Information Uncertainty and Analyst Forecast Behavior*
研究信息不确定性如何影响卖方分析师的预测偏差，发现不确定性越大，分析师对好消息和坏消息的反应越不足，支持分析师反应不足假说。
Abstract Prior literature observes that information uncertainty exacerbates investor underreaction behavior. In this paper, I investigate whether, as professional investment intermediaries, sell‐side analysts suffer more behavioral biases in cases of greater information uncertainty. I show that greater information uncertainty predicts more positive (negative) forecast errors and subsequent forecast revisions following good (bad) news, which corroborates previous findings on the post‐analyst‐revision drift. The opposite effects of information uncertainty on forecast errors and subsequent forecast revisions following good versus bad news support the analyst underreaction hypothesis and are inconsistent with analyst forecast rationality or optimism suggested in prior literature.