TY - JOUR
T1 - Aggregate Earnings Expectations and Stock Market Behavior
AU - Givoly, Dan
AU - Lakonishok, Josef
N1 - Funding Information:
Faculty of Management, Tel Aviv University. Josef Lakonishok is currently visiting the Johnson Graduate School of Management, Cornell University. The authors gratefully acknowledge the financial support of the Institute for Quantitative Research in Finance and Israel Institute of Business Research. The authors would also like to thank the firm of Lynch Jones and Ryan for providing the data on earnings forecasts and Stanley Levine for valuable help in interpreting them. 4 1987 2 2 117 137 © 1987 SAGE Publications 1987 SAGE Publications
PY - 1987/4
Y1 - 1987/4
N2 - The paper examines the degree of association between cross-sectional aggregate measures of earnings forecasts and the market rate of return. Various measures of “market” earning forecasts are devised. The results indicate that while changes in earnings forecasts of individual companies are correlated with the price behavior of the respective stocks, very weak association exists between the aggregate measure of earnings forecasts and the market rate of return. This lack of association (which suggests that information on aggregate changes in earnings forecasts is not very useful to investors) is due primarily to the very low commonality in the revisions of earnings forecasts across companies.
AB - The paper examines the degree of association between cross-sectional aggregate measures of earnings forecasts and the market rate of return. Various measures of “market” earning forecasts are devised. The results indicate that while changes in earnings forecasts of individual companies are correlated with the price behavior of the respective stocks, very weak association exists between the aggregate measure of earnings forecasts and the market rate of return. This lack of association (which suggests that information on aggregate changes in earnings forecasts is not very useful to investors) is due primarily to the very low commonality in the revisions of earnings forecasts across companies.
UR - http://www.scopus.com/inward/record.url?scp=84970462678&partnerID=8YFLogxK
U2 - 10.1177/0148558X8700200203
DO - 10.1177/0148558X8700200203
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AN - SCOPUS:84970462678
SN - 0148-558X
VL - 2
SP - 117
EP - 137
JO - Journal of Accounting, Auditing and Finance
JF - Journal of Accounting, Auditing and Finance
IS - 2
ER -