A Quantitative Analysis of Distortions in Managerial Forecasts
A Quantitative Analysis of Distortions in Managerial Forecasts
复制标题
管理预测偏差的定量分析
DOI：
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发表时间：
2018
期刊：
影响因子：
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通讯作者：
D. Thesmar
中科院分区：
文献类型：
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作者：
Yueran Ma;Tiziano Ropele;D. Sraer;D. Thesmar
本文量化了管理预测失真的经济成本。我们将意大利银行进行的一项独特的管理调查与公司资产负债表和损益表的管理数据相匹配。由此产生的数据集，使我们能够观察到一个长面板的管理预测误差的样本公司代表意大利经济。我们发现，管理预测误差是积极的，显着的自相关。这种预测误差的持续存在与管理层对新信息的反应不足是一致的。为了量化这种预测偏差的经济意义，我们估计了一个动态均衡模型与异质企业和扭曲的预期。估计模型不仅匹配预测误差的持续性，但投资和管理预测之间的经验联系。相对于理性预期的反事实，我们发现管理者表现出很大的预测偏差，这导致了公司层面投资的显着扭曲。然而，这些扭曲意味着公司价值的损失有限。在一般均衡中，估计模型导致的扭曲预测的总效率损失可以忽略不计。
This paper quantifies the economic costs of distortions in managerial forecasts. We match a unique managerial survey run by the Bank of Italy with administrative data on firm balance sheets and income statements. The resulting dataset allows us to observe a long panel of managerial forecast errors for a sample of firms representative of the Italian economy. We show that managerial forecast errors are positively and significantly autocorrelated. This persistence in forecast error is consistent with managerial underreaction to new information. To quantify the economic significance of this forecasting bias, we estimate a dynamic equilibrium model with heterogeneous firms and distorted expectations. The estimated model matches not only the persistence of forecast errors, but the empirical link between investment and managerial forecasts. Relative to a counterfactual with rational expectations, we find that managers exhibit large forecasting biases, which lead to significant distortions in firm-level investment. These distortions, however, imply limited loss in firm value. In general equilibrium, the estimated model leads to negligible aggregate efficiency losses from distorted forecasts.