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Earnings forecast bias - a statistical analysis

Michalon, Karine; Lardic, Sandrine; Dossou, François (2005), Earnings forecast bias - a statistical analysis, Banque & marchés, 78, p. 5-14

Type
Article accepté pour publication ou publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00142773/en/
Date
2005
Journal name
Banque & marchés
Number
78
Publisher
Groupe Banque
Pages
5-14
Metadata
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Author(s)
Michalon, Karine
Lardic, Sandrine
Dossou, François
Abstract (FR)
L'analyse de la pertinence des prévisions de bénéfices des analystes financiers est essentielle : non seulement les investisseurs institutionnels utilisent ces prévisions lors de leurs évaluation et sélection d'actifs, mais elles permettent également d'évaluer le mode de formation des anticipations. Une spécificité bien connue de ces anticipations a récemment été mise en exergue, à savoir l'existence d'un biais positif : les experts ont tendance à surestimer les bénéfices lors de la réalisation de leurs prévisions. Dans ce travail, nous analysons les propriétés de ce biais selon les pays et les secteurs concernés, mais également selon la taille de la firme.
Abstract (EN)
The evaluation of the reliability of analysts' earnings forecasts is an important aspect of research for different reasons: Many empirical studies employ analysts' consensus forecasts as a proxy for the market's expectations of future earnings in order to identify the unanticipated component of earnings, institutional investors make considerable use of analysts' forecasts when evaluating and selecting individual sharesand the performance of analysts' forecasts sheds light on the process by which agents form expectations about key economic and financial variables. The recent period put forward a well-known phenomenon, namely the existence of a positive bias in experts' anticipations: the latter tend to over-estimate earnings. In this paper, we study the properties of this bias according to various aspects, that is to say according to country, sector, but also according to the size of the companies.
Subjects / Keywords
earnings forecasts; bias; consensus; prévisions de bénéfices; biais
JEL
C53 - Forecasting and Prediction Methods; Simulation Methods
E37 - Forecasting and Simulation: Models and Applications

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