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 2009
• الموضوعات: momentum; uncertainty; learning; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3001; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4000/viewcontent/HongW2009mnscForecastAccuracy_pub.pdf
• المؤسسة: 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...