Identifying Consensus Analysts’ Earnings Forecasts that Correctly and Incorrectly Predict an Earnings Increase
研究发现共识分析师预测一年后盈利增长时，28.9%的预测是错误的；正确和错误预测的公司分别带来14.8%和-25.7%的平均异常收益。本文构建了一个模型，利用分析师特征、盈利可预测性和基本面分析来区分预测的正确性，基于该模型的交易策略年均异常收益达14.1%。
Abstract: This study observes that consensus analysts’ forecasts incorrectly predict an increase in one‐year‐ahead earnings in 28.9% of the firm‐year observations, and that correct (incorrect) firms generate 14.8% (−25.7%) abnormal returns over the next year, on average. The ability to anticipate when analysts’ predicted earnings increases will or will not materialize is therefore potentially important to investors and investment fund managers. This paper develops an empirical model that predicts when analysts’ forecasts will correctly (versus incorrectly) anticipate the direction of the change in upcoming earnings, by exploiting information in (a) the nature of analysts’ characteristics and firms’ earnings predictability, and (b) fundamental analysis of firms’ earnings growth. The model successfully distinguishes between forecasted earnings increases that do (versus do not) materialize and a trading strategy that takes long (short) positions in the portfolio the model identifies as more (less) likely correct generates an average annual abnormal return of 14.1%.