Business Commons^™

Aggregate Analyst Forecast Errors, Price Delay, And Business Cycle, Ping-Wen Sun

LSU Doctoral Dissertations

This dissertation consists of two essays. The first essay, “Stock market liquidity, aggregate analyst forecast errors, and the economy,” is motivated by Næs, Skjeltorp, and Ødegaard (2011), who suggest that stock market liquidity is a good leading indicator of the economy. To further understand the mechanism in the economic forecastability of stock market liquidity, we hypothesize that analyst earnings forecast errors have a systematic component, which is predictable and related to changes in the economy, and that smart investors exploit analyst forecast errors, which leads to the economic forecastability of stock market liquidity. Consistent with our hypothesis, we find that …