会计系2019双周论坛第十五讲

主 题：Estimation Uncertainty and Expectation Formation ─ Evidence from Sell-side Security Analyst

主讲人: 申睿（香港中文大学（深圳）)

协调人: 廖冠民

时 间：2019-06-14 10:00

地 点：明德商学楼712室

语 言：中英文

讲座摘要：

In this study we examine how estimation uncertainty affects expectation formation. We consider a setting in which agents do not know the parameter determining the joint distribution of the public signal and the variable of interest. Agents estimate the parameter with noise so that they can incorporate the public signal into their expectations. Because of the estimation uncertainty, even though the agents form rational expectation based on all existing information, there is a significant correlation between the ex post forecasting error and the magnitude of the public signal (i.e. sticky expectation). Using earnings forecasts issued by sell-side security analysts, we provide empirical evidence consistent with the predictions of the analytical framework. The evidence shows that the magnitude of underreaction increases with the degree of estimation uncertainty. Further analyses using machine-learning forecasts and individual analyst forecasts show that our results are economically significant and cannot be explained by any existing theories. Taken together, this paper suggests that it is important to consider estimation uncertainty in the expectation formation process.

主讲人简介：

Before joining CUHK SZ, Rui worked as an assistant professor at NTU Singapore and Rotterdam School of Management (RSM), Erasmus University. He has taught Intermediate Financial Accounting for Bachelor students, Financial Analysis and Equity Valuation for master students in finance and Accounting for non-business master students. His main research interests are in the area of heterogeneous interpretations of public accounting information, market anomaly and corporate decisions. His research has been published in The Accounting Review, Journal of Financial and Quantitative Analysis and Strategic Management Journal.