Combining analysts' forecasts with causal model forecasts of earnings growth
Küçük Resim Yok
Tarih
1999
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Kaynak
Applied Financial Economics
WoS Q Değeri
Scopus Q Değeri
N/A
Cilt
9
Sayı
2
