Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach

Thanh Huong Dinh, Jean-François Gajewski () and Duc Khuong Nguyen
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Thanh Huong Dinh: UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12, Accenture France
Jean-François Gajewski: IREGE - Institut de Recherche en Gestion et en Economie - USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc

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Abstract: This paper studies how analysts' earnings forecasts affect investors' expectations and trading decisions. From an experiment built on a double-auction market, we find that investors partially incorporate the forecasting information in their expectations and trading decisions. Investors partly correct for analysts' forecast errors and their expectations are less heterogeneous than analysts' forecasts. As for the trading volume, it is negatively driven by the heterogeneity of the analysts' forecasts but positively by the size of the forecast errors.

Keywords: Analysts’ Forecasts; Investor Expectations; Trading Volume; Experimental Asset Market; Earnings Announcement (search for similar items in EconPapers)
Date: 2016
Note: View the original document on HAL open archive server: https://univ-smb.hal.science/hal-01591435v1
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Published in Bankers Markets & Investors : an academic & professional review, 2016, 141, pp.20-34

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Related works:
Journal Article: Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach (2016)
Working Paper: Analyst earnings forecasts, individual investors' expectations and trading volume: An experimental approach (2016)
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