A note on analysts' earnings forecast errors distribution

Daniel A. Cohen, Thomas Z. Lys*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

17 Scopus citations

Abstract

Abarbanell and Lehavy provide evidence that analysts' forecast errors are not normally distributed exhibiting a high occurrence of extreme negative forecast errors (left-tail asymmetry) and a high occurrence of small positive forecast errors (middle asymmetry). This is important for researchers who rely on techniques that are sensitive to the distributional assumptions of analysts' forecast errors. Many of the conclusions drawn by Abarbanell and Lehavy, however, are based on visual impressions (as opposed to formal empirical tests) or based on methods that are very sensitive to the empirical methods used (e.g., whether the serial correlation of forecast errors is caused by the left-tail asymmetry).

Original languageEnglish (US)
Pages (from-to)147-164
Number of pages18
JournalJournal of Accounting and Economics
Volume36
Issue number1-3 SPEC. ISS.
DOIs
StatePublished - Dec 2003

Keywords

  • Analysts' bias
  • Analysts' forecasts
  • Analysts' loss function
  • Analysts' under/overreaction to information
  • Discretionary accruals

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'A note on analysts' earnings forecast errors distribution'. Together they form a unique fingerprint.

Cite this