Can analysts assess fundamental risk and valuation uncertainty? An empirical analysis of scenario-based value estimates

• 成果类型: Article
• 署名作者: Joos, Peter; Piotroski, Joseph D.; Srinivasan, Suraj
• 署名单位: INSEAD Business School; Stanford University; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.05.003
• 发表日期: 2016
• 页码: 645-663
• 关键词: Analysts; Fundamental risk assessment; Scenario-based valuations; Target prices

摘要

We use a data set of sell-side analysts' scenario-based equity valuation estimates to examine whether analysts can assess the state-contingent risk surrounding a firm's fundamental value. We find that the spread in analysts' scenario-based valuations captures the riskiness of operations and predicts the absolute magnitude of long-run valuation errors and future changes in firm fundamentals. We also show that analysts' assessment of fundamental risk and its predictive ability systematically improved after the financial crisis, consistent with the macroeconomic shock raising analysts' awareness of firms' systematic risk exposures. (C) 2016 Elsevier B.V. All rights reserved.