Inefficiency in Earnings Forecasts: Experimental Evidence of Reactions to Positive vs. Negative Information
通过实验研究分析师对正面和负面盈利信息的预测反应，发现系统性的反应不足，且对正面信息的反应不足更严重，表明之前发现的过度反应可能并非源于人类决策偏差。
Abstract Prior archival studies of analysts’ forecasts have found evidence for systematic underreaction, systematic overreaction, and systematic optimism bias. Easterwood and Nutt (1999) attempt to reconcile the conflicting evidence by testing the robustness of Abarbanell and Bernard's (1992) underreaction results to the nature of the information. Consistent with systematic optimism, forecasts are found to underreact to negative earnings information but overreact to positive information. However, Easterwood and Nutt are unable to distinguish between misreaction caused by incentives unique to analysts with misreaction caused by human decision bias that may be typical of investors. We address this issue by analyzing forecast reactions to positive versus negative information in the controlled experimental setting of Gillette, Stevens, Watts, and Williams (1999). The forecast data reveal systematic underreaction to both positive and negative information, and the underreaction is generally greater for positive information than negative information. This suggests that prior empirical evidence of forecast overreaction to positive information is unlikely to be attributable to human decision bias.