Underreaction to Industry‐Wide Earnings and the Post‐Forecast Revision Drift
研究发现分析师预测修正后的股价漂移主要源于投资者对行业层面盈利信息的反应不足，而非公司特定信息，且投资者未能充分理解行业基本面导致的盈利持续性差异。
ABSTRACT We test whether the post‐forecast revision drift is mainly attributable to investors’ underreaction to industry‐wide earnings news conveyed by analysts’ forecast revisions. We find a large drift associated with industry‐wide earnings news but no drift associated with firm‐specific earnings news. Consistent with the functional fixation hypothesis, we provide evidence that the post‐forecast revision drift is driven by investors’ underreaction to the higher persistence of industry‐wide earnings. Although prior research has focused on differential persistence of earnings components stemming from managerial reporting discretion, we provide evidence suggesting that investors do not fully understand the differential earnings persistence attributable to industry fundamentals.