Forecast precision and portfolio performance

Alex Kane, Tae Hwan Kim, Halbert White

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper investigates the connection between the forecast precision of security analysts and the superior performance of portfolios constructed optimally on the basis of their predictions. In particular, we are interested in the threshold of predictive power that makes for a positive economic contribution of security analysts. Results can be viewed as good news for security analysts. A correlation coefficient between forecast and realized abnormal returns as low as 0.032 will render a security analyst valuable.

Original languageEnglish
Article numbernbq018
Pages (from-to)265-304
Number of pages40
JournalJournal of Financial Econometrics
Volume8
Issue number3
DOIs
Publication statusPublished - 2010 May 21

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Security analysts
Portfolio performance
Economics
Prediction
Correlation coefficient
Predictive power
News
Abnormal returns

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

Kane, Alex ; Kim, Tae Hwan ; White, Halbert. / Forecast precision and portfolio performance. In: Journal of Financial Econometrics. 2010 ; Vol. 8, No. 3. pp. 265-304.
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Forecast precision and portfolio performance. / Kane, Alex; Kim, Tae Hwan; White, Halbert.

In: Journal of Financial Econometrics, Vol. 8, No. 3, nbq018, 21.05.2010, p. 265-304.

Research output: Contribution to journalArticle

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