Measuring the Analyst’s Performance

Gray, William S.

doi:10.2469/faj.v22.n2.56

Cited by 7 publications

(5 citation statements)

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“…He concluded that much of this research work has already had the effect of discrediting beliefs-and even some relatively sophisticated ones-about the behavior of security prices. Gray [1966] has recently warned security analysts that unless they develop procedures for measuring the validity of their efforts they are likely to have such assessments imposed upon them by those outside the profession. Despite the need for such appraisal, there have been relatively few attempts to assess the results of decisions made by analysts or investors under the harsh light of scientific scrutiny.…”

Section: Scientific Vs Subjective Prediction In Financementioning

confidence: 98%

Psychological Study of Human Judgment: Implications for Investment Decision Making

Slovic¹

2001

Journal of Psychology and Financial Markets

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Section: Scientific Vs Subjective Prediction In Financementioning

confidence: 98%

Psychological Study of Human Judgment: Implications for Investment Decision Making

Slovic¹

2001

Journal of Psychology and Financial Markets

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“…and (b) Did the analysts really undertake the task earnestly? As a cursory check of these questions, Gray's (1966) performance measure was calculated for each analyst. This measure compares the analyst's ranking of a set of securities according to the securities' predicted performance with the ranking of the same set of securities according to the securities' actual performance.…”

Section: Subsidiary Analysesmentioning

confidence: 99%

Bootstrapping the security analyst.

Ebert¹,

Kruse²

1978

Journal of Applied Psychology

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The feasibility of applying the "bootstrapping" methodology to the securities analyst's task of estimating future returns of common stocks is evaluated. Five analysts each estimated the returns of 35 securities on the basis of 22 information cues, selected independently by nonparticipating analysts. Stepwise regression was used to estimate bootstrapping models and actuarial models for all analysts. Using a subset of IS cross-validation securities, bootstrapping and actuarial models generally were superior to the analysts. The performance of a "composite" analyst was superior to the performances of the five participants. Results indicate the desirability of incorporating linear models into the analyst's judgmental task.In recent years two distinct but related approaches to the study of human judgment have been used. The first approach emphasizes the discovery of explicit descriptions of the form of the decision maker's judgment process. The objective of such research is to lay out in precise terminology (usually mathematical) the decision maker's process of integrating the available information into a conclusion. These efforts have resulted in complex simulation models (

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“…While (2) may, therefore, be regarded as an objective or prior probability of forecasting performance, it still does not incorporate the analyst's prediction and any possible accompanying reduction in uncertainty or risk. To include the analyst's opinion and to determine if it will revise the prior probability upward to a higher level of certainty, we incorporate the analyst's forecast into (2) to derive the conditional probability, i.e., the probability of the portfolio return exceeding or equaling the market return given an increase in the value of the market portfolio was predicted by the analyst: P(rt, re u*11) (3) where: U*m the analyst's forecast of an increase in the value of the suggested portfolio at the beginning of the period.…”

Section: Alternative Evaluation Proceduresmentioning

confidence: 99%

“…Another approach, suggested by Gray [3], entails a scoring system whereby the analyst ranks by quintiles his selections in descending order of expected return and is penalized according to the magnitude and the direction of the difference between the expected and actual quintile return.…”

mentioning

confidence: 99%