Do Investors Learn About Analyst Accuracy?

29 Pages Posted: 20 Sep 2006

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: September 4, 2006

Abstract

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. Our test market is the crude oil futures market. Prices rise when analysts forecast a decrease (increase) in crude supplies. In the 15 minutes following supply realizations, prices rise (fall) when forecasts have been too high (low). In both the initial price action relative to forecasts and in the subsequent reaction relative to realized forecast errors, the price response is stronger for more accurate analysts. These price reactions imply that investors learn about analyst accuracy and trade accordingly.

Keywords: learning, financial analyst, forecast, accuracy

JEL Classification: D83, G12, G14

Suggested Citation

Chang, Charles and Daouk, Hazem and Wang, Albert, Do Investors Learn About Analyst Accuracy? (September 4, 2006). Available at SSRN: https://ssrn.com/abstract=931704 or http://dx.doi.org/10.2139/ssrn.931704

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

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 (Contact Author)

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

248 Warren Hall
Ithaca, NY 14853
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
260
Abstract Views
1,813
rank
118,161
PlumX Metrics