Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?
通过分析信息性质与分析师反应类型的交互作用，区分了分析师预测中系统性反应不足、过度反应和乐观三种假说，发现分析师对负面信息反应不足、对正面信息过度反应，支持系统性乐观假说。
A rational analysis of analyst behavior predicts that analysts immediately and without bias incorporate information into their forecasts. Several studies document analysts' tendency to systematically underreact to information. Underreaction is inconsistent with rationality. Other studies indicate that analysts systematically overreact to new information or that they are systematically optimistic. This study discriminates between these three hypotheses by examining the interaction between the nature of information and the type of reaction by analysts. The evidence indicates that analysts underreact to negative information, but overreact to positive information. These results are consistent with systematic optimism in response to information.