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Information Asymmetry Measures (view source)
Revision as of 20:28, 25 July 2012
, 20:28, 25 July 2012no edit summary
This is equivalent to the RMSE as:
<math>\mathbb{E}(\epilsonepsilon) = 0 \quad \mathbb{V}(\epilsonepsilon)= \mathbb{E} \left( (R-\hat{R} - (\alpha-\hat{\alpha}) - (\beta - \hat{\beta})R_m \right)^2 = RMSE^2</math>
Data:
*No. Estimates
*No. Analysts
*Normalized forecast error: <math>NormForecastError=\frac{ForecastError}{\sigma_{ACT_t - ACT_0}}</math>
I.e., Over some time period calculate the detrended variation in Earnings. This probably isn't worth it.
