Work

Earnings Estimates, Predictor Specification, and Measurement Error

Year: 1997

Type: article

Abstract: Increased use of expectational data for modeling stock returns places a spotlight on the specification of predictor variables. Choices between alternative specifications of a given predictor such as E/P or earnings trend, for example, can have wide-ranging effects on portfolio selection and quantitative modeling. Investigation here indicates that the importance of predictor specification may vary depending upon the predictor and the investment strategy, and that the relationship between predictors and returns may vary across types of stocks.

Source: The Journal of Investing

DOI: 10.3905/joi.1997.408414

Authors: Bruce I. Jacobs, Kenneth N. Levy, Mitchell C. Krask

Institutions: Jacobs Levy Equity Management, Columbia University, Cornell University, University of Pittsburgh, University of Illinois Chicago

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2148332195

FWCI:

Cites: 11

Cited by: 2

Related to: 10