Analyst Underreaction in the United Kingdom
用英国1990-1996年数据，提出新方法区分盈利反转和动量，发现分析师对盈利动量尤其是向下动量反应不足，且当分析师所在商业银行担任公司经纪商时反应不足更严重，这被解释为报告偏差。
We revisit the debate on the interpretation given to prior-year earnings changes in predicting analysts' future forecast errors. We advance a new specification of this relation that distinguishes between earnings reversion and momentum. For a large UK dataset for the years 1990-1996, we find substantial underreaction, particularly in situations of earnings momentum. We find that underreaction is further increased for cases of downward earnings momentum when the analyst's merchant bank acts as a broker to the company. We interpret this as a reporting bias caused by an analyst's response to bad news being compromised.