A maximum likelihood estimator for information precision in the financial market

George Li

International Journal of Monetary Economics and Finance, 2015, vol. 8, issue 3, 318-329

Abstract: We present a continuous-time model of corporate earnings to study how to estimate the precision of information that investors receive from analyst earnings forecasts about firms' expected earnings growth rates in the real financial world. Based on the model, we develop a maximum likelihood estimator, which is then applied to estimate information precision about the expected earnings growth rate for the S%P 500 index.

Keywords: information precision; maximum likelihood estimation; MLE; financial markets; continuous time modelling; corporate earnings; earnings forecasting; expected earnings; earnings growth rates; S%P 500. (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:8:y:2015:i:3:p:318-329

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