Please use this identifier to cite or link to this item:
|Title:||Do errors in expectations explain the cross-section of stock returns?||Authors:||Mian, G.M.
|Issue Date:||2004||Citation:||Mian, G.M.,Teo, T.G.L. (2004). Do errors in expectations explain the cross-section of stock returns?. Pacific Basin Finance Journal 12 (2) : 197-217. ScholarBank@NUS Repository. https://doi.org/10.1016/j.pacfin.2003.06.001||Abstract:||Value stocks have historically outperformed growth stocks in most of the major international markets. Many researchers attribute this phenomenon to overly optimistic (pessimistic) expectations of investors for growth (value) stocks. In this paper, we use professional analysts' earnings forecasts from Japan to test this errors-in-expectations hypothesis. We compare the magnitude of the forecast errors, the proportion of optimistic and pessimistic forecasts, and the likelihood of downward forecast revisions, across growth and value stocks. In contrast to the predictions of the hypothesis, we do not find any evidence that earnings forecasts are systematically more optimistic for growth than for value stocks. Our results also suggest that the alleged correlation between book-to-market value, a common measure of growth, and forecast errors is the result of a measurement bias in computing the magnitude of the latter variable. © 2003 Elsevier B.V. All rights reserved.||Source Title:||Pacific Basin Finance Journal||URI:||http://scholarbank.nus.edu.sg/handle/10635/44493||ISSN:||0927538X||DOI:||10.1016/j.pacfin.2003.06.001|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Apr 10, 2020
checked on Mar 31, 2020
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.