Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings

27 Pages Posted: 18 Apr 2008

See all articles by Lawrence D. Brown

Lawrence D. Brown

Temple University - Department of Accounting

Robert Hagerman

SUNY at Buffalo - School of Management

Paul A. Griffin

University of California, Davis - Graduate School of Management; University of California, Davis

Mark Zmijewski

University of Chicago - Accounting

Abstract

Evidence is provided of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers. It is demonstrated that SA forecast superiority in the sample is attributable to: 1. better use of information that exists on the date that TS model forecasts can be initiated, a contemporaneous advantage, and 2. use of information acquired between the date of initiation of TS model forecasts and the date when SA forecasts are published, a timing advantage.

Suggested Citation

Brown, Lawrence D. and Hagerman, Robert and Griffin, Paul A. and Zmijewski, Mark, Security Analyst Superiority Relative to Univariate Time-Series Models in Forecasting Quarterly Earnings. Journal of Accounting & Economics (JAE), Vol. 9, No. 1, 1987. Available at SSRN: https://ssrn.com/abstract=1121425

Lawrence D. Brown (Contact Author)

Temple University - Department of Accounting ( email )

Philadelphia, PA 19122
United States

Robert Hagerman

SUNY at Buffalo - School of Management ( email )

Jacobs Management Center
Buffalo, NY 14260
United States

Paul A. Griffin

University of California, Davis - Graduate School of Management ( email )

3102 Gallahger Hall
Davis, CA 95616
United States
(530) 752-7372 (Phone)
(425) 799-4143 (Fax)

HOME PAGE: http://www.gsm.ucdavis.edu/griffin/

University of California, Davis ( email )

3102 Gallahger Hall
Davis, CA 95616
United States
(530) 752-7372 (Phone)
(425) 799-4143 (Fax)

HOME PAGE: http://www.gsm.ucdavis.edu/griffin/

Mark Zmijewski

University of Chicago - Accounting ( email )

1101 East 58th Street
Chicago, IL 60637-1561
United States

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