Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
研究股价过度波动是否部分源于市场未能形成理性预期，利用分析师对长期盈利增长的预期数据，发现低预期股票被低估、高预期股票被高估，随后价格调整产生超额收益。
This paper investigates whether excess stock price volatility may be due in part to a failure of the market to form rational expectations. Using data on analysts' expectations of long run earnings growth for individual companies, we report a number of interrelated results which lend support to this hypothesis. These results together imply that the cross‐section of stock prices will also be excessively dispersed, so that stocks with low earnings expectations are underpriced and stocks with high earnings expectations are overpriced. As analysts' forecasts errors become apparent, stock prices adjust accordingly and so excess returns accrue.