Analysts’ and Investors’ Reactions to Consistent Earnings Signals
研究了当前季度盈利预期路径（由预测修正和盈利意外的符号定义）是否提供未来业绩信息，以及分析师和投资者对此的反应程度。结果发现，分析师对一致信号路径的盈利信息反应不足，且该路径对未来异常收益有增量解释力。
Abstract We investigate (1) whether the trajectory of the current‐quarter earnings expectation path (defined by the signs of the forecast revision and the earnings surprise) provides information about future firm performance, and (2) the extent to which analysts and investors react to that information. Our results indicate that analysts underreact more to earnings information revealed by consistent‐signal earnings expectation paths than to earnings information communicated by inconsistent‐signal expectation paths. We also find that the current earnings expectation path provides incremental explanatory power for future abnormal returns, even after controlling for the sign and magnitude of the earnings surprise. Overall, our evidence is consistent with underreaction stemming from analysts’ and investors’ bias in processing the information in consistent‐signal earnings expectation paths.