分析师在横截面上的推断预期

IF 3.3 Q1 BUSINESS, FINANCE

JOURNAL OF ECONOMICS AND BUSINESS Pub Date : 2024-05-01 DOI:10.1016/j.jeconbus.2024.106174

Andreas Oesinghaus

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引用次数: 0

摘要

本文研究了公司横截面中分析师预期的外推模式。利用分析师的目标价格，我估算了分析师在形成价格预期时对近期与远期已实现回报的相对权重，即外推法的权重程度。结果显示，在总体样本和公司层面，外推程度都相当高。结果表明，外推的横截面差异相当大，估值难度对外推加权程度有积极影响。此外，我还构建了外推加权程度的时间序列，并认为估值难度也能解释其时间序列的变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Analysts’ extrapolative expectations in the cross-section

This paper examines extrapolative patterns of analysts’ expectations in the cross-section of firms. Using analysts’ target prices, I estimate the degree of extrapolative weighting capturing the relative weight analysts place on recent versus distant realized returns when forming their price expectation. I show considerable levels of extrapolation in the overall sample and on firm level. Results suggest considerable cross-sectional variation of extrapolation with valuation difficulty having a positive impact on the degree of extrapolative weighting. Furthermore, I construct a time-series of the degree of extrapolative weighting and argue that its time-series variation is also explained by valuation difficulty.

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来源期刊

JOURNAL OF ECONOMICS AND BUSINESS BUSINESS, FINANCE-

CiteScore

6.20

自引率

2.60%

发文量

期刊介绍： Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.