Who herds?

• 成果类型: Article
• 署名作者: Bernhardt, Dan; Campello, Murillo; Kutsoati, Edward
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; Tufts University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.07.006
• 发表日期: 2006
• 页码: 657-675
• 关键词: earnings forecasting; Financial analysts; herding; econometric test; contrarian behavior

摘要

This paper develops a test for herding in forecasts by professional financial analysts that is robust to (a) correlated information amongst analysts; (b) common unforecasted industry-wide earnings shocks; (c) information arrival over the forecasting cycle; (d) the possibility that the earnings that analysts forecast differ from what the econometrician observes, and (e) systematic optimism or pessimism among analysts. We find that forecasts are biased, but that analysts do not herd. Instead, analysts anti-herd: Analysts systematically issue biased contrarian forecasts that overshoot the publicly-available consensus forecast in the direction of their private information. (c) 2006 Elsevier B.V. All rights reserved.