The Effect of Trading Volume on Analysts' Forecast Bias

被引:46
|
作者
Beyer, Anne [1 ]
Guttman, Ilan [1 ]
机构
[1] Stanford Univ, Stanford, CA 94305 USA
来源
ACCOUNTING REVIEW | 2011年 / 86卷 / 02期
关键词
analysts' forecasts; forecast bias; trading volume; trading commission; EARNINGS FORECASTS; SECURITY ANALYSTS; RECOMMENDATIONS; CREDIBILITY; INFORMATION; REPUTATION; MARKETS;
D O I
10.2308/accr.00000030
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study models the interaction between a sell-side analyst and risk-averse investors. It derives an analyst's optimal earnings forecast and investors' optimal trading decisions in a setting where the analyst's payoff depends on the trading volume the forecast generates as well as on the forecast error. In the fully separating equilibrium, we find that the analyst biases the forecast upward (downward) if his private signal reveals relatively good (bad) news. The model predicts that: (1) the analyst biases the forecast upward more often than downward and the forecast is on average optimistic; (2) the magnitude of the analyst's bias is increasing in the per-share benefit from trading volume he receives; and (3) the analyst's expected squared forecast error may increase in the precision of his private information. Finally, we characterize the circumstances under which the (rational) analyst acts as if he overweights or underweights his private information.
引用
收藏
页码:451 / 481
页数:31
相关论文
共 50 条
  • [1] Rationality and analysts' forecast bias
    Lim, T
    [J]. JOURNAL OF FINANCE, 2001, 56 (01): : 369 - 385
  • [2] Survey on forecast bias (analysts and earnings)
    Al-Thaqeb, Saud Asaad
    [J]. ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS, 2018, 25 (05) : 533 - 545
  • [3] International diversification and analysts' forecast accuracy and bias
    Duru, A
    Reeb, DM
    [J]. ACCOUNTING REVIEW, 2002, 77 (02): : 415 - 433
  • [4] CEO stock options and analysts’ forecast accuracy and bias
    Kiridaran Kanagaretnam
    Gerald J. Lobo
    Robert Mathieu
    [J]. Review of Quantitative Finance and Accounting, 2012, 38 (3) : 299 - 322
  • [5] CEO stock options and analysts' forecast accuracy and bias
    Kanagaretnam, Kiridaran
    Lobo, Gerald J.
    Mathieu, Robert
    [J]. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2012, 38 (03) : 299 - 322
  • [6] On the relation between forecast precision and trading profitability of financial analysts
    Marinelli, Carlo
    Weissensteiner, Alex
    [J]. JOURNAL OF FINANCIAL MARKETS, 2014, 20 : 39 - 60
  • [7] Do Trading Volume and Downside Trading Volume Help Forecast the Downside Risk?
    He, Zhifang
    Huang, Chuangxia
    Gong, Xu
    Yang, Xiaoguang
    Wen, Fenghua
    [J]. EURASIA JOURNAL OF MATHEMATICS SCIENCE AND TECHNOLOGY EDUCATION, 2017, 13 (12) : 8367 - 8382
  • [8] The Effect of Financial Analysts' Strategic Behavior on Analysts' Forecast Dispersion
    Liu, Xiaohui Gloria
    Natarajan, Ramachandran
    [J]. ACCOUNTING REVIEW, 2012, 87 (06): : 2123 - 2149
  • [9] VOLUME OF TRADING AND THE DISPERSION IN FINANCIAL ANALYSTS EARNINGS FORECASTS
    AJINKYA, BB
    ATIASE, RK
    GIFT, MJ
    [J]. ACCOUNTING REVIEW, 1991, 66 (02): : 389 - 401
  • [10] Analysts' Rationality and Forecast Bias: Evidence from Sales Forecasts
    David P. Mest
    Elizabeth Plummer
    [J]. Review of Quantitative Finance and Accounting, 2003, 21 (2) : 103 - 122