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A note on analysts' earnings forecast errors distribution
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DOI：10.1016/j.jacceco.2003.11.002.png)
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Abstract
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Abarbanell and Lehavy provide evidence that analysts' forecast errors are not normally distributed exhibiting a high occurrence of extreme negative forecast errors (left-tail asymmetry) and a high occurrence of small positive forecast errors (middle asymmetry). This is important for researchers who rely on techniques that are sensitive to the distributional assumptions of analysts' forecast errors. Many of the conclusions drawn by Abarbanell and Lehavy, however, are based on visual impressions (as opposed to formal empirical tests) or based on methods that are very sensitive to the empirical methods used (e.g., whether the serial correlation of forecast errors is caused by the left-tail asymmetry). (C) 2003 Elsevier B.V. All rights reserved.
Keywords:
analysts' forecasts
analysts' bias
analysts' under/overreaction to information
analysts' loss function
discretionary accruals
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