Forecast Accuracy Uncertainty and Momentum

• المؤلفون الرئيسيون: HAN, Bing, HONG, Dong, Warachka, Mitchell Craig
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: Forecast Accuracy; Uncertainty; Momentum; Bounded Rationality; Appearance of Behavioral Biases; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1558

We demonstrate that stock price momentum and earnings momentum can result from uncertainty surrounding the accuracy of cashflow forecasts. Our model has multiple information sources issuing cashflow forecasts for a stock. The investor combines these forecasts into an aggregate cashflow estimate that...