经济与金融系学术讨论会第202期

题目：Decomposing Analyst Consensus Revision and Stock Return Predictability

演讲人：曹正宇（对外经济与贸易大学 助理教授）

时间：2024年3月12日（周二）12:00-13:00

地点：同济大厦A楼505室

同步#腾讯会议：916994885

会议密码：411631

链接：https://meeting.tencent.com/dm/CyE43UUGG5Yn

摘要：This paper estimates a stickiness parameter for each individual analyst to measure the degree of stickiness in expectation updating. By decomposing analyst consensus revision into consensus revision of sticky analysts and that of non-sticky analysts, we find that the former component can significantly positively forecast future stock returns while the latter component cannot. A value-weighted trading strategy that is long stocks in the decile with the highest sticky consensus revision and short stocks in the decile with the lowest sticky consensus revision earns a monthly Fama-French six-factor alpha of 0.850% (t-statistic=4.55), a monthly Hou-Mo-Xue-Zhang q5-factor alpha of 0.832% (t-statistic=3.54) and significantly positive alphas relative to other recent factor pricing models. We also find that for the same level of forecast revision, the market exhibits similar initial reactions to revisions made by sticky analysts and those made by non-sticky analysts. However, revisions of sticky analysts are usually followed by subsequent price drift while those of non-sticky analysts are not. Our results suggest that investors do not unravel analysts’ predictable sticky updating behavior, leading to market underreaction and return predictability.

简介：曹正宇，现任对外经济贸易大学中国金融学院投资系助理教授,对外经济贸易大学青岛研究院财富管理研究中心副主任，硕士生导师。主要研究方向为理论资产定价、实证资产定价、量化宏观金融，研究工作侧重基于新古典经济理论的定价模型和基于市场的实证检验。曹正宇毕业于美国俄亥俄州立大学费雪商学院，获金融学博士学位。