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Estimating private information usage amongst analysts: evidence from UK earnings forecasts

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  • Svetlana Mira
  • Nicholas Taylor

Abstract

This paper introduces a methodology for estimating the likelihood of private information usage amongst earnings analysts. This is achieved by assuming that one group of analysts generate forecasts based on the underlying dynamics of earnings, while all other analysts are assumed to issue forecasts based on the prevailing consensus forecast. Given this behavioural dichotomy, we are able to derive (and estimate) a structural econometric model of forecast behaviour, which has implications regarding the determinants of analysts' private information endowments and forecast accuracy over the forecast horizon. Copyright (C) 2010 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1189
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 30 (2011)
Issue (Month): 8 (December)
Pages: 679-705

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Handle: RePEc:jof:jforec:v:30:y:2011:i:8:p:679-705

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Keywords: earnings forecasts ; private information endowment ; forecast accuracy ;

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