Publication

Analysts' earnings forecasts and international asset allocation

Huijgen, C. & Plantinga, A., 1999, s.n., 16 p.

Research output: Working paperAcademic

APA

Huijgen, C., & Plantinga, A. (1999). Analysts' earnings forecasts and international asset allocation. s.n.

Author

Huijgen, Carel ; Plantinga, Auke. / Analysts' earnings forecasts and international asset allocation. s.n., 1999.

Harvard

Huijgen, C & Plantinga, A 1999 'Analysts' earnings forecasts and international asset allocation' s.n.

Standard

Analysts' earnings forecasts and international asset allocation. / Huijgen, Carel; Plantinga, Auke.

s.n., 1999.

Research output: Working paperAcademic

Vancouver

Huijgen C, Plantinga A. Analysts' earnings forecasts and international asset allocation. s.n. 1999.


BibTeX

@techreport{1a417bd0498644ebb24e4a3031494587,
title = "Analysts' earnings forecasts and international asset allocation",
abstract = "The aim of this paper is to investigate whether financial analysts’ earnings forecasts are informative from the viewpoint of allocating investments across different stock markets. Therefore we develop a country forecast indicator reflecting the analysts’ prospects for specific stock markets. The country forecast indicator is defined as the number of companies within one and the same stock market for which analysts revise their current year earnings forecast upward divided by the total number of companies for which analysts revise their current year earnings forecasts anyway. Based on the available analysts’ earnings forecasts in the Institutional Brokers Estimate System (I/E/B/S), we calculate a monthly country forecast indicator for the stock markets in Germany, France, Italy, The Netherlands, United Kingdom, and Switzerland over the period 1990 to 1994. The time-series correlations between the monthly value of the indicator and the stock market returns around the date of calculating the indicator show that stock returns rather precede than follow revisions in earnings forecasts. An investment strategy which is based on a monthly asset allocation to that stock market with the highest value of the country forecast indicator in the preceding month, gives a slight outperformance (around 3 percent excess return) compared to an equal allocation of funds to the stock markets involved.",
keywords = "Prognoses, Beleggingen, 85.33;",
author = "Carel Huijgen and Auke Plantinga",
note = "Relation: http://som.rug.nl/ date_submitted:1999 Rights: Graduate School/Research Institute, Systems, Organisations and Management (SOM)",
year = "1999",
language = "English",
publisher = "s.n.",
type = "WorkingPaper",
institution = "s.n.",

}

RIS

TY - UNPB

T1 - Analysts' earnings forecasts and international asset allocation

AU - Huijgen, Carel

AU - Plantinga, Auke

N1 - Relation: http://som.rug.nl/ date_submitted:1999 Rights: Graduate School/Research Institute, Systems, Organisations and Management (SOM)

PY - 1999

Y1 - 1999

N2 - The aim of this paper is to investigate whether financial analysts’ earnings forecasts are informative from the viewpoint of allocating investments across different stock markets. Therefore we develop a country forecast indicator reflecting the analysts’ prospects for specific stock markets. The country forecast indicator is defined as the number of companies within one and the same stock market for which analysts revise their current year earnings forecast upward divided by the total number of companies for which analysts revise their current year earnings forecasts anyway. Based on the available analysts’ earnings forecasts in the Institutional Brokers Estimate System (I/E/B/S), we calculate a monthly country forecast indicator for the stock markets in Germany, France, Italy, The Netherlands, United Kingdom, and Switzerland over the period 1990 to 1994. The time-series correlations between the monthly value of the indicator and the stock market returns around the date of calculating the indicator show that stock returns rather precede than follow revisions in earnings forecasts. An investment strategy which is based on a monthly asset allocation to that stock market with the highest value of the country forecast indicator in the preceding month, gives a slight outperformance (around 3 percent excess return) compared to an equal allocation of funds to the stock markets involved.

AB - The aim of this paper is to investigate whether financial analysts’ earnings forecasts are informative from the viewpoint of allocating investments across different stock markets. Therefore we develop a country forecast indicator reflecting the analysts’ prospects for specific stock markets. The country forecast indicator is defined as the number of companies within one and the same stock market for which analysts revise their current year earnings forecast upward divided by the total number of companies for which analysts revise their current year earnings forecasts anyway. Based on the available analysts’ earnings forecasts in the Institutional Brokers Estimate System (I/E/B/S), we calculate a monthly country forecast indicator for the stock markets in Germany, France, Italy, The Netherlands, United Kingdom, and Switzerland over the period 1990 to 1994. The time-series correlations between the monthly value of the indicator and the stock market returns around the date of calculating the indicator show that stock returns rather precede than follow revisions in earnings forecasts. An investment strategy which is based on a monthly asset allocation to that stock market with the highest value of the country forecast indicator in the preceding month, gives a slight outperformance (around 3 percent excess return) compared to an equal allocation of funds to the stock markets involved.

KW - Prognoses

KW - Beleggingen

KW - 85.33;

M3 - Working paper

BT - Analysts' earnings forecasts and international asset allocation

PB - s.n.

ER -

ID: 3176600