Overreaction and underreaction in analysts' forecasts

被引：64
作者：
Amir, E
Ganzach, Y [1 ]
机构：
[1] Tel Aviv Univ, Fac Management, IL-69978 Tel Aviv, Israel
[2] Columbia Univ, Grad Sch Business, New York, NY 10027 USA
来源：
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 1998年 / 37卷 / 03期
关键词：
analysts' earnings forecasts; forecasts errors; overreaction; underreaction; optimism;
D O I：
10.1016/S0167-2681(98)00092-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We examine hypotheses derived from behavioral decision theory regarding conditions that lead to overreaction and conditions that lead to underreaction in analysts' earnings forecasts. We argue that three heuristics jointly influence earnings forecasts: leniency, representativeness and anchoring and adjustment. We present a model for the concurrent influence of these heuristics on forecast errors, and examine three predictions of this model: (1) that there is a tendency towards overreaction in forecast changes and underreaction in forecast revisions, (2) that there is overreaction to positive forecast modifications and underreaction to negative forecast modifications, and (3) that these biases increase with the forecast horizon. (C) 1998 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：333 / 347
页数：15
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