Irrational Analysts' Expectations as a Cause of Excess Volatility in Stock Prices
研究分析师对长期盈利增长的预期是否非理性，并导致股价过度波动。通过面板回归发现，分析师预测与后续盈利增长无关，且预测误差与超额收益负相关，支持假设。
This paper investigates whether excess stock price volatility may be due in part to a failure of the market to form rational expectations. Using data on analysts' expectations of long run earnings growth for individual companies, we report a number of interelated results which lend support to this hypothesis. First we show that there is no statistically significant relationship between analysts' long run forecasts and subsequent earnings growth, suggesting that analysts' earnings expectations are excessively dispersed. Secondly, we provide evidence that analysts' expectations are reflected in market prices. These two results together imply that the cross-section of stock prices will also be excessively dispersed, so that stocks with low earnings expectations are underpriced and stocks with high earnings expectations are overpriced. As analysts' forecasts errors become apparent, stock prices should adjust accordingly and so excess returns should accrue. We demonstrate that analysts' forecasts are indeed negatively correlated with subsequent excess returns. All hypothesis testing uses panel regression techniques, and to circumvent the problem of cross-sectional dependence in the data we use a generalised method of moments estimator of the parameter covariance matrix.