کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960119 | 929412 | 2013 | 26 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts? A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?](/preview/png/960119.png)
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.
Journal: Journal of Financial Economics - Volume 108, Issue 3, June 2013, Pages 615–640