Analysts' forecasts and uncertainty about firm value

被引：2

作者：

Andrews, Angela ^{[1
]}

Sen, Pradyot ^{[2
]}

Stephan, Jens ^{[3
]}

机构：

[1] Indiana Univ, Kelley Sch Business, Indianapolis, IN 46204 USA

[2] Univ Washington Bothell, Bothell, WA USA

[3] Eastern Michigan Univ, Dept Accounting & Finance, Ypsilanti, MI 48197 USA

来源：

REVIEW OF ACCOUNTING AND FINANCE | 2018年 / 17卷 / 03期

关键词：

Analyst forecast revisions; Exchange traded options; Implied volatilities; Uncertainty about firm value;

D O I：

10.1108/RAF-09-2016-0146

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Purpose The purpose of this study is to use implied volatilities from exchange traded options to examine the interaction between analysts' forecast revisions and the market's perception of uncertainty about firm value. Design/methodology/approach The authors examine how characteristics of individual forecast revisions, e.g. news and changes in dispersion of forecasts, affect changes in implied volatilities, whether analysts use the observable changes in implied volatilities to inform their forecast revisions and whether changes in dispersion of forecasts are correlated with changes in implied volatilities. Findings The authors find that good (bad) news forecast revisions reduce (increase) investors' perception of uncertainty about firm value, analysts do not appear to use changes in implied volatilities to shade their forecast revisions to good/bad news and dispersion of forecasts are a reasonable proxy for uncertainty about firm value as indicated by their correlation with implied volatilities. Originality/value Recent research on analysts' forecast revisions and management forecasts has focused on risk perception rather than value. This paper extends this work with a risk metric based on market transactions in both a short and long window analysis, as well as univariate and multivariate analysis.

引用

页码：298 / 315

页数：18