SEC FRR No. 48 and analyst forecast accuracy
Date of Original Version
SEC FRR No. 48 requires that all firms report their market risk exposures by choosing among three alternative formats: sensitivity analysis, tabular and value at risk (VaR). In this article, we examine how different methods affect analyst forecast accuracy. By regressing analyst forecast errors on a company’s choice of disclosure method, we find that analyst forecast errors are smaller for firms using VaR and tabular than for firms using sensitivity analysis. Our findings suggest that VaR and tabular approaches are more informative than sensitivity analysis.
Publication Title, e.g., Journal
Applied Economics Letters
Lin, Bing Xuan, and Chen Miao Lin. "SEC FRR No. 48 and analyst forecast accuracy." Applied Economics Letters 24, 6 (2017): 427-432. doi: 10.1080/13504851.2016.1200174.