Earnings Forecasting Research: Its Implications for Capital Markets Research

26 Pages Posted: 14 Apr 2008

See all articles by Lawrence D. Brown

Lawrence D. Brown

Temple University - Department of Accounting


Since the early 198Os, earnings forecasting research has become much more closely aligned with capital markets research. Capital markets research requires a proxy for the (unobservable) market earnings expectation and earnings forecasting research has provided such proxy measures. Questions considered in this paper include: (1) if annual earnings follow a random walk or an IMA (1, 1) model, does this mean that earnings changes cannot be predicted? (2) Do stock prices act as if quarterly earnings follow a seasonal random walk with drift process? (3) Is the predictive mode1 which is best on the forecast accuracy dimension also best on the market association dimension? (4) How do analysts formulate their earnings expectations? (5) What is the role of earnings forecasting in `earnings response coefficient' and `post-earnings announcement drift' studies? (6) What is the likely role of earnings forecasting research in future capital market studies?

Keywords: Earnings forecasting; Forecast accuracy; Market association; Post-earnings announcement drift; Future research

Suggested Citation

Brown, Lawrence D., Earnings Forecasting Research: Its Implications for Capital Markets Research. International Journal of Forecasting, Vol. 9, No. 3, 1993. Available at SSRN: https://ssrn.com/abstract=1118975

Lawrence D. Brown (Contact Author)

Temple University - Department of Accounting ( email )

Philadelphia, PA 19122
United States

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics