DATA |
Defasagem da previsão |
O aumento na defasagem da previsão diminui a superioridade dos analistas. |
Brown, Hagerman et al. (1987)Brown, L. D., Hagerman, R. L., Griffin, P. A., & Zmijewski, M. E. (1987). An evaluation of alternative proxies for the market's assessment of unexpected earnings. Journal of Accounting and Economics, 9(2), 159-193., Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968., Lacina et al. (2011)Lacina, M., Lee, B. B., & Xu, R. Z. (2011). An evaluation of financial analysts and naïve methods in forecasting long-term earnings. In K. D Lawrence & R. K. Klimberg (Eds.), Advances in business and management forecasting (pp. 77-101). Bingley, UK: Emerald., Lorek e Pagach (2014)Lorek, S. K., & Pagach, D. P. (2014). Analysts versus time-series forecasts of quarterly earnings: A maintained hypothesis revisited. Recuperado de https://ssrn.com/abstract=2406013 https://ssrn.com/abstract=2406013...
e Ball e Ghysels (2017)Ball, R., & Ghysels, E. (2017). Automated earnings forecasts: Beat analysts or combine and conquer? Management Science, 64(10). doi:10.1287/mnsc.2017.2864 https://doi.org/10.1287/mnsc.2017.2864...
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ANALISTA |
Quantidade de analistas |
Um número mais baixo de analistas diminui a superioridade dos analistas. |
Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968. e Lacina et al. (2011)Lacina, M., Lee, B. B., & Xu, R. Z. (2011). An evaluation of financial analysts and naïve methods in forecasting long-term earnings. In K. D Lawrence & R. K. Klimberg (Eds.), Advances in business and management forecasting (pp. 77-101). Bingley, UK: Emerald.. |
DPROE |
Desvio padrão ROE, retorno sobre o patrimônio líquido dos últimos três anos |
A superioridade dos analistas é mais baixa para resultados mais voláteis. |
Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968., Branson, Lorek e Pagach (1995)Branson, B. C., Lorek, K. S., & Pagach, D. P. (1995). Evidence on the supe riority of analysts' quarterly earnings forecasts for small capitalization firms. Decision Sciences, 26(2), 243-263., Kross, Ro e Schroeder (1990)Kross, W., Ro, B., & Schroeder, D. (1990). The analysts' information advantage. The Accounting Review, 65(2), 461-476. e Lacina et al. (2011)Lacina, M., Lee, B. B., & Xu, R. Z. (2011). An evaluation of financial analysts and naïve methods in forecasting long-term earnings. In K. D Lawrence & R. K. Klimberg (Eds.), Advances in business and management forecasting (pp. 77-101). Bingley, UK: Emerald.. |
DPPREV |
Desvio padrão das estimativas pelos analistas |
A maior dispersão nas estimativas dos analistas está relacionada a menos superioridade dos analistas de mercado. |
Ball e Ghysels (2017)Ball, R., & Ghysels, E. (2017). Automated earnings forecasts: Beat analysts or combine and conquer? Management Science, 64(10). doi:10.1287/mnsc.2017.2864 https://doi.org/10.1287/mnsc.2017.2864...
e Brown et al. (1987)Brown, L. D., Hagerman, R. L., Griffin, P. A., & Zmijewski, M. E. (1987). An evaluation of alternative proxies for the market's assessment of unexpected earnings. Journal of Accounting and Economics, 9(2), 159-193.. |
TEMPOE |
Tempo da empresa no mercado de capitais |
Empresas com mais tempo no mercado tendem a apresentar maior superioridade dos analistas. |
Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968., Martinez (2004)Martinez, A. L. (2004). Analisando os analistas: Estudo empírico das projeções de lucros e das recomendações dos analistas de mercado de capitais para as empresas brasileiras de capital aberto (Tese de doutorado, Fundação Getúlio Vargas, São Paulo, Brasil). e Mikhail, Walther e Willis (1997)Mikhail, M., Walthier, B., & Willis, R. (1997). Do security analysts improve their performance with experience? Journal of Accounting Research, 35, 131-157.. |
IBRX100 |
Empresa listadas no portfólio teórico de IBRX100 |
Empresas que não pertencem a índices de mercado apresentam menor superioridade dos analistas. |
Kross et al. (1990)Kross, W., Ro, B., & Schroeder, D. (1990). The analysts' information advantage. The Accounting Review, 65(2), 461-476.. |
TAMANHO |
Logaritmo natural do ativo da empresa |
A superioridade dos analistas é mais baixa para empresas pequenas. |
Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968., Branson et al. (1995)Branson, B. C., Lorek, K. S., & Pagach, D. P. (1995). Evidence on the supe riority of analysts' quarterly earnings forecasts for small capitalization firms. Decision Sciences, 26(2), 243-263. e Brown et al. (1987)Brown, L. D., Hagerman, R. L., Griffin, P. A., & Zmijewski, M. E. (1987). An evaluation of alternative proxies for the market's assessment of unexpected earnings. Journal of Accounting and Economics, 9(2), 159-193.. |
POSITIVO |
Empresas com resultados positivos |
A superioridade dos analistas é mais baixa para empresas com resultados negativos. |
Bradshaw et al. (2012)Bradshaw, M. T., Drake, M. S., Myers, J. N., & Myers, L. A. (2012). A re-examination of analysts' superiority over time-series forecasts of annual earnings. Review of Accounting Studies, 17(1), 944-968. e Lorek e Pagach (2014)Lorek, S. K., & Pagach, D. P. (2014). Analysts versus time-series forecasts of quarterly earnings: A maintained hypothesis revisited. Recuperado de https://ssrn.com/abstract=2406013 https://ssrn.com/abstract=2406013...
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