The Market's Assessment of the Probability of Meeting or Beating the Consensus
研究了市场是否有效利用预测企业盈利能否达到分析师共识预测的信息，发现市场对部分预测变量使用不足，且基于客观与市场评估概率差异构建的投资组合能获得显著异常收益。
Abstract We investigate to what extent the market uses information that is predictive of whether earnings will meet or beat the analyst consensus forecast of earnings ( MBE henceforth): measures of a firm's incentives to engage in MBE behavior, measures of constraints on MBE , measures of past MBE practices by firm and industry, and other variables. Using the Mishkin test framework and Bonferroni‐adjusted p ‐values, we document that of a total of 21 variables, the market inefficiently uses information in one difficulty measure and four other predictors, suggesting that strong empirically and theoretically grounded relationships concerning MBE behavior are more likely to be unraveled by the market. We further show that a portfolio based on the difference between the objective MBE probability and the market‐assessed MBE probability generates significant abnormal returns. The documented return anomaly is distinct from other known anomalies and cannot be fully explained by arbitrage risk or transaction costs.