Reading the tea leaves: Model uncertainty, robust forecasts, and the autocorrelation of analysts’ forecast errors

We put forward a model in which analysts are uncertain about a firm’s earnings process. Faced with the possibility of using a misspecified model, analysts issue forecasts that are robust to model misspecification. We estimate that this mechanism explains approximately 60% of the autocorrelation in a...

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Veröffentlicht in:	Journal of financial economics 2016-10, Vol.122 (1), p.42-64
Hauptverfasser:	Linnainmaa, Juhani T., Torous, Walter, Yae, James
Format:	Artikel
Sprache:	eng
Schlagworte:	Earnings forecasting Errors Financial analysis Financial analysts Forecasting Model uncertainty Parameter uncertainty Robustness Studies
Online-Zugang:	Volltext
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