Information uncertainty and analyst forecast behavior

• 成果类型: Article
• 署名作者: Zhang, X. Frank
• 署名单位: Yale University
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1506/92CB-P8G9-2A31-PV0R
• 发表日期: 2006
• 页码: 565-590
• 关键词: EARNINGS FORECASTS; INVESTOR PSYCHOLOGY; disclosure; revisions; MARKET; tests; RISK; BIAS

摘要

Prior literature observes that information uncertainty exacerbates investor underreaction behavior. In this paper, I investigate whether, as professional investment intermediaries, sell-side analysts suffer more behavioral biases in cases of greater information uncertainty. I show that greater information uncertainty predicts more positive (negative) forecast errors and subsequent forecast revisions following good (bad) news, which corroborates previous findings on the post-analyst-revision drift. The opposite effects of information uncertainty on forecast errors and subsequent forecast revisions following good versus bad news support the analyst underreaction hypothesis and are inconsistent with analyst forecast rationality or optimism suggested in prior literature.