IDEAS home Printed from https://ideas.repec.org/p/ivi/wpasec/2003-15.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Germán López Espinosa & Joaquín Marhuenda, 2003. "¿Cómo Afectan Cambios En El Consenso Y La Dispersion En La Valoración De Activos?," Working Papers. Serie EC 2003-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:2003-15
    as

    Download full text from publisher

    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2003-15.pdf
    File Function: Fisrt version / Primera version, 2003
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2003-15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Departamento de Edición (email available below). General contact details of provider: https://edirc.repec.org/data/ievages.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.