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Primary Article

Why Have Estimate Revision Measures Not Worked in Recent Years?

Peter Xu
The Journal of Portfolio Management Spring 2008, 34 (3) 23-33; DOI: https://doi.org/10.3905/jpm.2008.706239
Peter Xu
A managing director at Quantitative Management Associates in Newark, NJ.
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  • For correspondence: peter.xu@qmassociates.com
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Abstract

Estimate revisions, whether measured using consensus or individual analyst data, continue to exhibit positive serial correlation. This suggests that the failure of estimate revision strategies in recent years was a result of investor overreaction to the widely known bias in analyst estimates. To measure this overreaction, the author presents a model that compares the persistence of estimate revisions expected by investors and the actual level of persistence warranted by analyst behavior. The results suggest that instead of simply selecting stocks with positive estimate revisions, the new task for active managers is to determine how much information in estimate revisions is already reflected in stock prices.

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The Journal of Portfolio Management
Vol. 34, Issue 3
Spring 2008
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Why Have Estimate Revision Measures Not Worked in Recent Years?
Peter Xu
The Journal of Portfolio Management Apr 2008, 34 (3) 23-33; DOI: 10.3905/jpm.2008.706239

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Why Have Estimate Revision Measures Not Worked in Recent Years?
Peter Xu
The Journal of Portfolio Management Apr 2008, 34 (3) 23-33; DOI: 10.3905/jpm.2008.706239
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