A Test of the Errors-in-Expectations Explanation of the Value/Glamour Stock Returns Performance: Evidence from Analysts' Forecasts

By John A. Doukas, Chansog Kim, Christos Pantzalis. 2002

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View Paper: https://www.semanticscholar.org/paper/8dd1d992a4be1d55530ef99f4e115809b64ee641

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Citations in the corpus

European Momentum Strategies, Information Diffusion, and Investor Conservatism (2005, unknown): “…– P1 0.0089 (3.34) 0.0112 (3.80) 0.0089 (3.03) 0.0083 (3.18) 0.0061 (2.29) 0.0081 (2.98) 0.0031 (1.09) Mean size 630 1800 1800 1600 630 Median size 120 200 360 390 200 Mean analyst 2.8 7.3 11.5 15.9 22.1 Median analyst 2.0 6.0 10.0 14.0 21.0 19 See, for instance, Doukas et al. (2002), among others.”
Stakeholder relations and stock returns: On errors in investors' expectations and learning (2013, background): “…demonstrated that these caveats can be addressed by sharper tests of expectational errors; see for example Chan, Jegadeesh and Lakonishok (1996), Sloan (1996), La Porta, Lakonishok, Shleifer, and Vishny (1997), Doukas, Kim, and Pantzalis (2002), Core et al. (2006), and Bebchuk et al. (forthcoming).”
Separating Winners from Losers among LowBook-to-Market Stocks using Financial Statement Analysis (2005, background): “However, Doukas et al. (2002) fail to document any support for the naı̈ve extrapolation hypothesis when they examine analyst forecasts.”
The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research (2008, unknown): “Doukas, Kim, and Pantzalis (2002) Archival, I/B/E/S, 1976-1997.”
Does the Stock Market Fully Appreciate the Implications of Leading Indicators for Future Earnings? Evidence from Order Backlog (2001, background): “2 Kaplan and Norton, 1996; Eccles et al., 2001) have called for a reporting framework that integrates traditional financial measures and leading indicators. Recently, national regulators such as the FASB (2001) and SEC (2001) and international regulators such as the Canadian Institute of Chartered A”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “However, Doukas et al. (2002) find that analysts are more optimistic about the earnings of value stocks than of growth stocks, thus shedding doubt on the notion that agents excessively extrapolate the earnings of growth stocks.”