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Table 2.6 Alternate samples

From: Experience, Information Asymmetry, and Rational Forecast Bias

Dependent variable = DFC (deviation from consensus)

 

Without revisions

With only one analyst

Random effects

I/B/E/S data

 

1

2

3

4

5

6

7

8

9

10

11

12

Experience

0.817***

  

2.822***

  

2.158***

  

1.396***

  
 

[0.141]

  

[0.669]

  

[0.155]

  

[0.117]

  

Experience2

−0.127***

  

−0.595***

  

−0.475***

  

−0.089**

  
 

[0.042]

  

[0.186]

  

[0.039]

  

[0.036]

  

Relative Experience

 

1.990***

  

0.157

  

0.749***

  

1.938***

 
  

[0.267]

  

[1.266]

  

[0.267]

  

[0.191]

 

Relative Experience2

 

−0.829***

  

−0.365

  

−0.351***

  

−0.658***

 
  

[0.123]

  

[0.563]

  

[0.120]

  

[0.077]

 

Forecast dispersion

  

0.259***

  

0.616***

  

0.629***

  

0.718***

   

[0.005]

  

[0.157]

  

[0.004]

  

[0.003]

Same quarter

−2.479***

−2.564***

−2.860***

−1.716***

−2.455***

−5.852

−2.008***

−2.357***

−3.189***

−1.751***

−2.044***

−2.494***

 

[0.099]

[0.097]

[0.096]

[0.515]

[0.492]

[3.657]

[0.110]

[0.107]

[0.104]

[0.090]

[0.085]

[0.077]

NumRevisions

   

1.598***

1.721***

−0.053

1.186***

1.226***

0.773***

1.076***

1.141***

0.700***

    

[0.089]

[0.088]

[0.899]

[0.016]

[0.016]

[0.015]

[0.016]

[0.015]

[0.014]

Reg. FD

−4.923***

−5.004***

−4.349***

−4.747***

−5.084***

46.26

−2.223***

−2.412***

−2.560***

−3.243***

−3.490***

−3.268***

 

[0.366]

[0.366]

[0.368]

[0.948]

[0.948]

[110.413]

[0.228]

[0.228]

[0.222]

[0.187]

[0.187]

[0.170]

Broker reputation

−0.172

−0.183*

−0.275**

−0.106

−0.052

60.993

−0.368***

−0.400***

−0.520***

   
 

[0.110]

[0.110]

[0.110]

[0.430]

[0.431]

[65.397]

[0.088]

[0.090]

[0.086]

   

Broker size

−1.025***

−1.032***

−1.006***

−0.095

0.132

7.038

−0.514***

−0.404***

−0.347***

   
 

[0.142]

[0.141]

[0.143]

[0.458]

[0.457]

[21.599]

[0.125]

[0.127]

[0.123]

   

Accruals

0.001

−0.01

0.140***

−3.317***

−3.306***

92.249

−0.171***

−0.160***

0.413***

−0.464***

−0.498***

0.244***

 

[0.048]

[0.047]

[0.045]

[0.593]

[0.593]

[212.638]

[0.037]

[0.037]

[0.036]

[0.030]

[0.030]

[0.027]

Intangible assets

0.153

0.121

0.870***

−0.38

−0.419

−3.35

1.216***

1.268***

4.191***

0.881***

0.861***

2.196***

 

[0.263]

[0.263]

[0.260]

[0.980]

[0.981]

[25.114]

[0.232]

[0.231]

[0.227]

[0.209]

[0.210]

[0.191]

Return std. dev.

10.012***

9.187***

2.975***

10.716***

9.805***

0.384

18.238***

17.662***

5.043***

19.153***

17.969***

−1.710***

 

[0.666]

[0.657]

[0.664]

[2.079]

[2.063]

[35.868]

[0.579]

[0.570]

[0.568]

[0.473]

[0.472]

[0.436]

Constant

10.593***

11.004***

9.734***

8.532

10.407*

57.535

3.465***

4.612***

2.021*

−2.682***

−0.828

2.010***

 

[1.409]

[1.405]

[1.392]

[5.760]

[5.770]

[165.519]

[1.258]

[1.267]

[1.219]

[0.693]

[0.694]

[0.619]

Firm FE

Yes

Yes

Yes

Yes

Yes

Yes

No

No

No

Yes

Yes

Yes

Industry FE

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Time FE

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Yes

Observations

66,550

66,550

62,014

13,181

13,181

146

266,708

266,708

253,673

295,717

295,717

295,717

# Brokerage houses†

130

130

130

119

119

22

130

130

130

7708

7708

7708

Model R2

0.03

0.03

0.07

0.06

0.06

0.24

0.06

0.06

0.16

0.07

0.07

0.23

  1. Analyst information comes from First Call (except in Specifications (10)–(12)). Company information comes from Compustat/CRSP. Experience is the natural log of the number of quarters the analyst has followed the firm for which forecast error is calculated. Relative experience is the analyst experience scaled by the average analyst experience (same industry). Same quarter is a dummy variable equal to one if the estimate is in the same quarter as the actual and zero otherwise. Same quarter is orthogonalized (on NumRevisions) to ensure that multicollinearity is not a problem between these two variables. Forecast dispersion is the standard deviation of estimates. X is a vector of firm-specific variables including Broker reputation, Broker size, Accruals, Intang. assets, and Return std dev. Brokerage reputation is a ranking of brokerage reputation, where 0 is the worst and nine is the best. Brokerage size is the natural log of the number of companies per quarter a brokerage house follows. Brokerage reputation is orthogonalized (on brokerage size) to ensure that multicollinearity is not a problem between these two variables. Accruals are the accrued revenue/liabilities utilized for earnings smoothing. Intang. assets are the covered firm’s intangible assets value relative to its total assets. Return standard deviation is the standard deviation of the covered firm’s return. I is a vector of one-digit SIC industry dummies. T is a vector of time dummies. Specifications (1)–(3) include only original estimates (i.e., no revisions). Specifications (4)–(6) include only firms with one analyst following the firm. Specifications (7)–(9) use random effects. Specifications (10)–(12) use I/B/E/S data. A formal fixed effects treatment around analysts is employed unless otherwise noted. Standard errors are reported in brackets.
  2. *, **, and *** indicate significance levels of 10 %, 5 %, and 1 %, respectively
  3. †In sample derived from I/B/E/S data, this is actually the number of analysts
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