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

分析師季度盈利預測的分布尾部信息

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：投資者通常根據實際收益與兩個基準之間的差額來衡量盈利公告新聞，這兩個基準分别為：上一年度同一季度的收益和從金融分析師的預測分布中得出的共識。在此，我們評估第三個顯著基準的影響：當實際收益超過共識時最樂觀的預測，以及當共識超過實際收益時的最悲觀預測。我們發現，考慮分析師盈利預測分布尾部的信息增強了盈餘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.

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

翻譯：趙勝旺