Implications of survival and data trimming for tests of market efficiency

Article Abstract:

Analysts use past data for predicting future returns from capital markets. For the purpose, the data is trimmed to obtain a range bound generalized prediction. It is observed through simulation that data deletion can have negative effect on prediction of future returns as some firms fail to survive for long term post-event. It is also noted that there could be a 30-50% bias in analysis itself. Hence, predictions based on analysts' surmises are not necessarily in tandem with market efficiency.

Forecasts, trends, outlooks, Management dynamics, Management, Usage, Forecasts and trends, Market trend/market analysis, Statistics, Statistics (Data), Company business management, Financial analysts, Return on investment, Rate of return

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Accounting valuation, market expectation, and cross-sectional stock returns

Article Abstract:

A study was conducted to analyze the usefulness of an analyst-based valuation framework in forecasting cross-sectional stock returns. Companies' fundamental values were estimated using I/B/E/S consensus forecasts and a residual income model. Results indicated that the fundamental values are highly correlated with contemporaneous stock price. Findings also showed that errors in consensus analyst earnings forecasts are predictable.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Evaluation, Stocks, Exchanges

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Testing behavioral finance theories using trends and consistency in financial performance

Article Abstract:

The pricing consequences of representative ness and are analyzed using trends and consistency of accounting performance. It is concluded that theories based on representatives are not supported but some evidence of the pricing implications of conservatism is found.

Conservatism, Econometric models

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