Earning Forecast Error in US and European Stock Markets

Michele Bagella, Leonardo Becchetti and Rocco Ciciretti

The European Journal of Finance, 2007, vol. 13, issue 2, 105-122

Abstract: The paper investigates the dynamics and determinants of the earning forecast bias in two (US and Eurozone) stock samples matched by size and industry affiliation. Evidence is found that the European bias is significantly higher in absolute terms, irrespective of the year and the distance from the release date, with the exception of the 1997-2000 period in which US stocks are more optimistically valued. Cross-market differences persist when they are regressed, in a panel GMM estimate, on various controls such as the number of individual forecasts and their standard deviation for any considered stock, with the latter being significantly lower in the US market. Finally, it is observed that a convergence process is at work in both markets, with the bias becoming progressively lower as the release date gets closer.

Keywords: Earnings forecast bias; comparative financial systems; corporate governance (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470600762507 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:13:y:2007:i:2:p:105-122

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/13518470600762507

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().