德勤－复旦会计论坛系列讲座之一百五十
时 间：2018年10月30日（周二）下午14：00
地 点：史带楼502室
主 持 人: 周易 博士
主讲嘉宾：Rui Shen (Chinese University of Hong Kong (Shenzhen) & Nanyang Technological University)
主 题：What can we learn from machine forecasting error?
Abstract：In this study, we utilize four popular machine learning algorithms to generate earnings forecasts for each firm. We find statistically significant associations between ex post machine 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.
会计学系
2018-10-26
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