Evidence That Management Earnings Forecasts Do Not Fully Incorporate Information in Prior Forecast Errors
发现管理层在后续盈利预测中低估了先前预测误差所蕴含的信息，且这种低估在长期预测中更明显；市场同样对此反应不足，导致盈利公告后出现可预测的股票收益。
Abstract: This paper investigates whether managers fully incorporate the implications of their prior earnings forecast errors into their future earnings forecasts and, if not, whether this behavior is related to the post‐earnings announcement drift. I find a positive association in consecutive management forecast errors, suggesting that managers underestimate the future implications of past earnings information when forecasting earnings. I also find that managers underestimate the information in their prior forecast errors to a greater extent when they make earnings forecasts with a longer horizon. Finally, I find that, similar to managers, the market also underreacts to earnings information in management forecast errors, which leads to predictable stock returns following earnings announcements.