The Predictability of Future Aggregate Earnings Growth and the Relation between Aggregate Analyst Recommendation Changes and Future Returns
研究发现总分析师推荐变动与未来收益的关系随时间变化，取决于行业盈利增长的可预测性；当盈利增长更可预测时，推荐变动与未来收益负相关，反之则正相关，整体不支持分析师推荐能通过预测未来收益为投资者增值的说法。
ABSTRACT We extend prior research examining the relation between aggregate recommendation changes and future returns by documenting that this relation varies over time as a function of the predictability of future earnings growth. When industry-level earnings growth is more predictable, we find that recommendation changes relate negatively to future returns. Our evidence suggests that this negative relation results from analysts revising recommendations upward for higher expected earnings growth but failing to also adjust downward for a related decrease in expected returns arising from a decrease in investor risk aversion. In contrast, when industry-level earnings growth is less predictable, we find that recommendation changes relate positively to future returns. However, this positive relation results from analysts and investors similarly underestimating earnings growth persistence. Overall, the evidence fails to support the claim that analysts' recommendation changes incorporate aggregate information in a manner that adds value to investors by predicting future returns. JEL Classifications: A10; E10; E44; E52; G11; G14; M40; M41.