Aiolfi, Marco; Rodriguez, Marius; Timmermann, Allan - In: Journal of Financial Econometrics 8 (2010) 3, pp. 305-334
This paper studies the asymmetric behavior of negative and positive values of analysts' earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of lognormal models that accounts for differences in the magnitude and persistence of positive,...