Analysts’ Reputational Concerns, Self-Censoring, and the International Dispersion Effect
研究发现，在信息更透明、股市更发达的国家，分析师因声誉担忧而自我审查低预测，导致预测离散度与未来收益负相关及预测偏差更强，亚洲金融危机后马来西亚的资本管制削弱了这一效应。
Stocks with higher forecast dispersion earn lower future returns and have a greater upward bias in the mean reported earnings forecast in international markets. Both phenomena are stronger in countries with more transparent information environments, more developed stock markets, stronger investor protection, greater capital openness, and more intense usage of analysts’ earnings forecasts. Using the 1997–1998 Asian financial crisis as a natural experiment, we find that both phenomena become weaker postcrisis in Malaysia, which imposed capital controls, relative to Thailand and South Korea, which opened their financial markets to foreigners. These results suggest that analysts in countries with greater demand for their forecasts and hence greater concerns for reputations are more likely to self-censor their low forecasts, which leads to a stronger dispersion–bias relation and a stronger dispersion effect. The online appendix is available at https://doi.org/10.1287/mnsc.2016.2642 . This paper was accepted by Wei Jiang, finance.