Investor Sophistication and Market Earnings Expectations
研究成熟投资者是否更依赖分析师预测而非时间序列模型来形成盈利预期，并探讨信息使用与投资者成熟度及信息程度的关系。
This paper investigates whether sophisticated investors rely more on analyst forecasts than on time-series model forecasts in forming expected earnings. Although analyst forecasts are generally more accurate than time-series model forecasts (e.g., O'Brien [1988]), analyst forecasts are not clearly superior to time-series model forecasts as a proxy for expected earnings (e.g., Brown et al. [1987b]). Recent research has concluded that earnings expectations reflected in stock prices at least partially reflect a seasonal random walk (SRW) model (Bernard and Thomas [1990] and Abarbanell and Bernard [1992]). In particular, Ball and Bartov [1996] find that market earnings expectations incorporate the sign of the serial correlation in seasonally differenced earnings but underestimate the correlation magnitude (see also Maines and Hand [1996]). These findings suggest that at least some market participants ignore public information in forming expected earnings; I examine whether information usage is correlated with investor sophistication and/or the degree to which investors are informed.