Financial Analyst Journal, Volume 72, Issue 5, 2016

分析师季度盈利预测分布的尾部信息

作者：Cameron Truong (Monash University)

Philip B. Shane (College of William & Mary)

Qiuhong Zhao(Texas A&M University)

摘要：投资者通常根据实际收益和两个显著的基准之间的差异来衡量公司的盈利公告消息:即去年同期的实际收益和由金融分析师发布的预测所得出的共识。我们对第三个显著的基准结果进行评估:最乐观的预测，即当实际收益超过金融分析师的共识；最悲观的预测，即当金融分析师的预测超过实际收益。我们发现，在考虑了分析师盈利预测尾部分布的信息后，这些信息可以提高盈利后公告漂移策略的盈利能力。

Information in the Tails of the Distribution of Analysts’ Quarterly Earnings Forecasts

Cameron Truong (Monash University), Philip B. Shane(College of William&Mary), Qiuhong Zhao(Texas A&M University)

ABSTRACT

Investors generally measure earnings announcement news on the basis of the difference between actual earnings and two salient benchmarks: earnings in the same quarter the previous year and a consensus drawn from a distribution of forecasts by financial analysts. We evaluate the implications of a third salient benchmark: the most optimistic forecast when actual earnings exceed the consensus and the most pessimistic forecast when the consensus exceeds actual earnings. We find that considering the information in these tails of the distribution of analysts’ earnings forecasts enhances the profitability of post–earnings announcement drift strategies.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v72.n5.7

翻译：秦秀婷