主题

预期形成中的异质性过度反应：证据和理论

主讲人

裴光宇

香港中文大学助理教授

主持人

肖伟

西南财经大学教授

时间

2023年3月9日（周四）

下午 14:00—15:30

地点

西南财经大学柳林校区格致楼1211会议室

主办方

hy5902海洋之神

西南财经大学科研处

摘要

使用公司层面的盈利预测和管理指导数据，我们为预测者构建了一个意外指标，即管理指导数据与他们初始预测之间的差异。我们记录了关于预期形成的新证据：(i) 预测者对意外过度反应；(ii) 负面意外会带来更强的过度反应，而更大规模的意外会削弱过度反应；(iii) 预测者的预期调整既不对称也不单调。为了合理地解释这些新事实，我们提出了一个基于预测者不确定管理指导数据质量的模型。模型的结构估计表明，合理程度的模糊性厌恶对于解释异质性过度反应的必要性。

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.

嘉宾介绍

裴光宇，香港中文大学经济系助理教授。他在苏黎世大学获得博士学位，主要研究领域为宏观经济学和中国经济，特别关注具有讯息摩擦和模糊性厌恶的商业周期。

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 and ambiguity aversion.