Following the leader: a study of individual analysts' earnings forecasts

• 成果类型: Article
• 署名作者: Cooper, RA; Day, TE; Lewis, CM
• 署名单位: Vanderbilt University; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00067-8
• 发表日期: 2001
• 页码: 383-416
• 关键词: Analysts; herding; FORECAST REVISIONS; lead analyst

摘要

This paper develops and tests procedures for ranking the performance of security analysts based on the timeliness of their earnings forecasts, the abnormal trading volume associated with these forecasts, and forecast accuracy. Our framework provides an objective assessment of analyst quality that differs from the standard approach, which uses survey evidence to rate analysts. We find that lead analysts identified by our measure of forecast timeliness have a greater impact on stock prices than follower analysts. Further, we find that performance rankings based on forecast timeliness are more informative than rankings based on abnormal trading volume and forecast accuracy. We also present evidence that analyst's forecast revisions are correlated with recent stock price performance, suggesting that security analysts use publicly available information to revise their earnings forecasts. (C) 2001 Elsevier Science S.A. All rights reserved.