Do investors learn about analyst accuracy? A study of the oil futures market

Charles Chang, Hazem Daouk and Albert Wang

Journal of Futures Markets, 2009, vol. 29, issue 5, 414-429

Abstract: We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. The straight‐forward relationship between supply and price, the economic importance of the market, the predictable timing of forecast error realizations, and the high frequency of the data make the crude oil market an interesting and advantageous setting. We find that prices rise (fall) when analysts forecast a decrease (increase) in supplies. During the 15 minutes following supply announcements, prices rise (fall) when forecasts have been too high (low). Importantly, both relationships are stronger for more accurate analysts, implying that investors learn about analyst accuracy. © 2009 Wiley Peridocals, Inc. Jrl Fut Mark 29:414–429, 2009

Date: 2009
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