An Empirical Estimation of the Investor Loss Function Associated with the Use of Analysts' Forecasts of Earnings
实证估计了投资者因使用分析师盈利预测而产生的损失函数，发现损失与预测误差的关系存在不对称性：高估时损失为误差的二次函数，低估时为线性函数。
The aggregate investor loss function associated with the use of analysts' forecasts of earnings expresses the relation between loss and prediction error. Prior research suggested that the shape of this loss function should provide guidance in decision rules for investors. This study empirically estimates the investor loss function and finds an asymmetry in the relation between loss and analysts' prediction error. For overestimates of earnings, loss is a quadratic function of error; while for underestimates of earnings, loss is a linear function of error.