Serial Correlation in Management Earnings Forecast Errors
Serial Correlation in Management Earnings Forecast Errors
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DOI：
10.1111/j.1475-679x.2011.00407.x
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发表时间：
2011-06-01
影响因子：
4.4
通讯作者：
Wang, Jeff J.
中科院分区：
文献类型：
--
作者：
Gong, Guojin;Li, Laura Y.;Wang, Jeff J.
我们研究了管理层盈利预测误差是否表现出序列相关性，以及分析师如何理解管理层预测误差（MFE）的序列相关性。如果管理者有效地处理先前预测错误中的信息并通过管理预测如实地传达其盈利预期，则MFE不应表现出序列相关性。然而，对于长期管理层预测的年度盈利，我们发现显着的正序列相关性在MFE，样本自我选择似乎并没有驱动这一现象。进一步的分析表明，管理者的无意信息处理偏见有助于这种积极的序列相关。分析师预计跨期的MFE的持久性，但低估了持久性水平时，对管理层的预测。我们的研究结果对那些依赖管理层预测来形成盈利预期的市场参与者具有一定的启示，同时也揭示了管理层决策的效率。
We examine whether management earnings forecast errors exhibit serial correlation and how analysts understand the serial correlation property of management forecast errors (MFEs). MFEs should not exhibit serial correlation if managers efficiently process information in prior forecast errors and truthfully convey their earnings expectations through management forecasts. However, for long-horizon management forecasts of annual earnings, we find significantly positive serial correlation in MFEs, and sample self-selection does not seem to drive this phenomenon. Further analyses suggest that managers' unintentional information processing bias contributes to this positive serial correlation. Analysts anticipate the intertemporal persistence of MFEs but underestimate the persistence level when reacting to management forecasts. Our findings have implications for market participants who rely on management forecasts to form earnings expectations, and also shed light on the efficiency of managerial decision making.