Are Whisper Forecasts More Informative than Consensus Analysts’ Forecasts?

Erik Devos and Yiuman Tse
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Yiuman Tse: Department of Finance, College of BusinessUniversity of Texas at San Antonio, 501West Durango Blvd., San Antonio, Texas 78207, USA

Chapter 6 in Advances in Quantitative Analysis of Finance and Accounting, 2007, pp 113-140 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this paper, we compare whisper forecasts with consensus forecasts of quarterly earnings. Analysts’ private whisper forecasts are optimistic, whereas their public consensus forecasts are pessimistic. We find that whispers are more accurate for high-tech and high-growth firms. The introduction of Regulation FD does not alter these findings. In a multivariate setting, we find that the whisper and consensus forecast errors are related to the abnormal returns around the earnings announcement, suggesting that whisper and consensus forecasts are value-relevant.

Keywords: Monte Carlo Simulations; REIT; IPO; Fractional Integration; Seasonality; Long Memory; Macroeconomic Shocks; VAR; Interest Rates (search for similar items in EconPapers)
Date: 2007
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