HCBE Faculty Articles
Title
Earnings Whisper Forecasts As Predictors of Security Returns: Support For The Miller Price Optimism Model
Document Type
Article
Publication Date
2005
Publication Title
Journal of Business & Leadership
ISSN or ISBN
1559-3355
Volume
1
Issue/Number
1
First Page
1
Last Page
11
Abstract/Excerpt
This study provides empirical support for the Miller (1977) model which sets forth that security returns reflect the opinions of optimists in markets where more rational and pessimistic trading is excluded by high short-sale costs. Using the differential between earnings whisper forecasts and analysts’ consensus forecasts as a proxy for heterogeneous expectations of earning, this study finds that for stacks with higher differentials, optimistic valuations dominate resulting in significantly lower future security returns than for stocks with lower differentials. Low differentials stacks are shown to resemble value stacks while high differential stocks display the characteristics of glamour stocks.
NSUWorks Citation
Abraham, Rebecca and Harrington, Jr., Charlie W., "Earnings Whisper Forecasts As Predictors of Security Returns: Support For The Miller Price Optimism Model" (2005). HCBE Faculty Articles. 845.
https://nsuworks.nova.edu/hcbe_facarticles/845
