Effect of Analysts' Optimism on Estimates of the Expected Rate of Return Implied by Earnings Forecasts
发现分析师盈利预测的乐观偏差导致隐含预期收益率估计偏高2.84%，并指出该偏差可能使权益溢价估计失真，且偏差随公司规模和分析师推荐而变化。
ABSTRACT Recent literature has used analysts' earnings forecasts, which are known to be optimistic, to estimate implied expected rates of return, yielding upwardly biased estimates. We estimate that the bias, computed as the difference between the estimates of the implied expected rate of return based on analysts' earnings forecasts and estimates based on current earnings realizations, is 2.84%. The importance of this bias is illustrated by the fact that several extant studies estimate an equity premium in the vicinity of 3%, which would be eliminated by the removal of the bias. We illustrate the point that cross‐sample differences in the bias may lead to the erroneous conclusion that cost of capital differs across these samples by showing that analysts' optimism, and hence, bias in the implied estimates of the expected rate of return, differs with firm size and with analysts' recommendation. As an important aside, we show that the bias in a value‐weighted estimate of the implied equity premium is 1.60% and that the unbiased value‐weighted estimate of this premium is 4.43%.