分析师盈余预测修正中的参考点效应

Reference Point Effects in Analysts'Earnings Forecast Revisions

已有研究指出,完美市场中卖方分析师应该只关注股票最新的基本面信息,其决策与过时信息无关。本文则发现,分析师盈余预测修正会受到前期信息的影响,即公司前一期的基本面信息(未预期盈余,SUE)会成为分析师对当期基本面信息的认知参考点。具体而言,如果最新SUE相对于前一期SUE具有凸显性,分析师更有可能根据最新SUE修正其盈余预期,并且明星分析师和非明星分析师都会依赖参考点进行决策。进一步研究发现,上述现象不能被信息波动、分析师乐观偏差和利益冲突等理论所解释。本文还发现,上市公司管理者有可能利用信息接收者的上述参考点依赖,通过盈余管理获取更大的市场影响力。本文为参考点理论提供新的证据,表明信息在时间维度的变化和凸显性对分析师决策行为有重要影响。

This paper studies the impact of the Reference Point Effects on financial markets. Previous studies have pointed out that rational analysts should revise their forecasts based on the latest information regarding the prospect of stocks,regardless the prior information. In behavioral finance theory, the individual derives utility not from final wealth levels but rather from gains and losses measured relative to some reference point or prior information, just as we are more sensitive to changes in brightness, loudness, or temperature than to the absolute levels of these factors.In this paper, it is found that the revision of analysts’ earnings forecast is influenced by prior information(reference point). Analysts’ forecast data are considered an optimal setting for the use of studying how beliefs of market participants deviate from rational hypothesis. As professionals, analysts’ earnings forecasts are real and genuine, which could help mitigate the concerns about subjectivity. More importantly, analysts’ forecasts are complex tasks, which are easily affected by irrelevant information or salient effects. Specifically, we find that analysts are more likely to revise their forecasts upward(or downward) after good(or bad) earnings surprises when one of the previous earnings surprises was negative(or positive),and star analysts as well as non-star analysts all rely on reference points to make decisions. In addition, the study shows that traditional theories such as information fluctuation, analysts’ optimism bias and interest conflict alone cannot offer a unified rationale for these phenomena.This paper provides new evidence for the Reference Point Theory, showing that the changes in the sign of earnings surprises(Salience Effects) have an important impact on the decision-making behavior of analysts. Not surprisingly, firms might have an interest in manipulating earnings and choosing the timing of information releases when they interact with financial markets populated by investors prone to reference point dependence.