Estimating private information usage amongst analysts: evidence from UK earnings forecasts
Article first published online: 9 JUN 2010
Copyright © 2010 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 30, Issue 8, pages 679–705, December 2011
How to Cite
Mira, S. and Taylor, N. (2011), Estimating private information usage amongst analysts: evidence from UK earnings forecasts. J. Forecast., 30: 679–705. doi: 10.1002/for.1189
- Issue published online: 22 NOV 2011
- Article first published online: 9 JUN 2010
- earnings forecasts;
- private information endowment;
- forecast accuracy
This paper introduces a methodology for estimating the likelihood of private information usage amongst earnings analysts. This is achieved by assuming that one group of analysts generate forecasts based on the underlying dynamics of earnings, while all other analysts are assumed to issue forecasts based on the prevailing consensus forecast. Given this behavioural dichotomy, we are able to derive (and estimate) a structural econometric model of forecast behaviour, which has implications regarding the determinants of analysts' private information endowments and forecast accuracy over the forecast horizon. Copyright © 2010 John Wiley & Sons, Ltd.