Application to time-series model of stock returns and risk based on analysts' forecast

2012 Fiscal Year Final Research Report

• Project/Area Number: 23730305
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Public finance/Monetary economics
• Research Institution: Aoyama Gakuin University
• Principal Investigator: MORITA Mitsuru 青山学院大学, 大学院・国際マネジメント研究科, 准教授 (30453492)
• Project Period (FY): 2011 – 2012
• Keywords: アナリスト予想 / 業績予想 / イベントスタディ / 時系列モデル

Research Abstract

This research investigated the relationship between stock returns/risk and analysts' earnings forecast/rating/target price. First of all, we analyzed accuracy of earnings forecast and discrepancy of analysts' forecast and number of analysts' coverage. Moreover we investigated about the announcement effect of analysts' ratings by the event study approach. We have examined the effect of subjective expectations of investors on the realized return and applied the variation of target price to the time series model.