Over‐Reaction by Security Market Analysts: The Impact of Broker Status and Firm Size

Abstract

The aim of this study is to provide an examination of short‐term earnings forecasts for evidence of systematic over‐reaction. Analysts' predicted changes in earnings are compared with the realised changes to identify the contribution of systematic error (bias and generalised over‐reaction) to the mean square error. A second analysis investigates whether analysts over‐react to prior earnings changes. For both analyses, the impact of firm size and analysts' broker status are investigated.

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