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  • 1
    Electronic Resource
    Electronic Resource
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 26 (1999), S. 0 
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper evaluates the accuracy, bias and efficiency of analysts’ long run earnings growth forecasts for US companies. It is shown that forecast accuracy is extremely low. Analysts’ long run earnings growth forecasts are less accurate than the forecasts of a naive model in which earnings growth is forecast to be zero. Consistent with their short run and interim forecasts, analysts’ long run forecasts are shown to be both biased and inefficient. Furthermore, there is evidence that analysts do not fully incorporate information about future earnings that is contained in current share prices. However, the bias and inefficiency of analysts’ forecasts contributes very little to their inaccuracy, which is shown to be primarily the result of random error. It is also shown that the performance of analysts’ long run earnings growth forecasts varies substantially both with the characteristics of the company whose earnings are being forecast and of the forecast itself. The most reliable earnings growth forecasts are low forecasts issued for large companies with low price-earnings ratios and high market-to-book ratios.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 28 (2001), S. 0 
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: There is now substantial evidence that daily equity returns are not normally distributed but instead display significant leptokurtosis and, in many cases, skewness. Considerable effort has been made in order to capture these empirical characteristics using a range of ad hoc statistical distributions. In this paper, we investigate the distribution of daily, weekly and monthly equity returns in the UK and US using two very flexible families of distributions that have been recently introduced: the exponential generalised beta (EGB) and the skewed generalised-t (SGT). These distributions permit very diverse levels of skewness and kurtosis and, between them, nest many of the distributions previously considered in the literature. Both the EGB and the SGT provide a very substantial improvement over the normal distribution in both markets. Moreover, for daily returns, we strongly reject the restrictions on the EGB and SGT implied by most of the distributions that are commonly used for modelling equity returns, including the student-t, the power exponential and the logistic distributions. Instead, our preferred distributions for daily returns are the generalised-t for the US and the skewed-t for the UK, both of which are members of the SGT family. For weekly returns, our preferred distributions are the student-t for the UK and the skewed-t for the US, while for monthly returns, our preferred distributions are the EBR12 for the UK and the logistic for the US. We consider the implications of our findings for the implementation of value-at-risk, a risk management methodology that rests heavily on the distributional characteristics of returns.
    Type of Medium: Electronic Resource
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  • 3
    Electronic Resource
    Electronic Resource
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 28 (2001), S. 0 
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The performance of contrarian, or value strategies – those that invest in stocks that have low market value relative to a measure of their fundamentals – continues to attract attention from researchers and practitioners alike. While there is much extant evidence on the profitability of value strategies, however, most of this evidence pertains to the US. In this paper, we provide a detailed characterisation of value strategies using data on UK stocks for the period 1975 to 1998. We first undertake simple one-way and two-way classifications of stocks in which value is defined using both past performance and expected future performance. Using sales growth as a proxy for past performance and book-to-market, earnings yield and cash flow yield as measures of expected future performance, we find that that stocks that have both poor past performance and low expected future performance have significantly higher returns than those that have either good past performance or good expected future performance. Allowing for size effects in returns reduces the value premium but it nevertheless remains significant. We go on to explore whether the profitability of value strategies in the UK can be explained using the three factor model of Fama and French (1996). Broadly consistent with the results for the US, we find that using the one-way classification the excess returns to almost all value strategies can be explained by their loading on the market, book-to-market and size factors. However, in contrast with the US, using the two-way classification there are excess returns to value strategies based on book-to-market and sales growth, even after controlling for their loading on the market, book-to-market and size factors.
    Type of Medium: Electronic Resource
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  • 4
    Electronic Resource
    Electronic Resource
    Oxford, UK and Boston, USA : Blackwell Publishers Ltd
    Journal of business finance & accounting 27 (2000), S. 0 
    ISSN: 1468-5957
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: A number of financial variables have been shown to be effective in explaining the time-series of aggregate equity returns in both the UK and the US. These include, inter alia, the equity dividend yield, the spread between the yields on long and short government bonds, and the lagged equity return. Recently, however, the ratio between the long government bond yield and the equity dividend yield – the gilt-equity yield ratio – has emerged as a variable that has considerable explanatory power for UK equity returns. This paper compares the predictive ability of the gilt-equity yield ratio with these other variables for UK and US equity returns, providing evidence on both in-sample and out-of-sample performance. For UK monthly returns, it is shown that while the dividend yield has substantial in-sample explanatory power, this is not matched by out-of sample forecast accuracy. The gilt-equity yield ratio, in contrast, performs well both in-sample and out-of-sample. Although the predictability of US monthly equity returns is much lower than for the UK, a similar result emerges, with the gilt-equity yield ratio dominating the other variables in terms of both in-sample explanatory power and out-of-sample forecast performance. The gilt-equity yield ratio is also shown to have substantial predictive ability for long horizon returns.
    Type of Medium: Electronic Resource
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