| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15786 |
| DP15786 Does Alternative Data Improve Financial Forecasting? The Horizon Effect | |
| Thierry Foucault; Laurent Frésard | |
| 发表日期 | 2021-02-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We analyze the effect of alternative data on the informativeness of financial forecasts. Our starting hypothesis is that the emergence of alternative data reduces the cost of obtaining information about firms' short-term cash-flows more than their long-term cash-flows. If correct, and forecasting short-term and long-term cash-flows are distinct tasks, analysts will reduce effort to process long-term information when alternative data become available. Alternative data thus makes long-term forecasts less informative, while increasing the informativeness of short-term forecasts. We confirm this prediction using variations in analysts' exposure to social media data and a new measure of forecast informativeness at various horizons. |
| 主题 | Financial Economics |
| 关键词 | Alternative data Security analysts Forecasting horizon Forecasts' informativeness Social media |
| URL | https://cepr.org/publications/dp15786 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544786 |
| 推荐引用方式 GB/T 7714 | Thierry Foucault,Laurent Frésard. DP15786 Does Alternative Data Improve Financial Forecasting? The Horizon Effect. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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