Changes in Order Backlog and Future Returns
1
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines whether investors recognize the implications ofchanges in order backlog, a non-GAAP leading indicator, for future performance. A hedge portfolio strategy taking a long position in the highest decile of order backlog change and a short position in the lowest decile of order backlog change earns 13.7 percent in the year after thehedge portfolio is formed. Moreover, analysts forecast errors are largeand negative (overoptimistic) for firms experiencing declines in orderbacklog. Overall, our evidence indicates that analysts underreact to theinformation in changes in order backlog. In addition, the market doesnot appear to see through the relation between changes in order backlogand future performance and under weights the implications of orderbacklog, which contrasts with the findings of Rajgopal, Shevlin, and Venkatachalam (2003).
Abstract
This paper examines whether investors recognize the implications ofchanges in order backlog, a non-GAAP leading indicator, for future performance. A hedge portfolio strategy taking a long position in the highest decile of order backlog change and a short position in the lowest decile of order backlog change earns 13.7 percent in the year after thehedge portfolio is formed. Moreover, analysts forecast errors are largeand negative (overoptimistic) for firms experiencing declines in orderbacklog. Overall, our evidence indicates that analysts underreact to theinformation in changes in order backlog. In addition, the market doesnot appear to see through the relation between changes in order backlogand future performance and under weights the implications of orderbacklog, which contrasts with the findings of Rajgopal, Shevlin, and Venkatachalam (2003).
참고문헌 (19)
- "“Do Analysts’ Forecasts Incorporate Information in Prior Stock Price Changes ” Journal of Accounting and Economics", pp.147~165 (1991)
- "“Test of Analysts’ Overreaction", Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior ” Journal of Finance, 1992, 1181~1207
- "Biased Forecasts or Biased Earnings? The Role of Earnings Management in Explaining Apparent Optimism and Inefficiency in Analysts’ Earnings Forecasts", 36, pp.105~146 (2003)
- "Value-Relevance of Nonfinancial Information: The Wireless Communication Industry", 22, pp.3~30 (1996)
- "Earnings Quality and Financial Reporting Credibility: An Empirical Investigation" (1996), University of Michigan
- "A Temporal Analysis of Earnings Surprises: Profits versus Losses", 39, pp.221~241 (2001)
- "The Stock Market Valuation of Research and Development Expenditures: Evidence from the Semiconductor Industry", 16, pp.643~670 (1999)
- "Science and Technology as Predictors of Stock Performance", 55, pp.20~32 (1999)
- "Inefficiency in Analysts’ Earnings Forecasts: Systematic Misreaction or Systematic Optimism?", 54, pp.1777~1797 (1999)
- "“The Cross-Section of Expected Stock Returns ” Journal of Finance", pp.427~465 (1992)
- "Are Nonfinancial Measures Leading Indicators of Financial Performance? An Analysis of Customer Satisfaction", 36, pp.1~35 (1998)
- "“A Direct Test of the Cognitive Bias Theory of Share Price Reversals ” Journal of Accounting and Economics", pp.155~166 (1990)
- "” Journal of Accounting Research"
- "Forward-looking Financial Information: The Order Backlog as a Predictor of Future Sales", 2, pp.89~99 (1996)
- "“The Association between Revisions of Financial Analysts’ Earnings Forecasts and Security-Price Changes ” Journal of Accounting and Economics", pp.341~363 (1990)
- "Financial Statement Analysis and Security Valuation" (2007), New York, NY: McGraw-Hill
- "Does the Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog", 8, pp.461~492 (2003)
- "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?", 71, pp.289~315 (1996)
- "The Eyeballs Have It: Searching for the Value in Internet Stocks", 38, pp.137~162 (2000)