Abstract
This study examines the information content and informational efficiency of consensus analysts' forecasts in an Australian setting. Consistent with Lys and Sohn (1990) and Abarbanell (1991), analysts' forecasts were found to possess information content but did not incorporate all publicly available information. The empirical analysis in this paper suggests that negative security returns are associated with higher forecast errors. This contrasts with the results of Lys and Sohn (1990) and is consistent with a positive bias in forecasts. However, this did not preclude analysts' forecasts from being viable proxies for the market's expectations of future earnings.
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Additional information
Michael Aitken, Alex Frino and Roland Winn are Professor, Senior Lecturer and Associate Lecturer, respectively, at the University of Sydney. The authors thank McIntosh Securities for the use of the McBARCEP database. However, the views expressed in this paper are those of the authors and are not intended to represent those of McIntosh Securities Ltd. The authors also thank two anonymous referees, Wai-Ming Fong and other participants at the Second Annual Asia-Pacific Finance Conference. The corresponding author for this paper is Roland Winn, Department of Finance H03, University of Sydney, NSW 2006, Australia.
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Aitken, M., Frino, A. & Winn, R. Consensus analysts' earnings forecasts and security returns. Asia Pacific J Manage 13, 101–110 (1996). https://doi.org/10.1007/BF01733819
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DOI: https://doi.org/10.1007/BF01733819