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Analysts' forecasts as proxies for investor beliefs in empirical research
Open accessAbstract
We analyze how analysts' forecasts relate to investor beliefs and describe the implications of these relations for price and volume reactions to earnings surprises. We show that dispersion among forecasts does not fully capture investor uncertainty. We also show how the relations between market reactions and forecast properties differ under the alternative assumptions of exogenous and endogenous private information acquisition. Finally, the analysis suggests refined tests for volume reactions at the time of an announcement. Our results indicate that the model is useful for understanding and interpreting empirical work and developing empirical tests of market reactions to announcements.
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Citations
Cited by
Verrecchia, R. E. (2001) · Journal of Accounting and Economics · doi:10.1016/s0165-4101(01)00025-8 · Cited by 2,303
Self-citationIoannou, I., & Serafeim, G. (2015) · Strategic Management Journal · doi:10.1002/smj.2268 · Cited by 1,124
Financial Analyst Characteristics and Herding Behavior in Forecasting
CLEMENT, M. B., & TSE, S. Y. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00731.x · Cited by 905
Cost Behavior and Analysts’ Earnings Forecasts
Weiss, D. (2010) · The Accounting Review · doi:10.2308/accr.2010.85.4.1441 · Cited by 542
The economic consequences of increased disclosure: Evidence from international cross-listings☆
BAILEY, W., ANDREWKAROLYI, G., & SALVA, C. (2006) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.06.002 · Cited by 435
Metadata
- Authors
- Abarbanell, J. S., Lanen, W. N., & Verrecchia, R. E.
- Venue
- Journal of Accounting and Economics
- Publisher
- Elsevier BV
- Published
- 1995-07
- Volume
- 20
- Issue
- 1
- Pages
- 31-60
- ISSN
- 0165-4101 (ISSN-L)
- OpenAlex
- W2098387901
- Cited by
- 265
- References
- 0
- FWCI
- 11.39
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- CoChat. (2026). Citation check: Analysts' forecasts as proxies for investor beliefs in empirical research. https://app.cochat.ai/papers/10.1016/0165-4101(94)00392-i
- The paper
- Abarbanell, J. S., Lanen, W. N., & Verrecchia, R. E. (1995). Analysts' forecasts as proxies for investor beliefs in empirical research. Journal of Accounting and Economics. https://doi.org/10.1016/0165-4101(94)00392-i
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
