A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?

Eric C. So

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A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?

机译：一种预测分析师预测错误的新方法：投资者是否加重了分析师预测？

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I provide evidence that investors overweight analyst forecasts by demonstrating that prices do not fully reflect predictable components of analyst errors, which conflicts with conclusions in prior research. I highlight estimation bias in traditional approaches and develop a new approach that reduces this bias. I estimate characteristic forecasts that map current firm characteristics into forecasts of future earnings. Contrasting characteristic and analyst forecasts predicts analyst forecast errors and revisions. I find abnormal returns to strategies that sort firms by predicted forecast errors, consistent with investors overweighting analyst forecasts and predictable biases in analyst forecasts influencing the information content of prices.

机译：我通过证明价格不能完全反映出分析师错误的可预测成分来证明投资者加重了分析师的预测，这与先前研究的结论相矛盾。我着重介绍了传统方法中的估计偏差，并开发了一种减少这种偏差的新方法。我估计将当前公司特征映射到未来收益预测中的特征预测。对比特征和分析师预测可以预测分析师预测错误和修订。我发现，按预测的预测误差对公司进行分类的策略获得了不正常的回报，这与投资者对分析师的预测权重过重以及分析师的预测中影响价格信息内容的偏见相一致。

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来源
《Journal of financial economics》 |2013年第3期|615-640|共26页
作者
Eric C. So;
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作者单位

Massachusetts Institute of Technology, Sloan School of Management, E62-677, 100 Main Street, Cambridge, MA 02142, United States;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Analysts; Forecast errors; Earnings; Market efficiency;

机译：分析师;预测误差;收益;市场效率;

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A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?

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