On the relation between forecast precision and trading profitability of financial analysts

被引：6

作者：

Marinelli, Carlo ^{[1
]}

Weissensteiner, Alex ^{[2
,3
]}

机构：

[1] UCL, Dept Math, London WC1E 6BT, England

[2] Free Univ Bolzano, Sch Econ & Management, Bolzano, Italy

[3] Tech Univ Denmark, Dept Engn Management, DK-2800 Lyngby, Denmark

来源：

JOURNAL OF FINANCIAL MARKETS | 2014年 / 20卷

关键词：

Financial analyst; Forecast accuracy; Recommendation profitability; Full communication equilibrium; EARNINGS FORECASTS; INFORMATION; MARKET; RECOMMENDATIONS; ACCURACY; PRICE; REPUTATION; ERRORS; HERD;

D O I：

10.1016/j.finmar.2014.03.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the relation between earnings forecast accuracy and the expected profitability of financial analysts. Modeling forecast errors with a multivariate normal distribution, a complete characterization of the payoff of each analyst is provided. In particular, closed-form expressions for the probability density function, for the expectation, and, more generally, for moments of all orders are obtained. Our analysis shows that the relationship between forecast precision and trading profitability needs not be monotonic, and that the impact of the correlation between the forecasts on the expected payoff of any single analyst depends on the relative accuracy of his signal. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：39 / 60

页数：22

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