EARNINGS EXPECTATIONS, FIRM SIZE, AND THE INFORMATIVENESS OF STOCK PRICES
比较了分析师预测、基于价格的模型和简单模型在预测盈利方面的准确性，发现分析师预测至少同样准确，且能更好地解释收益与盈利的关系，表明分析师可能拥有私有信息或更有效的信息处理能力。
The notion that prices impound a wide array of information, including market expectations, has led to earnings forecast models conditioned on prices. Yet, presumably, analysts’ forecasts capture both public information and certain private information not previously impounded in prices. Accordingly, price‐based models are seemingly an inefficient, and less effective, source of expecta‐tions. This article investigates this hypothesis using financial analysts', price‐based, and naive forecasts. Results indicate that analysts’ forecasts (1) are at least as accurate as price‐based and naive models, and (2) yield better expectations for market tests relating returns and earnings. These inferences are robust across different information environments. The evidence suggests that analysts either possess private information or are more effective information processors, or both.