Do Differences in Analyst Quality Matter for Investors Relying on Consensus Information?
研究了投资者能否从分析师质量差异中获益，发现高质量分析师预测的准确性优势不显著，但其预测离散度能帮助投资者预测波动率并利用期权策略获得显著收益。
This study investigates whether investors can reap economic benefits from analyzing differences in analyst quality. Although high-quality analysts’ average forecast is more accurate than the consensus forecast for firms with a large analyst following, the benefits of using high-quality analysts’ average forecasts are not economically significant. In contrast, the value of analyst quality differentiation exists in the second moment of forecasts. High-quality analysts’ forecast dispersion gives investors an advantage in dealing with uncertainty by predicting return volatility and providing opportunities for economically significant returns using option straddle and post-earnings announcement drift investment strategies. This paper was accepted by Suraj Srinivassan, accounting. Funding: A. Rubin and A. Vedrashko thank the financial support of the Social Sciences and Humanities Research Council of Canada (SSHRC). Supplemental Material: The data are available at https://doi.org/10.1287/mnsc.2023.4699 .