Abstract

http://ssrn.com/abstract=471322
 
 

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A Note on Analysts' Earnings Forecast Errors Distribution


Daniel A. Cohen


University of Texas at Dallas - Naveen Jindal School of Management

Thomas Z. Lys


Northwestern University - Kellogg School of Management

November 20, 2003

JAE Boston Conference October 2002

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).

Number of Pages in PDF File: 31

Keywords: Analysts' forecasts, analysts' bias, analysts' under/overreaction to information, analysts' loss function, discretionary accruals.

JEL Classification: G10, G29, M41, M43

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Date posted: November 21, 2003  

Suggested Citation

Cohen, Daniel A. and Lys, Thomas Z., A Note on Analysts' Earnings Forecast Errors Distribution (November 20, 2003). JAE Boston Conference October 2002. Available at SSRN: http://ssrn.com/abstract=471322 or http://dx.doi.org/10.2139/ssrn.471322

Contact Information

Daniel A. Cohen
University of Texas at Dallas - Naveen Jindal School of Management ( email )
P.O. Box 830688
Richardson, TX 75083-0688
United States
972-883-4772 (Phone)
972-883-6811 (Fax)
Thomas Z. Lys (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Department of Accounting & Information Systems
Evanston, IL 60208
United States
847-491-2673 (Phone)
847-467-1202 (Fax)
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