The accuracy of financial analysts’ earnings forecasts and the Tunisian market reliance with time

Figures & data

Table 1. Descriptive statistics

Model 1: hypothesis H1 variables
Variable	2010S1–2012S2 (N = 330)			2013S1–2015S2 (N = 306)			2010S1–2015S2 (N = 636)
	Mean	Median	Std. dev	Mean	Median	Std. dev	Mean	Median	Std. dev
ACCF	−0.0322	−0.0159	0.0934	−0.0300*	−0.0124*	0.0682	−0.0314	−0.0141	0.0822
DISP	0.0547	0.0258	0.0908	0.0467*	0.0187*	0.0895	0.0506	0.0230	0.0900
LOSS	0.1090	0.0000	0.3122	0.1176*	0.0000*	0.3227	0.1132	0.0000	0.3171
MNFE	89.748	4.6909	1,426.02	83.777*	12.593	1,248.46	6.2594	9.8995	1345.284
MKTR	0.1086	0.0967	0.0093	0.0740*	0.0688*	0.0167	0.0912	0.0875	0.0219
Model 2: hypothesis H2 variables
Variable	2010S1–2012S2 (N = 324)			2013S1–2015S2 (N = 336)			2010S1–2015S2 (N = 660)
	Mean	Median	Std. dev	Mean	Median	Std. dev	Mean	Median	Std. dev
MAR	−0.0035	−0.0045	0.0020	−0.0032*	−0.0039*	0.0038	−0.0091	−0.0017	0.0031
UER	−0.00096	−0.0012	0.0679	−0.0034*	0.00046	0.0932	−0.00107	0.00011	0.0814
UEF	0.00072	0.0016	0.0978	−0.0028*	−0.0023	0.0805	−0.0013	−0.00076	0.0903

Note: Asterisks (*) next to the numbers show that the mean or median of the variable in question for the indicated period is significantly different from the respective value reported in the other sub-period at the 0.10 level or better.

Table 2. Pearson correlations

Model 1: hypothesis H1 variables
Variable	ACCF	TM	DISP		LOSS	MNFE
ACCF p-value	1.0000	0.0448** (0.0353)	−0.4961*** (0.000)		−0.2503*** (0.000)	−0.0938** (0.0515)
TM p-value		1.0000	−0.0125* (0.0794)		0.01009 (0.8346)	−0.0807* (0.0943)
DISP p-value			1.0000		0.2574*** (0.000)	0.0349 (0.4693)
LOSS p-value					1.0000	0.2345*** (0.000)
MNFE p-value						1.0000
Model 2: hypothesis H2 variables
Variable	2010S1–2012S2 (N = 324)		2013S1–2015S2 (N = 336)		2010S1–2015S2 (N = 660)
	UER	UEF	UER	UEF	UER	UEF
MAR p-value	0.0630 (0.2581)	0.00077* (0.0989)	−0.0106 (0.8519)	0.0084* (0.0823)	0.0279 (0.7011)	0.0025** (0.0502)
UER p-value		0.1018* (0.0670)		0.4538*** (0.000)		0.2988 (1.2295)

* Statistical significance at the 1% levels of confidence.

** Statistical significance at the 5% levels of confidence.

*** Statistical significance at the 10% levels of confidence.

Table 3. The effect of time on analyst accuracy in the Tunisian stock market

Hypothesis H1 results
Model (1): ACCF = F (TM, DISP, LOSS, MNFE, MKTR)
Variables	2010S1–2012S2	2013S1–2015S2	2010S1–2015S2
Intercept p-value	−0.0403*** (0.0000)	−0.0541** (0.0387)	−0.0245*** (0.0001)
TM p-value	0.0176*** (0.0000)	0.0208** (0.0201)	0.0056*** (0.0015)
DISP p-value	−0.5120*** (0.0000)	−0.1059*** (0.0016)	−0.4570***(0.0000)
LOSS p-value	−0.0052*** (0.0023)	−0.0419*** (0.0000)	−0.0111*** (0.0005)
MNFE p-value	−0.0000228 (0.9145)	−0.0000215 (0.9996)	−0.0000226 (0.6979)
MKTR p-value	0.1575*** (0.0063)	0.2040*** (0.0039)	0.1168* (0.0748)
N	330	306	636
R^2 (%)	58.55	62.48	73.05
F-value p-value	13.314*** (0.0000)	17.359*** (0.0000)	39.516*** (0.0000)
χ^2 p-value	23.578*** (0.0003)	43.145*** (0.0000)	19.704*** (0.0014)

* statistical significance at the 1% levels of confidence,

** statistical significance at the 5% levels of confidence,

*** statistical significance at the 10% levels of confidence,

Table 4. The effect of time with the Tunisian stock market reliance on analyst forecasts

Hypothesis H2 results
Variables	2010S1–2012S2	2013S1–2015S2	2010S1–2015S2
Panel 1: relative information content results
Model (2): ${\text{MAR}}_{i,t}={\mathit{\alpha }}_1+{\mathit{\beta }}_1{\text{UER}}_{i,t}+{\mathit{\epsilon }}_{i,t}$, ${\text{MAR}}_{i,t}={\mathit{\alpha }}_2+{\mathit{\beta }}_2{\text{UEF}}_{i,t}+{\mathit{\epsilon }}_{i,t}$
$\text{Intercept}$ p-value	−0.0028*** (0.000)	−0.00088** (0.042)	−0.00016** (0.000)
	−0.0030*** (0.000)	−0.00098 (0.123)	−0.00018 (0.000)
$\text{UER}$ p-value	0.0019*** (0.004)	−0.00015 (0.734)	0.00093 (0.198)
$\text{UEF}$ p-value	0.00058 (0.309)	0.0006*** (0.002)	0.00062** (0.021)
N	324	336	660
F-value p-value	2.375** (0.012)	0.115 (0.734)	2.111 (0.146)
	0.209 (0.647)	1.010** (0.031)	1.708** (0.019)
R^2 (%)	7.190	0.377	2.902
	0.637	4.952	3.340
J test	UER is best	UEF is best	UEF is best
Panel 2: incremental information content results
Model (2): ${\text{CMAR}}_{i,t}={\mathit{\alpha }}_3+{\mathit{\beta }}_3{\text{UER}}_{i,t}+{\mathit{\beta }}_3^{\prime }{\text{UEF}}_{i,t}+{\mathit{\epsilon }}_{i,t}$
Intercept p-value	−0.0027*** (0.000)	−0.00072 (0.214)	−0.00054** (0.001)
UER p-value	0.0018*** (0.006)	0.000185 (0.6782)	0.0010 (0.649)
UEF p-value	0.00022 (0.680)	0.00071** (0.044)	0.00217** (0.035)
N	324	336	660
F-value p-value	1.230 (0.293)	0.629** (0.053)	0.862** (0.042)
R^2 (%)	7.467	4.110	5.260

* Statistical significance at the 1% levels of confidence.

** Statistical significance at the 5% levels of confidence.

*** Statistical significance at the 10% levels of confidence.