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|a Forecast Accuracy Uncertainty and Momentum
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|a We demonstrate that stock price momentum and earnings momentum can result from uncertainty surrounding the accuracy of cashflow forecasts. Our model has multiple information sources issuing cashflow forecasts for a stock. The investor combines these forecasts into an aggregate cashflow estimate that has minimal mean-squared forecast error. This aggregate estimate weights each cashflow forecast by the estimated accuracy of its issuer, which is obtained from their past forecast errors. Momentum arises from the investor gradually learning about the relative accuracy of the information sources and updating their weights. Empirical tests validate the model's prediction of stronger momentum in stocks with large information weight fluctuations and high forecast dispersion. We also identify return predictability attributable to changes in the information weights
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Han, Bing |
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Hong, Dong, Warachka, Mitch |
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We demonstrate that stock price momentum and earnings momentum can result from uncertainty surrounding the accuracy of cashflow forecasts. Our model has multiple information sources issuing cashflow forecasts for a stock. The investor combines these forecasts into an aggregate cashflow estimate that has minimal mean-squared forecast error. This aggregate estimate weights each cashflow forecast by the estimated accuracy of its issuer, which is obtained from their past forecast errors. Momentum arises from the investor gradually learning about the relative accuracy of the information sources and updating their weights. Empirical tests validate the model's prediction of stronger momentum in stocks with large information weight fluctuations and high forecast dispersion. We also identify return predictability attributable to changes in the information weights |
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Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2007 erstellt |
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1\p Han, Bing (DE-588)171921283 (DE-627)384895921 (DE-576)132673738 aut, Forecast Accuracy Uncertainty and Momentum, [S.l.] SSRN [2013], 1 Online-Ressource (31 p), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, EFA 2006 Zurich Meetings, Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2007 erstellt, Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2 unrestricted online access, We demonstrate that stock price momentum and earnings momentum can result from uncertainty surrounding the accuracy of cashflow forecasts. Our model has multiple information sources issuing cashflow forecasts for a stock. The investor combines these forecasts into an aggregate cashflow estimate that has minimal mean-squared forecast error. This aggregate estimate weights each cashflow forecast by the estimated accuracy of its issuer, which is obtained from their past forecast errors. Momentum arises from the investor gradually learning about the relative accuracy of the information sources and updating their weights. Empirical tests validate the model's prediction of stronger momentum in stocks with large information weight fluctuations and high forecast dispersion. We also identify return predictability attributable to changes in the information weights, 2\p Hong, Dong (DE-588)138937176 (DE-627)606743243 (DE-576)309633893 oth, Warachka, Mitch oth, https://ssrn.com/abstract=903681 X:ELVSSRN Verlag kostenfrei, https://doi.org/10.2139/ssrn.903681 X:ELVSSRN Resolving-System kostenfrei, 1 cgwrk 20250301 DE-101 https://d-nb.info/provenance/plan#cgwrk, 2 cgwrk 20250301 DE-101 https://d-nb.info/provenance/plan#cgwrk, https://doi.org/10.2139/ssrn.903681 LFER, https://ssrn.com/abstract=903681 LFER, LFER epn:4036332406 2022-01-16T11:51:28Z |
| spellingShingle |
Han, Bing, Forecast Accuracy Uncertainty and Momentum, We demonstrate that stock price momentum and earnings momentum can result from uncertainty surrounding the accuracy of cashflow forecasts. Our model has multiple information sources issuing cashflow forecasts for a stock. The investor combines these forecasts into an aggregate cashflow estimate that has minimal mean-squared forecast error. This aggregate estimate weights each cashflow forecast by the estimated accuracy of its issuer, which is obtained from their past forecast errors. Momentum arises from the investor gradually learning about the relative accuracy of the information sources and updating their weights. Empirical tests validate the model's prediction of stronger momentum in stocks with large information weight fluctuations and high forecast dispersion. We also identify return predictability attributable to changes in the information weights |
| title |
Forecast Accuracy Uncertainty and Momentum |
| title_auth |
Forecast Accuracy Uncertainty and Momentum |
| title_full |
Forecast Accuracy Uncertainty and Momentum |
| title_fullStr |
Forecast Accuracy Uncertainty and Momentum |
| title_full_unstemmed |
Forecast Accuracy Uncertainty and Momentum |
| title_short |
Forecast Accuracy Uncertainty and Momentum |
| title_sort |
forecast accuracy uncertainty and momentum |
| title_unstemmed |
Forecast Accuracy Uncertainty and Momentum |
| url |
https://ssrn.com/abstract=903681, https://doi.org/10.2139/ssrn.903681 |
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AT hanbing forecastaccuracyuncertaintyandmomentum, AT hongdong forecastaccuracyuncertaintyandmomentum, AT warachkamitch forecastaccuracyuncertaintyandmomentum |
