The Predictability of Analyst Forecast Revisions
研究发现分析师对两年后每股收益的预测修正是可预测的，投资者可据此构建对冲组合获得异常收益，且该收益在分析师覆盖度低的公司中更显著。
The most prevalent forecasts of firms’ long-term earnings issued by analysts are 2-year-ahead earnings per share (EPS) estimates. When introduced by analysts, 2-year-ahead EPS estimates set market expectations for firms’ future earnings. Subsequent revisions to these estimates are highly correlated with contemporaneous changes in stock prices. We examine whether such revisions are sufficiently predictable to enable investors to earn abnormal returns on hedged portfolios. We find that analyst forecast revisions are predictable and document an implementable strategy for investors. Consistent with investors’ fixation on unscaled EPS, the strategy earns positive abnormal returns using unscaled EPS revisions but not when revisions are scaled by the level of the EPS estimate or the stock price. Abnormal returns are found for firms with low analyst coverage, consistent with a greater initial mispricing from analyst optimism for firms with poorer information environments.