Investor Sentiment and Analysts' Earnings Forecast Errors

• 成果类型: Article
• 署名作者: Hribar, Paul; McInnis, John
• 署名单位: University of Iowa; University of Texas System; University of Texas Austin
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1356
• 发表日期: 2012
• 页码: 293-307
• 关键词: accounting; finance; asset pricing

摘要

We correlate analysts' forecast errors with temporal variation in investor sentiment. We find that when sentiment is high, analysts' forecasts of one-year-ahead earnings and long-term earnings growth are relatively more optimistic for uncertain or difficult-to-value firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory power of sentiment for the cross section of future returns. This finding provides direct support for the notion that investor sentiment affects the earnings expectations of hard-to-value firms. Additional tests suggest that this bias in expectations is unlikely to be strategic in nature. Our results provide new insight into the mechanism through which investor sentiment affects returns.