Who herds?

被引：148

作者：

Bernhardt, Dan

Campello, Murillo ^{[1
]}

Kutsoati, Edward

机构：

[1] Univ Illinois, Dept Finance, Champaign, IL 61820 USA

[2] Univ Illinois, Dept Econ, Champaign, IL 61820 USA

[3] Tufts Univ, Dept Econ, Medford, MA 02155 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2006年 / 80卷 / 03期

关键词：

earnings forecasting; financial analysts; herding; econometric test; contrarian behavior;

D O I：

10.1016/j.jfineco.2005.07.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper develops a test for herding in forecasts by professional financial analysts that is robust to (a) correlated information amongst analysts; (b) common unforecasted industry-wide earnings shocks; (c) information arrival over the forecasting cycle; (d) the possibility that the earnings that analysts forecast differ from what the econometrician observes, and (e) systematic optimism or pessimism among analysts. We find that forecasts are biased, but that analysts do not herd. Instead, analysts "anti-herd": Analysts systematically issue biased contrarian forecasts that overshoot the publicly-available consensus forecast in the direction of their private information. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：657 / 675

页数：19

共 16 条

[1] Biased forecasts or biased earnings? - The role of reported earnings in explaining apparent bias and over/underreaction in analysts' earnings forecasts [J].