Do investor expectations affect sell-side analysts' forecast bias and forecast accuracy?

• 成果类型: Article
• 署名作者: Walther, Beverly R.; Willis, Richard H.
• 署名单位: Northwestern University; Vanderbilt University
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-012-9204-9
• 发表日期: 2013
• 页码: 207-227
• 关键词: EARNINGS FORECASTS; INFORMATION; Sentiment; performance

摘要

We examine the association between investor expectations and its components and sell-side analysts' short-run quarterly earnings forecast bias and forecast accuracy. To measure investor expectations, we use the Index of Consumer Expectations survey and decompose it into the fundamental component related to underlying economic factors (FUND) and the sentiment component unrelated to underlying economic factors (SENT). We find that analysts are the most optimistic and the least accurate when SENT is higher. Management long-horizon earnings forecasts attenuate the effects of SENT on forecast optimism and forecast accuracy. Analysts are also the most accurate when FUND is higher. Last, the market places more weight on unexpected earnings when SENT is high. These findings suggest that analysts are affected by investor sentiment and the market reacts more strongly to unexpected earnings when analyst forecasts are the least accurate. The last result potentially explains why prior research (for example, Baker and Wurgler, The Journal of Finance 61:1645-1680, 2006) finds an association between investor sentiment and cross-sectional stock returns.