TESTING RATIONAL EXPECTATION HYPOTHESIS ON FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE STUDY IN UK
The main objective of this dissertation is to test rational expectation hypothesis on earnings forecast in United Kingdom market. Ordinary Least Squares (OLS) and Least Absolute Deviation (LAD) are introduced and presented. The study examines the efficiency of the analysts earnings forecast by testi...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22041/ |
| _version_ | 1848792346281377792 |
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| author | Dinh, Quang |
| author_facet | Dinh, Quang |
| author_sort | Dinh, Quang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The main objective of this dissertation is to test rational expectation hypothesis on
earnings forecast in United Kingdom market. Ordinary Least Squares (OLS) and Least
Absolute Deviation (LAD) are introduced and presented. The study examines the
efficiency of the analysts earnings forecast by testing efficiency regarding information
variables including past earnings levels and changes, extreme past earnings changes, past
returns, past forecast errors and past forecast revisions. Actual and forecasted earning per
share (EPS) of 550 selected companies in UK market over the period from 1988 to 2003 is
obtained. Three statistical regression and test applied to test the rational expectation
include pooled regression and Fama-MacBeth regression and Wald tests which have
shown a consistent result of rejecting the efficiency of analysts forecast in the UK market.
We also conduct and compare rational expectation tests using OLS and LAD. Least
Absolute Deviation is taken into consideration of heteroscedasticity and non-normal
distribution, so consistent with previous study we conclude that LAD is more
advantageous than OLS regarding to expectation hypothesis tests. |
| first_indexed | 2025-11-14T18:42:56Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22041 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:42:56Z |
| publishDate | 2008 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-220412018-01-01T12:51:51Z https://eprints.nottingham.ac.uk/22041/ TESTING RATIONAL EXPECTATION HYPOTHESIS ON FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE STUDY IN UK Dinh, Quang The main objective of this dissertation is to test rational expectation hypothesis on earnings forecast in United Kingdom market. Ordinary Least Squares (OLS) and Least Absolute Deviation (LAD) are introduced and presented. The study examines the efficiency of the analysts earnings forecast by testing efficiency regarding information variables including past earnings levels and changes, extreme past earnings changes, past returns, past forecast errors and past forecast revisions. Actual and forecasted earning per share (EPS) of 550 selected companies in UK market over the period from 1988 to 2003 is obtained. Three statistical regression and test applied to test the rational expectation include pooled regression and Fama-MacBeth regression and Wald tests which have shown a consistent result of rejecting the efficiency of analysts forecast in the UK market. We also conduct and compare rational expectation tests using OLS and LAD. Least Absolute Deviation is taken into consideration of heteroscedasticity and non-normal distribution, so consistent with previous study we conclude that LAD is more advantageous than OLS regarding to expectation hypothesis tests. 2008 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22041/1/08MAlixqd1.pdf Dinh, Quang (2008) TESTING RATIONAL EXPECTATION HYPOTHESIS ON FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE STUDY IN UK. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Dinh, Quang TESTING RATIONAL EXPECTATION HYPOTHESIS ON FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE STUDY IN UK |
| title | TESTING RATIONAL EXPECTATION HYPOTHESIS ON
FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE
STUDY IN UK |
| title_full | TESTING RATIONAL EXPECTATION HYPOTHESIS ON
FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE
STUDY IN UK |
| title_fullStr | TESTING RATIONAL EXPECTATION HYPOTHESIS ON
FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE
STUDY IN UK |
| title_full_unstemmed | TESTING RATIONAL EXPECTATION HYPOTHESIS ON
FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE
STUDY IN UK |
| title_short | TESTING RATIONAL EXPECTATION HYPOTHESIS ON
FINANCIAL ANALYSTS EARNINGS FORECAST: A CASE
STUDY IN UK |
| title_sort | testing rational expectation hypothesis on
financial analysts earnings forecast: a case
study in uk |
| url | https://eprints.nottingham.ac.uk/22041/ |