Noise in Expectations: Evidence from Analyst Forecasts

• 成果类型: Article
• 署名作者: de Silva, Tim; Thesmar, David
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad091
• 发表日期: 2024
• 页码: 1494
• 关键词: sticky prices; INFORMATION

摘要

Analyst forecasts outperform econometric forecasts in the short run but underperform in the long run. We decompose these differences in forecasting accuracy into analysts' information advantage, forecast bias, and forecast noise. We find that noise and bias strongly increase with forecast horizon, while analysts' information advantage decays rapidly. A noise increase with horizon generates a mechanical reversal in the sign of the error-revision (Coibion-Gorodnichenko) regression coefficient at longer horizons, independently of over-/underreaction. A parsimonious model with bounded rationality and a noisy cognitive default matches the term structures of noise and bias jointly.