Review of Quantitative Finance and Accounting

, Volume 31, Issue 2, pp 147–166 | Cite as

An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts

Original Research

Abstract

Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts, and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable (i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.

Keywords

Meet Beat Time-series earnings expectations Analysts' forecasts 

JEL Classification

M41 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • Nicholas Dopuch
    • 1
  • Chandra Seethamraju
    • 2
  • Weihong Xu
    • 3
  1. 1.Olin School of BusinessWashington UniversitySt. LouisUSA
  2. 2.Mellon Capital ManagementSan FranciscoUSA
  3. 3.354 Jacobs Management Center, Department of Accounting & LawState University of New York at BuffaloBuffaloUSA

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