Influencia de la empresa en los errores de predicción de los analistas financierosun estudio meta-analítico
- García Meca, Emma
- Sánchez Ballesta, Juan Pedro
ISSN: 0210-2412
Año de publicación: 2005
Número: 127
Páginas: 823-848
Tipo: Artículo
Otras publicaciones en: Revista española de financiación y contabilidad
Resumen
Dado el papel que juegan los analistas financieros en los mercados de capitales, es importante el conocimiento de los principales factores que influyen en los errores cometidos por éstos al emitir sus pronósticos de beneficios. Desde el rigor y objetividad de la técnica del meta-análisis, se han integrado cuantitativamente los resultados obtenidos en la literatura previa acerca de la asociación entre los errores de predicción de los analistas y la empresa objeto de valoración. Los resultados ponen de manifiesto que el tamaño, cobertura de analistas, calidad divulgativa, diversificación, volatilidad y cambio en beneficios de la empresa ejercen una influencia significativa sobre el error cometido por el analista en la emisión de sus pronósticos. Sin embargo, existe una fuerte evidencia de la existencia de efectos moderadores en estas asociaciones, pudiéndose afirmar que las medidas de error y variables independientes, el periodo temporal del estudio y los países incluidos en la muestra motivan la variabilidad en los hallazgos de los distintos estudios.
Referencias bibliográficas
- ADREM, A. H. [1999]: «Essays on disclosure practices in Sweden-Causes and Effects», Lund Studies in Economics and Management, 51, The Institute of Economic Research, Lund University Press, Sweden.
- AHMED, K., y COURTIS, J. K. [1999]: «Association between corporate characteristic and disclosure levels in annual reports: a meta-analysis», British Accounting Review, Vol. 31.
- ALBRETCH, S.; LOOKABEX, L., y McKEOWN [1977]: «The time series properties of annual earnings», Journal of Accounting Research, autumn, pp. 736-740.
- ALLEN, F., y FAULHABER, G. [1989]: «Signalling by underpricing in the IPO market», Journal of Financial Economics, Vol. 23, pp. 303-323.
- ANG, J. S., y CICCONE, S. J. [2002]: «International differences in analyst forecasts properties», Working Paper, Florida State University.
- ARNOLD, J.; MOEER, P., y NOREEN, E. [1984]: «Investments appraisal methods of financial analysts: a comparative study of US and UK practices», International Journal of Accounting, Vol. 19, n.° 2, pp. 1-18.
- ASHBAUGH, H., y PINCUS, M. [2001]: «Domestic accounting standards, international accounting standards, and the predictability of earnings», Journal of Accounting Research, n.° 39, pp. 417-434.
- BASU, S.; LEESEOK, H., y CHJNG-IJH, J. [1998]: «International variations in accounting measurement rules and analysts earnings forecasts errors», Journal of Business, Finance and Accounting, Vol. 25, n.° 9-10, pp. 1207-1246.
- BOLUGER, G. [2001]: «The characteristics of individual analysts' forecasts in Europe», Working Paper, University of Neuchatel and FAME.
- BOTELLA, J., y GAMBARA, H. [2002]: ¿Qué es el meta-análisis?, Biblioteca Nueva, Madrid.
- BOUWMAN, M.; FRISHKOFF, R, y FRISHKOFF, P. [1987]: «How do financial analysts make decisions? A process model of the investment screening decision», Accounting, Organization and Society, Vol. 12, n.01, pp. 1-29.
- BOWEN, R. M.; DAVIS, A. K., y MATSUMOTO, D. A [2002]: «Do conference calls affect analysts' forecasts?», The Accounting Review, Vol. 77, n.° 2, pp. 285-316.
- BROWN, L. [1993].- «Earnings forecasting research: its implications for capital market research», International Journal of Forecasting, Vol. 9, pp. 295-320.
- - [1997]: «Analyst forecasting errors: additional evidence», Financial Analysts Journal, NovemberDecember, pp. 8188.
- - [2001]: «A temporal analysis of earnings surprises: profit versus losses», Journal of Accounting Research, Vol. 39, September, pp. 221-241.
- BROWN, P.; FOSTER, G., y NOREEN, E. [1985]: Security Analysts Multi-year Earnings forecasts and the capital market, Sarasota, FL: American Accounting Association.
- BROWN, L.; RICHARDSON, G., y SCHWAGER, S. [1987]: «An information interpretation of financial analyst superiority», Journal of Accounting Research, spring, pp. 49-67.
- BUSHAN, R. [1989]: «Firm characteristics and analysts following», Journal of Accounting andEconomics, Vol. 13, n.° 2, pp. 255-274.
- BOTTLER, K. C., y LANG, L. H. [1991]: «The forecast accuracy of individual analysts: evidence of systematic optimism and pessimism», Journal of Accounting Research, Vol. 29, pp. 150-156.
- CAMISÓN ZORNOZA, C. [2001]: «La investigación sobre la pyme y su competitividad. Balance de la cuestión desde las perspectivas narrativa y meta-analítica», Papeles de Economía Española, 89/90, pp. 43-86.
- CAPSTAFF, J.; PAUDYAL, K., y REES, W. [1995]: «The accuracy and rationality of earnings forecasts by UK analysts», Journal of Business, Finance and Accounting, Vol. 22, n.°1, pp. 67-85.
- - [1997]: «A comparative analysis of earning forecasts in Europe», Working Paper, University of Glasgow.
- - [1999]: «The relative forecast accuracy of UK brokers», Accounting and Business Research, Vol. 30, n.°1, pp. 3-16.
- CHANG, J. J.; KHANNA, T., y PALEPU, K. [2000]: «Analyst activity around the world», Strategy Working Paper Series, n.° 01-061, Harvard Business School.
- CHENG, T., y FIRTH, M. [2000]: «An empirical analysis of the bias and rationality of profit forecasts published in new issue prospectuses», Journal of Business, Financial and Accounting, Vol. 27, n.0 3&4, pp. 423-447.
- CHO, J. Y. [1994]: «Properties of market expectations of accounting earnings by financial analysts: UK versus US», Accounting and Business Research, Vol. 24, pp. 230-240.
- CHUNG, H., y KIM, J. B. [1994]: «The use of multiple instruments for measurement of earnings forecasts errors, firm size effect and the quality of analysts' forecasts errors», Journal of Business Finance and Accounting, Vol. 21, n.° 5, pp. 707-727.
- CLEMENT, M. [1999]: «Analyst forecasts accuracy: do ability, resources and portfolio complexity matter?», Journal of Accounting Economics, Vol. 27, pp. 285-303.
- COOKE, T. E. [1989]: «Disclosure in the corporate annual reports of Swedish companies», Accounting and Business Research, July, pp. 533-541.
- COOPER, H. M. [1989]: Integrating research: A guide for literature reviews, Sage, Beverly Hills.
- COOPER, H. M., y HEDGES, L. V. (eds.) [1994]: The handbook of research synthesis, Sage, New York.
- DAS, S., y SAUDARAGAN, S. M. [1998]: «Accuracy, bias, and dispersion in analysts' earnings forecasts: the case of cross-listed foreign firms», Journal of International Financial Management and Accounting, Vol. 9, n.°1, pp. 16-33.
- DECHOW, P.; HUTTON, A., y SLOAN, R. [1997]: «The relation between analysts'long term earnings forecasts and stock prices performance following equity offerings», Working Paper, Harvard Business School.
- DUGAR, A., y NATHAN, S. [1995]: «The effect of investment banking relationships on financial analysts' earnings forecasts and investments recommendations», Contemporary Accounting Research, Vol. 12, n.°1, pp. 131-160.
- DURU, A., y REEB, D. M. [2002]: «International diversification and analysts' forecast accuracy and bias», The Accounting Review, Vol. 77, n.° 2, pp. 415-433.
- DYE, R. A. [1985]: «Disclosure of nonpropietary mformation», Journal of Accounting Research, Vol. 23, n.°1, pp. 123-145.
- EMMANUEL, C. R. [1983]: «Segmental Disclosure», in TONKIN, D., and SKERRATT, L. C. L. (Eds.), Financial Reporting 1983-84 OCAEW), pp. 139-149.
- FIRTH, M. [1979]: «The impact of size, stock market listing, and auditors on voluntary disclosure in corporate annual reports», Accounting and Business Research, Vol. 9, pp. 273-280.
- FOSTER, G. [1986]: Financial Statement Analysis, 2." Ed. Prentice-Hall, Englewood Cliffs.
- FULKERSON, C. L., y MEEK, G. K. [1998]: «Analysts' earnings forecasts and the value relevance of 20-F reconciliations from non-US to US GAAP», Journal of International Financial Management and Accounting, Vol. 9, n.°1, pp. 1-16.
- GIVOLY, D., y LAKONISHOK, J. [1979]: «The information content of financial analysts' forecasts of earnings», Journal of Accounting and Economics, Vol. 1, n.° 3, pp. 165-186.
- - [1984]: «Properties of analysts forecasts of earnings: a review and analysis», Journal of Accounting Literature, pp. 117-152.
- GLASS, G. V.; MCGAW, B., y SMITH, M. L. [1981]: Meta-analysis in social research, Sage, Beverly Hills.
- GOODDMG, R. Z., y WAGNER, J. A. [1985]: «A meta-analytic review of the relationship between size and performance, the productivity and efficiency of organizations and their subunits», Administrative Science Quarterly, Vol. 30, n. °4, pp. 462-481.
- HEDGES, L. V, y OLKIN, I. [1985]: Statistical methods for meta-analysis, Academic Press, Orlando.
- HJLAHY, G., y MENZLY, L. [2001]: «Does past success lead analysts to become overconfident», Working Paper, University of Chicago, April.
- HODGHNSON, L. [2001]: «Analysts' forecasts and the broker relationship», Journal of Business, Financial and Accounting, Vol. 28, n.° 7 & 8, pp. 943-961.
- HOLLAND, J. [1997]: Corporate Communications with Institutional Shareholders, Institute of Chartered Accountants of Scotland.
- - [1998]: «Private voluntary disclosure, financial intermediation and marker efficiency», Journal of Business, Finance and Accounting, Vol. 25, pp. 29-68.
- - [1998b]: «Private disclosure and financial reporting», Accounting and Business Research, Vol. 24, n.° 4, pp. 255-269.
- HOPE, O. [2002]: «Accounting policy disclosures and analysts' forecasts», Working Paper, University of Toronto, July.
- HUNTER, J. E., y SCHMIDT, F. L. [1990]: Methods of meta-analysis: Correcting error and bias in research findings, Sage, Beverly Hills.
- HUNTER, J. E.; SCHMTOT, F. L., y JACKSON, G. B. [1982]: Meta-analysis: Cumulating research findings across studies, Sage, Beverly Hills.
- - [2000]: «Fixed effects vs. random effects meta-analysis models: implications for cumulative research knowledge», International Journal of Selection and Assessment, Vol. 8, n.° 4, December, pp. 275-292.
- JACOB, J.; LYS, T. Z., y NEALE, M. [1999]: «Expertise in forecasting performance of security analysts», Journal of Accounting Economics, Vol. 28, pp. 51-82.
- JAGGI, J., y JAIN, R. [1998]: «An evaluation of financial analysts' earnings forecasts for Hong Kong firms», Journal of International Financial Management and Accounting, Vol. 9, n.° 3, pp. 177-200.
- KING, R.; POWNALL, G., y WAYMIRE, G. [1990]: «Expectations adjustments via timely management forecasts: review, synthesis and suggestions for future research», Journal of Accounting Literature, Vol. 9, pp. 113-144
- . KROSS, W; RO, B., y SCHROEDER, D. [1990]: «Earnings expectations: the analysts' information advantage», The Accounting Review, Vol. 65, n.° 2, pp. 461-476.
- LANG, M., y LUNDIIOLM, R. [1993]: «Cross Sectional determinants of analysis ratings of corporate disclosures», Journal of Accounting Research, Vol. 31, n.°2, pp. 246-271.
- - [1996]: «Corporate Disclosure Policy and Analyst Behaviour», The Accounting Review, Vol. 71, n.° 4, pp. 467-492.
- LARRAN JORGE, M. [2001]: El mercado de Información Voluntaria en las Bolsas de Valores, ICAC, Madrid.
- LAHRAN JORGE, M., y REES, W. [1999]: «Propiedades de los pronósticos de beneficios realizados por los analistas financieros: una aplicación al caso español»,Revista Española de Financiación y Contabilidad, Vol. 28, n.° 101, pp. 675-729.
- LEE,T.,yTWEEDI, D. [1981]: The Institutional Investor and Financial Information, The Institute of Chartered Accountants in England and Wales, London.
- LIN, H., y MCNICIIOLS, M. F. [1998]: «Underwriting relationships, analysts' earnings forecasts and investment recommendations», Journal of Accounting andEconomics, Vol. 25, pp. 101-127.
- LYS, T., y SOHN, S. [1990]: «The association between revisions of financial analysts' earnings forecasts and security prices changes», Journal of Accounting and Economics, Vol. 13, n.° 4, pp. 341-365.
- LYS, T., y Soo, L. G. [1995]: «Analysts' forecast precision as a response to competition», Journal of Accounting, Auditing and Finance, Vol. 10, pp. 751-763.
- MANDE, V, y ORTMAN, R. [2002]: «The effect of Japanese business segment reporting on analysts' forecasts: implications for US investors and the SEC», Journal of Accounting and Public Policy, Vol. 21, pp. 31-70.
- MARÍN MARTÍNEZ, F. [1995]: Enfoques meta-analíticos: un estudio comparativo mediante simulación Monte Cario, Tesis doctoral, Murcia.
- MARÍN MARTÍNEZ, E, y SÁNCHEZ-MECA, J. [1999]: «Averaging dependent effect sizes in meta-analysis: a cautionary note about procedures», Spanish Journal of Psychology, Vol. 2, n.°1, pp. 32-38.
- MARSTON, C. L. [1996]: Investor Relations: meeting the analysts, The Institute of Chartered Accountants of Scotland.
- MAVHINAC, S., y BOYLE, T. [1996]: «Sell-Side analysts, non financial performance evaluation and the accuracy of short term earnings forecasts», Working Paper, The Ernst & Young Center for Business Innovation.
- MICHAELY, R., y WOMACK, K. [1999]: «Conflict of interest and the credibility of underwriter analysts recommendations», The Review of Financial Studies, Vol. 12, n.° 4, pp. 653-686.
- MIKHAIL, M.; WALTHER, B., y WILLIAMS, R. [1997]: «Do security analysts improve their performance with experience?», Journal of Accounting Research, Vol. 35, pp. 131.
- MOYES, G. D.; SAADOUNI, B.; SIMON, J., y WILLIAMS, P. A. [2001]: «A comparison of factors affecting UK and US analyst forecast revisions», The International Journal of Accounting, Vol. 36, pp. 47-63.
- NICHOLS, D.; TUNNELL, L., y SEIPEL, C. [1995]: «Earnings forecast accuracy and geographic segments disclosures», Journal of International Accounting, Auditing and Taxation, Vol. 4, n.° 2, pp. 113-126.
- O' BRIEN, P. C. [1988]: «Analysts' forecasts as earning expectations», Journal of Accounting and Economics, Vol. 10, pp. 53-88.
- - [1990]: «Forecast accuracy of individual analysts in nine industries», Journal of Accounting Research, Vol. 28, n.° 2, pp. 286-305.
- OLBERT, L. [1994]: «Stock valuation methods of financial analysts in a thin stock market in Sweden, with comparisons to the U.K. and the United States», The International Journal of Accounting, n.° 29, pp. 123-135.
- PARKASH, M.; DIIALIWAL, D. S., y SALATKA, W. K. [1995]: «How certain firm-specific characteristics affect the accuracy and dispersion of analysts' forecasts. A latent variables approach», Journal of Business Research, n. °34, pp. 161-169.
- RAFFOURNIER, B. [1995]: «The determinants of voluntary financial disclosure by Swiss listed companies», The European Accounting Review, Vol. 4, n.° 2, pp. 261-280.
- REES, W. [1995]: Financial Analysis, 2." Edic. Prentice Hall, Londres.
- RIVERA, J. M. [1991]: «Prediction performance of earnings forecasts. The case of U.S. multinationals», Journal of International Business Studies, Vol. 22, n.° 2, pp. 265-289.
- ROSENTHAL, R. [1976]: Experimenter effects in behavioral research, Irvintong, New York.
- - [1991]: Meta-analytic procedures for social research (rev. Ed.), Sage, Newbury Park.
- SANCHEZ-MECA, J. [1999]: «Meta-análisis para la investigación científica», en SARABIA SÁNCHEZ, F. J. (Coord.): Metodología para la investigación en marketing y dirección de empresas, Pirámide, Madrid, pp. 173-201.
- SÁNCHEZ-MECA, J., y MARÍN MARTINEZ, F. [1997]: «Homogeneity tests in meta-analysis: a Monte Carlo comparison of statistical power and Type I error», Quality & Quantity, 31, pp. 385-399.
- - [1998]: «Weighting by inverse variance or by sample size in meta-analysis: a simulation study», Educational and Psychological Measurement, Vol. 58, n.° 2, April, pp. 211-220.
- SCHMIDT, F. L., y HUNTER, J. E. [1977]: «Development of a general solution to the problem of validity generalization», Journal of Applied Psychology, 62, pp. 529-540.
- SINHA, P.; BROWN, L., y DAS, S. [1997]: «Are-examination of financial analysts' differential forecasting ability», Contemporary Accounting Research, Vol. 14, n.°1, pp. 1-42.
- SanppER, K. [1991]: «Analysts' forecasts», Accounting Horizons, Vol. 5, n.°4, pp. 105-122.
- SMITH, M. L., y GLASS, G. V. [1977]: «Meta-analysis of psychotherapy outcome studies», American Psychologist, 32, pp. 752-760.
- STICKEL, S. [1995]: «The anatomy of the performance of buy and sell», Financial Analysts Journal, Vol. 51, n.° 5, pp. 25-40.
- SZYMANSH, D. M.; BHARADWAJ, S. G., y VARADARAJAN, P. R. [1993]: «An analysis of the market share-profitability relationship», Journal of Marketing, Vol. 57, July, pp. 1-18.
- TOSI, H. L.; WERNER, S.; KATZ, R., y GÓMEZ-MEJÍA, L. R. [2000]: «How does performance matter? A metaanalysis of CEO pay studies», Journal of Management, 26, 2, pp. 301-309.
- WIEDMAN, C. [1996]: «The relevance of characteristics of the information environment in the selection of a proxy for the market's expectations for earnings: an extension of Brown, Richardson and Schwager [1987]», Journal of Accounting Research, Vol. 34, n.° 2, pp. 313- 324.