Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism?

• 成果类型: Article
• 署名作者: Easterwood, JC; Nutt, SR
• 署名单位: Virginia Polytechnic Institute & State University; Virginia Polytechnic Institute & State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00166
• 发表日期: 1999
• 页码: 1777-1797
• 关键词: PRICE CHANGES; INFORMATION; expectations; INVESTMENT; recommendations; Brokerage

摘要

A rational analysis of analyst behavior predicts that analysts immediately and without bias incorporate information into their forecasts. Several studies document analysts' tendency to systematically underreact to information. Underreaction is inconsistent with rationality. Other studies indicate that analysts systematically overreact to new information or that they are systematically optimistic. This study discriminates between these three hypotheses by examining the interaction between the nature of information and the type of reaction by analysts. The evidence indicates that analysts underreact to negative information, but overreact to positive information. These results are consistent with systematic optimism in response to information.