Information uncertainty and analyst forecast behavior

被引：149
|
作者：
Zhang, X. Frank [1 ]
机构：
[1] Yale Univ, New Haven, CT 06520 USA
来源：
CONTEMPORARY ACCOUNTING RESEARCH | 2006年 / 23卷 / 02期
关键词：
analyst forecast error; forecast revision; information uncertainty; underreaction;
D O I：
10.1506/92CB-P8G9-2A31-PV0R
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：565 / 590
页数：26
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