Investor Sentiment and Analysts' Earnings Forecast Errors
研究发现，当投资者情绪高涨时，分析师对不确定或难以估值公司的短期和长期盈利预测更为乐观，这些预测误差能解释情绪对未来股票收益的大部分影响。
We correlate analysts' forecast errors with temporal variation in investor sentiment. We find that when sentiment is high, analysts' forecasts of one-year-ahead earnings and long-term earnings growth are relatively more optimistic for “uncertain” or “difficult-to-value” firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory power of sentiment for the cross section of future returns. This finding provides direct support for the notion that investor sentiment affects the earnings expectations of hard-to-value firms. Additional tests suggest that this bias in expectations is unlikely to be strategic in nature. Our results provide new insight into the mechanism through which investor sentiment affects returns. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.