Does Alternative Data Improve Financial Forecasting? The Horizon Effect
理论表明，短期导向的替代数据会诱使预测者将注意力从长期转向短期，从而提升短期预测准确性但损害长期预测。实证检验了分析师预测期限与社交媒体数据暴露的影响。
ABSTRACT Existing research suggests that alternative data are mainly informative about short‐term future outcomes. We show theoretically that the availability of short‐term‐oriented data can induce forecasters to optimally shift their attention from the long term to the short term because it reduces the cost of obtaining short‐term information. Consequently, the informativeness of their long‐term forecasts decreases, even though the informativeness of their short‐term forecasts increases. We test and confirm this prediction by considering how the informativeness of equity analysts' forecasts at various horizons varies over the long run and with their exposure to social media data.