Financial Analysts Journal·VOL72,NO.5·September/October 2016

分析师季度盈利预测的分布尾部信息

作者：Cameron Truong (Finance at Monash University, Melbourne, Australia), Philip B. Shane (Accounting Department at the Raymond A. Mason School of Business, College of William & Mary, Williamsburg, Virginia), Qiuhong Zhao (Accounting at the College of Business, Texas A&M University, Corpus Christi)

摘要：投资者通常根据实际收益与两个基准之间的差额来衡量盈利公告新闻，这两个基准分别为：上一年度同一季度的收益和从金融分析师的预测分布中得出的共识。在此，我们评估第三个显著基准的影响：当实际收益超过共识时最乐观的预测，以及当共识超过实际收益时的最悲观预测。我们发现，考虑分析师盈利预测分布尾部的信息增强了盈余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 (Finance at Monash University, Melbourne, Australia), Philip B. Shane (Accounting Department at the Raymond A. Mason School of Business, College of William & Mary, Williamsburg, Virginia), Qiuhong Zhao (Accounting at the College of Business, Texas A&M University, Corpus Christi)

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：http://www.cfapubs.org/doi/pdf/10.2469/faj.v72.n5.7

翻译：赵胜旺