Are Financial Analysts' Forecasts of Corporate Profits Rational?
开发了广义矩方法检验，发现考虑行业相关性及资产减记后，分析师每股收益预测是理性的，挑战了以往认为非理性的研究。
This paper develops generalized method‐of‐moments tests for the rationality of earnings per share forecasts made by individual stock analysts. We fail to reject the hypothesis of rationality as long as we take into account two complications: (1) the correlation in a given period of analysts' forecast errors in predicting earnings for firms in the same industry and (2) discretionary asset write‐downs, which affect earnings but are intentionally ignored by analysts when they make earnings forecasts. Our results challenge earlier work by De Bondt and Thaler and by Abarbanell and Bernard that found irrationality in analysts' forecasts.