Is cognitive bias really present in analyst forecasts? The role of investor sentiment |
| |
| Institution: | 1. Universidad Rey Juan Carlos, Facultad de Ciencias Jurídicas y Sociales, Departamento de Economía de la Empresa (ADO), Paseo de los Artilleros s/n, 28032 Madrid, Spain;2. Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Departamento de Organización de Empresas, Pozuelo de Alarcón, 28223 Madrid, Spain;1. German Development Institute/Deutsches Institut für Entwicklungspolitik (DIE), Tulpenfeld 6, 53113 Bonn, Germany;2. Centre for International Business (CIBUL), Leeds University Business School, Maurice Keyworth Building, The University of Leeds, LS2 9JT, UK;1. EDHEC, Singapore;2. King''s College London, UK;3. Bournemouth University, UK;4. University of Stellenbosch, South Africa;5. University of Sussex, UK;6. University of Surrey;1. Department of Business Studies, Uppsala University, Sweden;2. CER, Department of Economic Sciences and Law, Mid Sweden University, Sundsvall, Sweden;3. Dalarna University College, Falun, Sweden;1. Department of Economics & Management, University of Pisa, Via Ridolfi 10, 56124 Pisa, Italy;2. Department of International Business and Economics, University of Greenwich Business School, Old Royal Naval College, Park Row, London SE10 9LS, UK;3. Max Planck Institute of Economics, Evolutionary Economics Group, Kahlaische Straße 10, 07745 Jena, Germany;4. Department of Political and Social Sciences, University of Pavia, Corso Strada Nuova 65, 27100 Pavia, Italy;5. WHU – Otto Beisheim School of Management, Burgplatz 2, 56179 Vallendar, Germany |
| |
| Abstract: | This paper analyses four key markets within the European context. In this context, where the level of analyst coverage is lower than in the US setting, we aim to ascertain whether the origin of optimism in analyst forecasts in these markets is mainly strategic or whether it also contains an element of cognitive bias. Despite the fact that forecast errors lack the explanatory power to account for a significant percentage of the relationship between market sentiment and future stock returns, our new tests based on selection bias (SB1 and SB2), in conjunction with an analysis of abnormal trading volume, confirm the presence of both cognitive bias and strategic behaviour in analyst forecasts. This shows that, although regulation can reduce analyst optimism bias, the benefits are constrained by the fact that optimism bias is partly associated with cognitive bias. |
| |
| Keywords: | Analyst forecasts Cognitive bias Investor sentiment Optimism Strategic behaviour |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
