28Mar
金山大学商学院研讨会日程, 研讨会
“Robust Measures of Earnings Surprises” by Prof. Jianqing Fan
28 Mar 2019 | 3:00pm - 4:30pm
KK 1301, K.K. Leung Bldg
Joint Seminar hosted by Finance, and Innovation and Information Management
Speaker:
Professor Jianqing Fan
Professor of Statistics
Frederick L. Moore Professor of Finance
Princeton University
Professor of Statistics
Frederick L. Moore Professor of Finance
Princeton University
Abstract:
Event studies of market efficiency measure an earnings surprise with the consensus error (CE), defined as earnings minus the average of professional forecasts. If a subset of forecasts can be biased, the ideal but difficult to estimate parameter-dependent alternative to CE is a nonlinear filter of individual errors that adjusts for bias. We show that CE is a poor parameter-free approximation for this ideal measure. The fraction of misses on the same side FOM, by discarding the magnitude of misses, offers a far better approximation. FOM performs particularly well against CE in predicting the returns of US stocks, where bias is potentially large, than that of international stocks.