Bundled Forecasts in Empirical Accounting Research
69 Pages Posted: 17 May 2006 Last revised: 20 Jun 2012
Date Written: June 13, 2011
This paper examines “bundled” forecasts, or management earnings forecasts issued concurrently with earnings announcements, which have evolved to become the most common type of management forecast. We describe the econometric problems associated with measuring bundled forecast news and, in particular, provide evidence that the measurement error in the traditional calculation of forecast news is material and is systematically associated with variables frequently studied in forecast-related research. We illustrate an application of conditional expectations to overcome these problems. Finally, we offer guidance and caveats to researchers considering the use of this method in the future.
Keywords: Management Forecasts, conference calls, Regulation FD, earnings announcements
JEL Classification: M41, M45, D82, G14
Suggested Citation: Suggested Citation