The Accounting Review, May 2018, Vol. 93, No. 3, pp. 349-377.

投资者是否完全揭示了卖方分析师盈利预期中的持续性悲观情绪？

作者：David Veenman (University of Amsterdam, Netherlands), Patrick Verwijmeren (The University of Melbourne, Australia)

摘要

这项研究提供了证据，表明投资者没有完全揭示卖方分析师盈利预期中的悲观情绪。我们发现，先验共识和个体分析师悲观预期的测度，既能预测企业盈利意外的迹象，也能预测企业财报公布前后的股价回报。也就是说，我们发现具有相对高的悲观预测概率的公司比低概率的公司的公告收益要高得多。重要的是，我们表明，这些发现是由分析师短期预测中可预见的悲观情绪所驱动的，而不是长期预测中的乐观情绪。我们进一步发现，这种错误定价与投资者识别预期悲观情绪差异的难度有关。总的来说，我们得出的结论是，市场价格不能完全反映分析师悲观的短期预测所产生的公司达到或超过盈利预期的条件概率。

Do Investors Fully Unravel Persistent Pessimism in Analysts' Earnings Forecasts?

David Veenman (University of Amsterdam, Netherlands), Patrick Verwijmeren (The University of Melbourne, Australia)

ABSTRACT

This study presents evidence suggesting that investors do not fully unravel predictable pessimism in sell-side analysts' earnings forecasts. We show that measures of prior consensus and individual analyst forecast pessimism are predictive of both the sign of firms' earnings surprises and the stock returns around earnings announcements. That is, we find that firms with a relatively high probability of forecast pessimism experience significantly higher announcement returns than those with a low probability. Importantly, we show that these findings are driven by predictable pessimism in analysts' short-term forecasts, as opposed to optimism in their longer-term forecasts. We further find that this mispricing is related to the difficulty investors have in identifying differences in expected forecast pessimism. Overall, we conclude that market prices do not fully reflect the conditional probability that a firm meets or beats earnings expectations as a result of analysts' pessimistically biased short-term forecasts.

原文链接：http://www.aaajournals.org/doi/abs/10.2308/accr-51867

翻译：阙江静