Accounting Seminar(2018-17)

Topic: What can we learn from machine forecasting error?

Speaker: Rui Shen, Chinese University of Hong Kong (Shenzhen)

Time: Wednesday, Sep. 26^th, 10:00-11:30a.m

Place: Room 217, Guanghua Building 2

Abstract:

In this study, we utilize four popular machine learning algorithms to generate earnings forecasts for each firm. We find statistically significant associations betweenex postmachine forecasting errors and existing public information (input variables) such as Tobin’s Q, accruals, past stock returns, past return volatility and past forecasting errors. These associations are qualitatively and quantitatively similar to those documented in sell-side financial analyst forecasting errors. Our evidence regarding machine forecasting errors cannot be explained by popular theories proposed to explain analyst forecasting errors such as agency incentives or cognitive bias. We provide evidence consistent with an estimation uncertainty explanation.

Introduction:

Before joining CUHK SZ, Rui worked as an assistant professor at NTU Singapore and Rotterdam School of Management (RSM), Erasmus University. He has taught Intermediate Financial Accounting for Bachelor students, Financial Analysis and Equity Valuation for master students in finance and Accounting for non-business master students. His main research interests are in the area of heterogeneous interpretations of public accounting information, market anomaly and corporate decisions. His research has been published in The Accounting Review, Journal of Financial and Quantitative Analysis and Strategic Management Journal.

//sme.cuhk.edu.cn/zh-hans/node/7554

Your participation is warmly welcomed!