Document Type
Article
Department/Program
Business
Pub Date
2016
Journal Title
Financial Analysts Journal
Volume
72
Issue
5
Abstract
Investors generally measure earnings announcement news on the basis of the difference between actual earnings and two salient benchmarks: earnings in the same quarter the previous year and a consensus drawn from a distribution of forecasts by financial analysts. We evaluate the implications of a third salient benchmark: the most optimistic forecast when actual earnings exceed the consensus and the most pessimistic forecast when the consensus exceeds actual earnings. We find that considering the information in these tails of the distribution of analysts' earnings forecasts enhances the profitability of post earnings announcement drift strategies.
DOI
10.2469/faj.v72.n5.7
First Page
84
Recommended Citation
Truong, C., Shane, P. B., & Zhao, Q. (2016). Information in the tails of the distribution of analysts’ quarterly earnings forecasts. Financial Analysts Journal, 72(5), 84-99.
