Forecast Accuracy Uncertainty and Momentum

• Main Authors: Han, Bing, HONG, Dong, WARACHKA, Mitchell Craig
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: momentum; uncertainty; learning; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3001; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4000/viewcontent/HongW2009mnscForecastAccuracy_pub.pdf
• Institution: Singapore Management University

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