Do Differences in Analyst Quality Matter for Investors Relying on Consensus Information?

• 成果类型: Article
• 署名作者: Michaely, Roni; Rubin, Amir; Segal, Dan; Vedrashko, Alexander
• 署名单位: University of Hong Kong; Simon Fraser University; Reichman University; University of Warwick
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4699
• 发表日期: 2024
• 关键词: CONSENSUS; analyst quality; forecasts; dispersion; Post-earnings announcement drift

摘要

This study investigates whether investors can reap economic benefits from analyzing differences in analyst quality. Although high-quality analysts' average forecast is more accurate than the consensus forecast for firms with a large analyst following, the benefits of using high-quality analysts' average forecasts are not economically significant. In contrast, the value of analyst quality differentiation exists in the second moment of forecasts. High-quality analysts' forecast dispersion gives investors an advantage in dealing with uncertainty by predicting return volatility and providing opportunities for economically significant returns using option straddle and post-earnings announcement drift investment strategies.