Do Investors Learn About Analyst Accuracy?

Charles Chang, Hazem Daouk and Albert Wang

No 51158, Working Papers from Cornell University, Department of Applied Economics and Management

Abstract: We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. Our test market is the crude oil futures market. Prices rise when analysts forecast a decrease (increase) in crude supplies. In the 15 minutes following supply realizations, prices rise (fall) when forecasts have been too high (low). In both the initial price action relative to forecasts and in the subsequent reaction relative to realized forecast errors, the price response is stronger for more accurate analysts. These price reactions imply that investors learn about analyst accuracy and trade accordingly.

Keywords: Financial Economics; Institutional and Behavioral Economics; Political Economy (search for similar items in EconPapers)
Pages: 31
Date: 2008-09-24
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://ageconsearch.umn.edu/record/51158/files/WP%20Daouk%202008-19.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:cudawp:51158

DOI: 10.22004/ag.econ.51158

Access Statistics for this paper

More papers in Working Papers from Cornell University, Department of Applied Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().