An examination of the statistical significance and economic relevance of profitability and earnings forecasts from models and analysts

• Main Authors: EVANS, Mark E., NJOROGE, Kenneth, OW YONG, Keng Kevin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: Earnings Forecasts; Financial Statement Analysis; Security Analysts; Accounting
• Online Access: https://ink.library.smu.edu.sg/soa_research_all/4; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1003&context=soa_research_all
• Institution: Singapore Management University

In this paper, we propose and empirically test a cross-sectional profitability forecasting model which incorporates two major improvements relative to extant models. First, in terms of model construction, we incorporate mean reversion through the use of a two-stage partial adjustment model and inclu...