Herding文献-Who herds.pdfVIP

ARTICLE IN PRESS Journal of Financial Economics 80 (2006) 657–675 /locate/jfec Who herds? $ a b, c Dan Bernhardt , Murillo Campello , Edward Kutsoati aDepartment of Economics, University of Illinois, Champaign, IL 61820, USA bDepartment of Finance, University of Illinois, Champaign, IL 61820, USA cDepartment of Economics, Tufts University, Medford, MA 02155, USA Received 22 December 2004; received in revised form 13 June 2005; accepted 11 July 2005 Available online 28 February 2006 Abstract This paper develops a test for herding in forecasts by professional financial analysts that is robust to (a) correlated information amongst analysts; (b) common unforecasted industry-wide earnings shocks; (c) information arrival over the forecasting cycle; (d) the possibility that the earnings that analysts forecast differ from what the econometrician observes; and (e) systematic optimism or pessimism among analysts. We find that forecasts are biased, but that analysts do not herd. Instead, analysts ‘‘anti-herd’’: Analysts systematically issue biased contrarian forecasts that overshoot the publicly-available consensus forecast in the direction of their private information. r 2006 Elsevier B.V. All rights reserved. JEL classification: G14; C14; C53 Keywords: Earnings forecasting; Financial analysts; Herding; Econometric test; Contrarian behavior $ We are grateful to the Institutional Brokers Estimate System (I/B/E/S), a service of I/B/E/S International Inc. for provi