Noise in Expectations: Evidence from Analyst Forecasts
研究发现分析师预测的噪声和偏差随预测期限增加而增大，而信息优势衰减，这导致长期预测误差修正系数符号反转，与过度反应无关。
Abstract Analyst forecasts outperform econometric forecasts in the short run but underperform in the long run. We decompose these differences in forecasting accuracy into analysts’ information advantage, forecast bias, and forecast noise. We find that noise and bias strongly increase with forecast horizon, while analysts’ information advantage decays rapidly. A noise increase with horizon generates a mechanical reversal in the sign of the error-revision (Coibion-Gorodnichenko) regression coefficient at longer horizons, independently of over-/underreaction. A parsimonious model with bounded rationality and a noisy cognitive default matches the term structures of noise and bias jointly.