정보비대칭이 재무분석가 이익예측치의 특성과 정확성에 미치는 영향

Abstract

Managers have more information than investors. And they have incentives to provide bias information. Financial analysts, as intermediaries between managers and investors, provide useful information for investors through additional efforts such as reinterpreting the information provided from managers or obtaining private information. This paper examines how the firms' information environment (information asymmetry) affects characteristics and accuracy of analysts' forecasts, specifically focusing on analysts’ private information. Our measures of analysts' forecasts characteristics are based on , which is developed in Barron et al.(1998). is a measure of the across-analyst correlation in forecast errors and can be expressed as the ratio of the common forecast error to the average total forecast error. Higher means more public information in analysts' earnings forecasts and lower means more private information in analysts' earnings forecasts. For this study, we measures using analysts' earnings forecasts of the 275-day period prior to the firms' earnings announcement date as the pre-announcement forecast window and the 275-day period immediately after the firms' earnings announcement date as the post-announcement forecast window.The sample of this study consists of Korean industrial firms from 2005 to 2009. The final sample is 293 firm-years.The results are as follows. First, after the announcement of public information (earnings announcements) by managers, the higher information asymmetry induces more private information in analysts' earnings forecasts. Second, as a result, the increase of private information contributes to the analysts' forecast accuracy. Specially, we find that firms with higher information asymmetry are affected more by analysts’ private information. And it also indicates that when the information asymmetry is higher, the analysts’ private information contributes to the analysts' forecast accuracy. As a whole, we show that the firms' information environment affects how analysts incorporate the announcement of public information into their earnings forecasts and under the lack of reliable information, analysts incorporate more private information.