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Combining analysts' forecasts with causal model forecasts of earnings growth
(Routledge, 1999) Terregrossa, S.J.
In combination forecasting the conventional approach is to combine the experts' or the analysts' forecast with a time-series model forecast. An alternative approach is to combine the analysts' forecast with a causal model forecast. The major component of the proposed expected-return/causal model is the Capital Asset Pricing Model (CAPM). It is found that combining financial analysts' consensus forecasts with CAPM simulated ex-ante forecasts consistently leads to superior forecasts of five-year earnings-per-share growth rates, on average, relative to either component forecast. This result holds over four adjacent five-year time horizons, ending in 1990, the last year of the study.