Information in the Tails of the Distribution of Analysts’ Quarterly Earnings Forecasts
研究了分析师盈利预测分布中极端预测（最乐观或最悲观）作为第三基准对盈利公告后漂移策略盈利性的增强作用。
Investors generally measure earnings announcement news on the basis of the difference between actual earnings and two salient benchmarks: earnings in the same quarter the previous year and a consensus drawn from a distribution of forecasts by financial analysts. We evaluate the implications of a third salient benchmark: the most optimistic forecast when actual earnings exceed the consensus and the most pessimistic forecast when the consensus exceeds actual earnings. We find that considering the information in these tails of the distribution of analysts’ earnings forecasts enhances the profitability of post–earnings announcement drift strategies.