太田浩司のWorking Papersです。ほんまいつかPublishされるんかいな？？
ずっとWorking Paperやったりして。トホホ。ほんま世の中厳しいノー。
「わが国における予測情報研究の現状と今後の課題」
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太田浩司 Updated: 2007年11月 「ディスクロージャー研究学会第9回研究大会予稿集」に収録
Abstract: わが国のアナリスト予想と経営者予想に関する研究を、予測情報研究としてまとめたサーベイ論文です。
Koji Ota Updated: December 2006
Abstract: The effectively mandatory provision of management earnings forecasts (MEF) is an unique feature of Japan's financial disclosure system. The first objective of this study is to identify the determinants of systematic bias in MEF using a sample of nearly 25,000 one-year-ahead earnings forecasts announced by Japanese firms at the beginning of a fiscal year over the period 1979-1999. The examination of ex post management forecast errors shows that financial distress, firm growth, firm size, and prior forecast errors are all associated with bias in MEF. The second objective of this study is to investigate whether analysts are aware of these factors that are related to systematic bias in MEF. The examination of analysts' forecasts issued subsequent to the announcement of management forecasts reveals that analysts take these factors into consideration when they issue their own earnings forecasts. These findings indicate that analysts are well aware of the determinants of systematic bias in MEF and make correct adjustments that lead to the higher accuracy of analysts' forecasts than management forecasts.
太田浩司 Updated: 2006年12月
Abstract: 利益調整研究のフレームワークについて簡単にまとめました。利益調整研究って何という人は一読下さい。非常に短いので直ぐに読めます。
The
Usefulness of Management Forecast Information
Koji Ota Updated: February 2002
Abstract: This paper investigates the usefulness of management earnings forecasts from the perspective of their value-relevance, their impact on analysts’ forecasts, and their usefulness as an investment indicator. The value-relevance of management forecasts of earnings is investigated based on the Ohlson [2001] framework that expresses firm value as a function of the book value of equity, current earnings, and expected earnings. The results show that management forecasts of earnings are more value-relevant than book values and current earnings. When the value-relevance of analysts’ forecasts and management forecasts is compared, little difference is found between these two forecasts. Deviation of analysts’ forecasts from management forecasts is then examined. The results show more than 80% of analysts’ forecasts are identical to management forecasts. Further analysis suggests that the relatively high accuracy of management forecasts may explain their high value-relevance and their large impact on analysts’ forecasts. Finally, the predictive ability of P/E, P/B, and P/MF ratios with respect to future returns is examined. The P/MF ratio based strategy generates the highest abnormal returns. Thus, the findings of this paper indicate that management earnings forecasts provide the market and analysts with valuable information and are also useful as a predictor of future abnormal returns.
The Value-Relevance of Book Value, Current Earnings, and Management Forecasts of
Earnings
Koji Ota Updated: October 2001
Abstract: This paper investigates the value-relevance of book value, earnings, and management forecasts of earnings in Japan over the past twenty years. Although most value-relevance studies in the U.S. use return and price based models whose theoretical foundations are derived from the Ohlson (1995) linear information model, other information, ν, in the Ohlson’s model is ignored in both types of model. This research exploits the unique setting in Japan where managers simultaneously announce the most recently completed period’s earnings as well as forecasts of next period’s earnings. In this case, management forecasts are available for use as a proxy for ν. The results in this paper indicate that management forecasts of earnings (changes) have the highest correlation with stock price (returns) and the incremental explanatory power of current earnings (changes) almost disappears when management forecasts of earnings (changes) are included in the models. The market also appears to place more importance on management forecast information when firms are growing rapidly and when firms’ current earnings exceed the forecasts made at the beginning of the period.