Do Investors Learn About Analyst Accuracy? A Study of the Oil Futures Market

Journal of Futures Markets, Vol. 29, pp. 414-429, 2009

Posted: 6 Jan 2010

See all articles by Charles Chang

Charles Chang

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Hazem Daouk

Cornell University - School of Applied Economics and Management

Albert Wang

Cornell University - School of Applied Economics and Management

Date Written: January 5, 2010

Abstract

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. The straight-forward relationship between supply and price, the economic importance of the market, the predictable timing of forecast error realizations, and the high frequency of the data make the crude oil market an interesting and advantageous setting. We find that prices rise (fall) when analysts forecast a decrease (increase) in supplies. During the 15 minutes following supply announcements, prices rise (fall) when forecasts have been too high (low). Importantly, both relationships are stronger for more accurate analysts, implying that investors learn about analyst accuracy.

Keywords: Analyst, forecast, learning, oil, futures

JEL Classification: D83, G12, G14

Suggested Citation

Chang, Charles and Daouk, Hazem and Wang, Albert, Do Investors Learn About Analyst Accuracy? A Study of the Oil Futures Market (January 5, 2010). Journal of Futures Markets, Vol. 29, pp. 414-429, 2009. Available at SSRN: https://ssrn.com/abstract=1531886

Charles Chang

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )

Shanghai Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Hazem Daouk (Contact Author)

Cornell University - School of Applied Economics and Management ( email )

446 Warren Hall
Ithaca, NY 14853
United States
331-45-78-63-88 (Fax)

HOME PAGE: http://courses.cit.cornell.edu/hd35/

Albert Wang

Cornell University - School of Applied Economics and Management ( email )

248 Warren Hall
Ithaca, NY 14853
United States

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