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Estimating private information usage amongst analysts: evidence from UK earnings forecasts

Mira, Svetlana and Taylor, Nick James 2011. Estimating private information usage amongst analysts: evidence from UK earnings forecasts. Journal of Forecasting 30 (8) , pp. 679-705. 10.1002/for.1189

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Abstract

This paper introduces a methodology for estimating the likelihood of private information usage amongst earnings analysts. This is achieved by assuming that one group of analysts generate forecasts based on the underlying dynamics of earnings, while all other analysts are assumed to issue forecasts based on the prevailing consensus forecast. Given this behavioural dichotomy, we are able to derive (and estimate) a structural econometric model of forecast behaviour, which has implications regarding the determinants of analysts' private information endowments and forecast accuracy over the forecast horizon.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Uncontrolled Keywords: Earnings forecasts; Private information endowment; Forecast accuracy
Publisher: Wiley Blackwell
ISSN: 0277-6693
Last Modified: 07 Feb 2018 11:41
URI: http://orca.cf.ac.uk/id/eprint/18198

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