치는 영향에 관한 연구이하진pp. 1-19A Study on the Influence of Replacing Business Tax with Value－added Tax on Financial Performance of Listed Companies in Construction Industry in China고청리, 권영모, 잠빈pp. 47-64The Effect of KONEX Market Experience on IPO Performance추재연pp. 65-85비정상 매출액이 재무제표의 비교가능성에 미치는 영향에 관한 연구김응길, 박경호pp. 87-105연결범위의 현황 및 공시에 관한 연구윤성수, 두서영pp. 107-139
원문 보기