Analysts' Forecasts, Earnings, Variability, and Option Pricing: Empirical Evidence.
检验分析师预测分歧是否可作为市场对未来盈利不确定性的事前度量，发现其与意外盈利、公告日回报波动及期权隐含波动正相关。
Abstract ABSTRACT: This study investigates empirical relations that are consistent with the hypothesis that variance in analysts' forecasts of earnings (i.e., disagreement among analysts) is useful as an ex ante measure of the market's aggregate uncertainty regarding a future earnings signal. We hypothesize and test for a positive association between the variance of analysts' forecasts and (1) the ex post magnitude of unexpected earnings. (2) the ex post variance of returns around the actual earnings announcement date. and (3) the average variance of return to maturity implied by prices of options maturing after the earnings announcement date. Our results generally confirm that the disagreement among analysts' earnings forecasts Is a useful Indicator of the market's aggregate uncertainty regarding future earnings announcements.