Investor and (Value Line) Analyst Underreaction to Information about Future Earnings: The Corrective Role of Non‐Earnings‐Surprise Information
发现分析师和投资者对盈利新闻反应不足，但会在下次盈利公告及期间的非盈利意外信息中纠正这种反应不足，且控制这些纠正信息能提高分析师预测行为对股价漂移的解释力。
Prior research suggests that financial analysts’ earnings forecasts and stock prices underreact to earnings news. This paper provides evidence that analysts and investors correct this underreaction in response to the next earnings announcement and to other (non‐earnings‐surprise) information available between earnings announcements. Our evidence also suggests that analysts and investors underreact to information reflected in analysts’ earnings forecast revisions and that non‐earnings‐surprise information helps correct this underreaction as well. Controlling for corrective non‐earnings‐surprise information significantly increases estimates of the degree to which analysts’ forecasting behavior can explain drifts in returns following both earnings announcements and analysts’ earnings forecast revisions.