McGraw-Hill

210 selecting Securities
FIGURE 6-1
Analyst Coverage and Flash Data Availability-3000-Stock
Universe-April 1990 to December 1996
able over the April 1990 through December 1996 period. We calculate
flash predictors, using two methods of substituting for flash data
when the data are unavailable or of questionable integrit~.'~
The first method uses company's the consensus data as a proxy
for flash data. The second method uses the universe average flash
data. (The data are standardized, as before, with winsorization set
at It 5 standard deviations from the mean.)
Use of consensus data when flash datare not available may
result in less measurement error than use of the universe flash
mean. One might expect to find a stronger relationship between returns
and the first method of specification thanbetween returns and
the second method. Figure 6-2 illustrates the differences between
the two methods, according to equal-weighted least-squares regressions
run over the period from April 1990 through December 1996.