THE SYSTEMATIC EVALUATION OF REPLICATION RESULTS: A CASE STUDY FROM THE CROSS-SECTIONAL EARNINGS FORECAST LITERATURE

Thomas Kaspereit

《Advances in Quantitative Analysis of Finance and Accounting》 19期 (2022/12) Pp. 213-285

https://doi.org/10.6293/AQAFA.202212_(19).0007

摘要

This paper makes two methodological contributions to the sparse literature on replication studies in quantitative finance and accounting research. First, it demonstrates the importance of accurate and complete disclosure of sample reductions in quantitative empirical accounting and finance research. The sample reduction should perfectly reconcile with the sample selection, i.e., the number of observations in descriptive statistics and result tables. Second, it proposes a formal framework to evaluate original against replicated results in the context of complex studies with multiple focal points, which are partial results on which the original authors focus to make their case. The study of Azevedo, Bielstein, & Gerhart (2021) serves as a showcase. My replications show that about half of the results which Azevedo et al. provide in favor of their new combined model (CM) hold. Raw analysts' forecasts are more accurate and not more biased than forecasts based on the CM.

關鍵字

Replication ； Earnings Forecasts ； Analysts' Forecasts ； Forecast Evaluation ； Implied Cost of Capital

參考文獻

Gebhardt, W. R., Lee, C. M. C., & Swaminathan, B. (2002). Toward an implied cost of capital. Journal of Accounting Research, 39, 135-176. doi:10.1111/1475-679X.00007

Guay, W., Kothari, S. P., & Shu, S. (2011). Properties of implied cost of capital using analysts’ forecasts. Australian Journal of Management, 36, 125-149. doi:10.1177/0312896211408624

Hail, L., Lang, M., & Leuz, C. (2020). Reproducibility in accounting research: Views of the research community. Journal of Accounting Research, 58, 519-543. doi:10.1111/1475-679X.12305

Harvey, C. R. (2019). Editorial: Replication in financial economics. Critical Finance Review, 8, 1-9. doi:10.1561/104.00000080

Hou, K., van Dijk, M. A., & Zhang, Y. (2012). The implied cost of capital: A new approach. Journal of Accounting and Economics, 53, 504-526. doi:10.1016/j.jacceco.2011.12.001