The Impact of Seasonal Affective Disorder on Financial Analysts

• 成果类型: Article
• 署名作者: Lo, Kin; Wu, Serena Shuo
• 署名单位: University of British Columbia; Queens University - Canada
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51953
• 发表日期: 2018
• 页码: 309-333
• 关键词: EARNINGS FORECASTS; weather; DECISION; time; RISK

摘要

We examine the impact of Seasonal Affective Disorder (SAD) on financial analysts. We hypothesize and find that analysts are more pessimistic, less precise, and more asymmetric in their boldness in the fall, as indicated by their forecasts of quarterly earnings. The effects are apparent in all forecast horizons analyzed and robust across multiple specifications. Importantly, pessimism in fall forecast revisions shows analyst-specific persistence, providing a strong indication that the effect is a result of SAD rather than other coincident factors. We also find evidence of a reversal in pessimism in the spring. Additional analyses show that analyst forecasts exhibit less seasonality than equity returns, and that the presence of analyst forecasts in the fall is associated with attenuation in the seasonal pattern in stock returns. Overall, the evidence suggests that SAD affects both financial analysts and equity investors, but the effect on the latter is stronger.