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| Tekijä: | Louth, R.J. (et al.) |
| Otsikko: | Understanding analysts forecasts |
| Lehti: | European Journal of Finance
2010 : JAN/FEB, VOL. 16:1-2, p. 97-118 |
| Asiasana: | financial analysis reporting prices forecasting scenarios diffusion risk management |
| Vapaa asiasana: | modelling |
| Kieli: | eng |
| Tiivistelmä: | This paper aims to model analysts' forecasts, focusing on predicting and describing the impact of jump events. Actually, the analysts' role is one of scenario prediction. Using a Bayesian-inspired generalized method of moments estimation procedure, this notion of scenario prediction is used combined with the structure of the Morgan Stanley analysts' forecasting database to model normal (base), optimistic (bull) and pessimistic (bear) forecast scenarios for a set of reports from Asia (excl. Japan) from 2007 to 2008. Since the estimation procedure is unique to this paper, there is also provided a rigorous derivation of the asymptotic properties of the resulting estimator. |
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