The Effect of Financial Analysts' Strategic Behavior on Analysts' Forecast Dispersion
研究了分析师策略行为如何导致观测到的预测离散度低估真实离散度，平均低估53.4%，且偏差在不同公司间差异很大，对使用离散度衡量共识或信息质量的研究有重要启示。
ABSTRACT Financial analysts' forecast dispersion has been used in a variety of contexts in accounting and finance studies. In this study, we provide large sample evidence on the cross-sectional determinants of forecast dispersion and examine to what extent analysts' strategic behavior biases the observed dispersion from the dispersion of unmanaged forecasts. We propose a method to estimate the dispersion bias for each sample observation. We find that observed dispersion, on average, understates dispersion of unmanaged forecasts by 53.4 percent and this downward bias varies considerably across firms. We further discuss the implications of the significant cross-sectional variation in the bias in observed dispersion for studies that rely on dispersion to estimate constructs such as consensus and information quality as well as those that use dispersion directly in research design. Data Availability: The data are publicly available for the sources indicated.