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¿Cómo Afectan Cambios En El Consenso Y La Dispersion En La Valoración De Activos?

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Author Info

  • Germán López Espinosa

    (Universidad de Navarra)

  • Joaquín Marhuenda

    (Universidad de Alicante)

Abstract

There is empirical evidence in the finance literature showing that informationincorporated in the consensus estimate of earnings per share (EPS) is efficiently reflected byshare prices while the market is quite inefficient in discounting consensus shifts. In thissituation, it is possible that investors earn excess returns by trading on information related toearning revisions of financial analysts. The question of whether in all conditions EPS revisionsconvey valuable information motivates this article. Empirical results show that stocks with bestEPS monthly change and lowest dispersion earn higher abnormal returns. However, dispersiongives credibility to the prospective changes of a firm estimated by financial analysts. We haveobtained similar results with high followed firms and also for large ones suggesting thatattention and size are good proxies of quality of information incorporated in consensusrevisions. Existe evidencia que muestra cómo la información contenida en las predicciones de consenso es eficientemente reflejada en los precios, sin embargo parece que el mercado falla en ajustar instantáneamente la nueva información sobre el beneficio de la empresa. Si esto es así, se podrían diseñar estrategias rentables basadas en las revisiones del consenso. En este trabajo se intenta indagar bajo qué condiciones las modificaciones del consenso afectan a la rentabilidad de los títulos. Los resultados obtenidos muestran que las acciones cuyas variaciones del consenso han sido más positivas obtienen rentabilidades anormalmente elevadas siempre que la dispersión de la estimación de consenso sea baja. Por tanto, la dispersión otorga credibilidad al cambio de expectativas propuesto por los analistas financieros. Similares resultados se obtienen para empresas de alto seguimiento y elevada capitalización bursátil, sugiriendo que tanto la atención como el tamaño son buenos indicadores de la calidad informativa que se le otorga al cambio en el consenso.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2003-15.pdf
File Function: Fisrt version / Primera version, 2003
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2003-15.

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Length: 35 pages
Date of creation: Jul 2003
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2003-15

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Keywords: analistas financieros; estimación de consenso; dispersión; nivel de seguimiento; cambio del consenso. Financial analysts; consensus estimate; dispersion; coverage level; consensus change.;

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