기본변수의 미래이익 예측력과 재무분석가의 이익예측 효율성

We investigate whether the analysts fully incorporate the informativeness of fundamental variables into their earnings forecast. It has been documented that financial analysts tend to misforecast earnings, while they use financial statements which provide significant information on the change in future earnings. In this regard, we examine whether analysts’ forecasts are efficient to the earnings predictability of fundamental variables. In this study, we employ a summary score (AFS) for 6 variables developed by Penman and Zhang(2006) as a fundamental variable. By using a series of regression analyses and portfolio tests, we find that analysts are more likely to predict future earnings increase for firms with higher AFS. However, analysts’ forecasts do not fully reflect the information implied by fundamental variables for future earnings increase. Specifically, analysts’ forecasts are more optimistic (pessimistic) for firms with low (high) AFS, leading to a tendency of mean-centralized earnings forecasts. Moreover, the extent of analysts’ forecast bias is greater for firms with high AFS in which analysts’ forecasts tend to be understated. These evidences indicate that analysts underreact to the predictability of fundamental variables. Finally, we suggest that analysts should weigh more on the implication of a fundamental variable and take it into consideration when they assess the future earnings of target firms.