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The Effect of the Fair Value Reporting Model on Analyst Forecast Properties: Evidence from Real Estate
Firms

Table 3 (continued) The Effect of Fair Value Model Versus Historical Cost Model
on Forecast Dispersion

Panel B: Significance Tests of Sum of Coefficients
Coef. t-stat p-value Coef. t-stat p-value
UK + UK×POST -0.316 -1.07 0.287
UK + UK×YEAR_0506 0.650 1.46 0.145
UK + UK×YEAR_0708 0.144 0.37 0.708
UK + UK×YEAR_0910 -0.041 -0.08 0.937
UK + UK×YEAR_1112 -1.059 -2.60 0.010
UK + UK×YEAR_1314 -0.552 -1.89 0.060
Notes: This table presents the results of the multivariate analysis of the determinants of EPS forecast
dispersion using UK and US firm-year observations from 2002 to 2014. Panel A presents the
regression results, and Panel B details whether the sums of the coefficients of interest are
significant. DISPERSION is the dispersion of analyst forecasts, measured as the standard
deviation of individual analysts’ forecasts scaled by the absolute value of the mean EPS
forecast. POST equals one after 2005 and zero otherwise. In Column (2), we replace POST
with a vector of time-period indicator variables: YEAR_0506, YEAR_0708, YEAR_0910,
YEAR_1112, and YEAR_1314. YEAR_0506 equals one for the period 2005-2006 and zero
otherwise; all other time-period indicator variables are defined accordingly. The t-statistics are
calculated using robust standard errors clustered at the firm level.

sophisticated financial statement users. Finally, we offer evidence indicating that, relative
to the historical cost reporting model, the fair value reporting model is associated with less
forecast dispersion.

6. Additional Analyses and Robustness Tests

6.1 Analyst Forecast Revision Response Time
Table 4 presents the regression results for analyst forecast revision response time. The

dependent variable is DURATION, which is the average analyst forecast revision response
time, measured as the average length of time between the annual report date and the first
report for each analyst. We find that the coefficient on UK×POST is insignificant (-5.029,

t-statistic = -1.48), suggesting that the time required for UK analysts to issue reports under
the full fair value reporting model does not differ from that under the partial fair value
reporting model.

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