Jeffery Abarbanell

Jeffery Abarbanell
University of North Carolina at Chapel Hill | UNC · Accounting

About

27
Publications
3,100
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4,277
Citations

Publications

Publications (27)
Article
Several influential studies have concluded that earnings surprises just to the right or to the left of a hypothesized bright line produce distinct price reactions compared with surrounding earnings surprises because they convey special meaning. In this study, we examine whether previous inferences of asymmetric stock price reactions to bright-line...
Article
The 24th annual conference on financial economics and accounting was held at University of North Carolina at Chapel Hill’s Kenan-Flagler Business School on November 15–16, 2013 in Chapel Hill, NC. There were 356 papers accepted on the program after a rigorous process that resulted in an 11.8 % acceptance rate. The result was both exciting and outst...
Article
Accepted by Peter Easton. An earlier version of this paper was presented at the 2005 Contemporary Accounting Research Conference, generously supported by the Canadian Institute of Chartered Accountants, the Certified General Accountants of Ontario, the Certified Management Accountants of Ontario, and the Institute of Chartered Accountants of Ontari...
Article
The extensive literature that investigates whether analysts’ earnings forecasts are biased and/or inefficient has produced conflicting evidence and no definitive answers to either question. This paper shows how two relatively small but statistically influential asymmetries in the tail and the middle of distributions of analysts’ forecast errors can...
Article
Corporate spin-offs create new firms with characteristics markedly different from the original firm. Consequently, institutional investors precommitted to certain investment styles or subject to fiduciary restrictions have incentives to rebalance their portfolios at the time of the spin-off. We find strong evidence that investment strategy and fidu...
Article
In this article we present evidence that a firm's stock price sensitivity to earnings news, as measured by outstanding stock recommendation, affects its incentives to manage earnings and, in turn, affects analysts’ex post forecast errors. In particular, we find a tendency for firms rated a Sell (Buy) to engage more (less) frequently in extreme, inc...
Article
Corporate spin-offs create new firms with characteristics markedly different from the original firm. Consequently, institutional investors precommitted to certain investment styles or subject to fiduciary restrictions have incentives to rebalance their portfolios at the time of the spin-off. We find strong evidence that investment strategy and fidu...
Article
Prominent properties of distributions of differences in earnings reported by forecast data providers (FDPs), i.e., I/B/E/S, Zacks, and First Call, and Compustat drive statistical inferences drawn in extant research concerning the relative information content and value relevance of alternative reported earnings numbers (e.g., "Street" or pro forma v...
Article
We demonstrate that distributions of analysts' forecasts errors are characterized by two relatively small but statistically influential asymmetries. The first asymmetry is characterized as optimistic tails that are longer and fatter than pessimistic tails and the second asymmetry is characterized as a higher frequency of small pessimistic than smal...
Article
We investigate whether the direction and magnitude of earnings management by firms is affected by the sensitivity of their stock prices to earnings news. We argue that firms with high price sensitivity to relatively small earnings surprises are more likely to direct their earnings management toward meeting or beating analysts' earnings forecasts th...
Article
We test whether the US stock market is myopic in the sense of overvaluing short term earnings and undervaluing long term earnings (see, e.g., Porter [1992;1993]. Our tests rely on an accounting-based valuation model that generates predictions about how prices should relate to expected future earnings under the null hypothesis of market efficiency....
Article
Significant changes in mean and median analysts' forecasts errors documented in recent studies are not synchronized across commercial forecast databases over time and are, in large part, a function of the definitions and procedures that determine the reported earnings component of earnings surprises. In this study we describe a number of complicati...
Article
Because spin-offs create new firms with characteristics markedly different from the original firm, institutional investors pre-committed to certain investment styles and/or subject to fiduciary restrictions have incentives to rebalance their portfolios at the time of the spin-off. Prior articles in the business press and academic journals claim tha...
Article
This paper studies the information links that connect detailed financial statement data and security prices. We establish empirically the underlying relations between rules of fundamental analysis and: 1) analysts' earnings forecast revisions, 2) actual future earnings changes and 3) security returns. We find evidence that some but not all of the f...
Article
We examine whether the application of fundamental analysis can yield significant abnormal returns. Using a collection of signals that reflect traditional rules of fundamental analysis related to contemporaneous changes in inventories, accounts receivables, gross margins, selling expenses, capital expenditures, effective tax rates, inventory methods...
Article
We examine whether the application of basic concepts of fundamental analysis can yield significant abnormal returns. Using a collection of signals that reflect traditional rules of fundamental analysis related to contemporaneous changes in inventories, accounts receivables, gross margins, selling expenses, capital expenditures, effective tax rates,...
Article
We chronicle the disbanding of Zhilsotsbank and the subsequent creation and performance of its private successor, Mosbusinessbank. The decentralized privatization of Zhilsotsbank left incumbent managers with control rights over new private banks, a fact that has had a continuing impact on bank strategy, operations, governance, and performance. The...
Article
The privatization of Bank Śla̧ski, one of nine regional commercial banks in Poland, illustrates the benefits of attracting a strategic foreign investor. Internationale Nederlanden Group has contributed substantially to the upgrading of Bank Śla̧ski's credit lending practices, information systems, product and service offerings, and brokerage house o...
Article
This paper examines empirical relations between rules of fundamental analysis and actual future earnings changes, analysts' earnings forecast revisions, and contemporaneous stock returns. Our results indicate that many of the fundamental signals are related to future earnings and forecast revisions in the same way they are related to returns, howev...
Article
We analyze how analysts' forecasts relate to investor beliefs and describe the implications of these relations for price and volume reactions to earnings surprises. We show that dispersion among forecasts does not fully capture investor uncertainty. We also show how the relations between market reactions and forecast properties differ under the alt...
Article
This study examines whether security analysts underreact or overreact to prior earnings information, and whether any such behavior could explain previously documented anomalous stock price movements. We present evidence that analysts' forecasts underreact to recent earnings. This feature of the forecasts is consistent with certain properties of the...
Article
The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...

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