主题：Heterogeneous Overreaction in Expectation Formation:Evidence and Theory
主讲人：裴光宇 香港中文大学
主持人：上官若 暨南大学
时间：2023年4月14日（周五）11：00
地点：暨南大学石牌校区经济学院大楼（中惠楼）102室
摘要
Using firm-level earnings forecasts and managerial guidance data, we construct guidance surprises for analysts, i.e., differences between managerial guidance and analysts’ initial forecasts. We document new evidence on expectation formation: (i) analysts overreact to guidance surprises; (ii) the overreaction is state-dependent, i.e., it is stronger for negative guidance surprises but weaker for larger surprises; and (iii) forecast revisions are neither symmetric in guidance surprises nor monotonic. We organize these facts with a model where analysts are uncertain about the quality of managerial guidance. Structural estimation reveals that a reasonable degree of ambiguity aversion is necessary to account for the documented heterogeneous overreaction.
主讲人简介
Pei Guangyu is an assistant professor at the Department of Economics, The Chinese University of Hong Kong. He received his Ph.D. from the University of Zurich. His primary research interest includes macroeconomics and the Chinese economy, with a special interest in business cycles with informational frictions.
