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Brown bag seminar - Hendro Sugandi, (SHoF/SSE), Disagreement Between Investors and Analysts

Hendro Sugandi, Swedish House of Finance at the Stockholm School of Economics

Job Market Paper presentation.

The abstract is as follow: 

This study examines differences in expectations, about firms’ earnings, between analysts and investors around earnings announcement. Stocks with high (low) analysts’ consensus earnings forecasts have positive (negative) earnings announcement returns, even after controlling for analysts’ forecast error. This finding demonstrates that analysts’ expectations are not fully reflected in prices prior to earnings announcement days, and investors systematically underweight analysts’ consensus forecasts. On average, aggregate investors are more optimistic (pessimistic) compared to analysts’ consensus forecasts for stocks with low (high) analysts’ consensus earnings forecasts. The differences in expectations are particularly strong in stocks that are difficult to value. 

 

Dept. of Finance

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